algotradelib::analytics::Panel Class Reference

One bar field across many instruments: one row per instant, one column per instrument. More...

#include <algotradelib/src/analytics/panel.hpp>

Public Member Functions
	Panel ()=default
	Constructs an empty panel.
std::size_t	rows () const noexcept
	Returns the number of rows.
std::size_t	columns () const noexcept
	Returns the number of columns.
const TimeIndex &	time () const noexcept
	Returns the instants of the rows.
const std::vector< InstrumentId > &	instruments () const noexcept
	Returns the instruments of the columns.
BarField	field () const noexcept
	Returns the bar field the panel holds.
Alignment	alignment () const noexcept
	Returns how the panel lined up its instruments.
std::optional< std::size_t >	find (const InstrumentId &instrument) const
	Finds an instrument's column.
math::SeriesView	column (std::size_t position) const
	Returns one instrument's column.
Scalar	at (std::size_t row, std::size_t column) const
	Reads one value.
math::MatrixView	values () const
	Returns all values.

Static Public Member Functions
static Panel	from_bars (const std::vector< BarSeries > &series, BarField field, Alignment alignment)
	Builds a panel of one bar field from several bar series.

Detailed Description

One bar field across many instruments: one row per instant, one column per instrument.

Build one with from_bars(). A row is a cross-section (all instruments at one instant), which is what ranking, covariance and portfolio weights read. The panel records the field and the Alignment it was built with.

Definition at line 74 of file panel.hpp.

Constructor & Destructor Documentation

Panel()

algotradelib::analytics::Panel::Panel ( )

default

Constructs an empty panel.

Referenced by from_bars().

Member Function Documentation

alignment()

Alignment algotradelib::analytics::Panel::alignment ( ) const

inlinenoexcept

Returns how the panel lined up its instruments.

Returns

The alignment passed to from_bars.

Definition at line 113 of file panel.hpp.

Referenced by from_bars().

at()

Scalar algotradelib::analytics::Panel::at ( std::size_t row, std::size_t column ) const

inline

Reads one value.

Parameters

row	The row position.
column	The column position.

Returns

The value, or missing().

Exceptions

std::out_of_range

if row or column is past the end.

Definition at line 149 of file panel.hpp.

column()

math::SeriesView algotradelib::analytics::Panel::column ( std::size_t position ) const

inline

Returns one instrument's column.

Parameters

position

The column position.

Returns

A view into the panel's storage; valid while the panel is alive and unmoved.

Exceptions

std::out_of_range

if position is past the end.

Definition at line 135 of file panel.hpp.

Referenced by at(), find(), and from_bars().

columns()

std::size_t algotradelib::analytics::Panel::columns ( ) const

inlinenoexcept

Returns the number of columns.

Returns

The number of instruments.

Definition at line 89 of file panel.hpp.

Referenced by at().

field()

BarField algotradelib::analytics::Panel::field ( ) const

inlinenoexcept

Returns the bar field the panel holds.

Returns

The field passed to from_bars.

Definition at line 107 of file panel.hpp.

Referenced by from_bars().

find()

std::optional< std::size_t > algotradelib::analytics::Panel::find ( const InstrumentId & instrument ) const

inline

Finds an instrument's column.

Parameters

instrument

The instrument, compared with InstrumentId::operator==.

Returns

Its column position, or std::nullopt if it is not in the panel.

Definition at line 120 of file panel.hpp.

from_bars()

Panel algotradelib::analytics::Panel::from_bars ( const std::vector< BarSeries > & series, BarField field, Alignment alignment )

inlinestatic

Builds a panel of one bar field from several bar series.

Parameters

series	The series, one per column, each strictly ascending in time.
field	The bar field to take from each series.
alignment	How to line up instants the series do not share.

Returns

The panel; empty (with field and alignment recorded) if series is empty.

Exceptions

std::invalid_argument

if any series is not strictly ascending in time.

Definition at line 171 of file panel.hpp.

instruments()

const std::vector< InstrumentId > & algotradelib::analytics::Panel::instruments ( ) const

inlinenoexcept

Returns the instruments of the columns.

Returns

The instruments, in column order.

Definition at line 101 of file panel.hpp.

rows()

std::size_t algotradelib::analytics::Panel::rows ( ) const

inlinenoexcept

Returns the number of rows.

Returns

The number of instants.

Definition at line 83 of file panel.hpp.

Referenced by at().

time()

const TimeIndex & algotradelib::analytics::Panel::time ( ) const

inlinenoexcept

Returns the instants of the rows.

Returns

The panel's time index.

Definition at line 95 of file panel.hpp.

values()

math::MatrixView algotradelib::analytics::Panel::values ( ) const

inline

Returns all values.

Returns

A view of the rows-by-instruments storage.

Definition at line 160 of file panel.hpp.

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The documentation for this class was generated from the following file:

• algotradelib/src/analytics/panel.hpp