The most recent observations of a few fields, for a strategy fed one bar at a time. More...

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

Public Types
using	Instant = TimeIndex::Instant
	The instant type observations are stamped with.

Public Member Functions
	SeriesBuffer (std::size_t capacity, std::size_t fields=bar_field_count)
	Constructs an empty buffer.
std::size_t	capacity () const noexcept
	Returns the most observations the buffer holds.
std::size_t	fields () const noexcept
	Returns the number of values per observation.
std::size_t	size () const noexcept
	Returns the number of observations held.
bool	empty () const noexcept
	Tests whether the buffer is empty.
bool	full () const noexcept
	Tests whether the buffer holds capacity() observations.
std::size_t	compactions () const noexcept
	Returns how many times the buffer moved its contents to the front of its storage.
void	push (Instant when, math::SeriesView row)
	Appends one observation, dropping the oldest if the buffer is full.
void	push (Instant when, const std::vector< Scalar > &row)
	Appends one observation, dropping the oldest if the buffer is full.
void	push (const Bar &bar)
	Appends one bar, dropping the oldest observation if the buffer is full.
math::SeriesView	column (std::size_t field) const
	Returns one field's values, oldest first.
math::SeriesView	column (BarField field) const
	Returns one bar field's values, oldest first.
Scalar	at (std::size_t position, std::size_t field) const
	Reads one value.
Instant	instant (std::size_t position) const
	Returns the instant of one observation.
Instant	newest_instant () const
	Returns the instant of the newest observation.
void	clear () noexcept
	Discards every observation; the storage is kept.

Detailed Description

The most recent observations of a few fields, for a strategy fed one bar at a time.

Holds up to capacity() observations. Until it is full, each push adds one; after that, each push also drops the oldest. Check full() before computing an indicator whose window is the capacity, so it is never computed from fewer observations than its window.

column() returns the trailing values of one field, oldest first, as one contiguous view of the buffer's own storage. Storage is allocated once at construction and never grows. The trailing statistics themselves are the rolling_* functions in rolling.hpp.

Note: Not thread-safe: use one buffer from one strategy (one strand).

Definition at line 30 of file series_buffer.hpp.

Member Typedef Documentation

◆ Instant

using algotradelib::analytics::SeriesBuffer::Instant = TimeIndex::Instant

The instant type observations are stamped with.

Definition at line 33 of file series_buffer.hpp.

Constructor & Destructor Documentation

◆ SeriesBuffer()

algotradelib::analytics::SeriesBuffer::SeriesBuffer	(	std::size_t	capacity,
		std::size_t	fields = bar_field_count )

inline

Constructs an empty buffer.

Parameters

capacity	The most observations the buffer holds.
fields	The number of values per observation; the default holds every BarField.

Exceptions

std::invalid_argument if capacity or fields is zero.

Definition at line 42 of file series_buffer.hpp.

Member Function Documentation

◆ at()

Scalar algotradelib::analytics::SeriesBuffer::at	(	std::size_t	position,
		std::size_t	field ) const

inline

Reads one value.

Parameters

position	The observation, counting from 0 for the oldest held.
field	The field's column position.

Returns: The value.

Exceptions

std::out_of_range if position or field is past the end.

Definition at line 199 of file series_buffer.hpp.

◆ capacity()

std::size_t algotradelib::analytics::SeriesBuffer::capacity ( ) const

inlinenoexcept

Returns the most observations the buffer holds.

Returns: The capacity given at construction.

Definition at line 56 of file series_buffer.hpp.

Referenced by SeriesBuffer().

◆ clear()

void algotradelib::analytics::SeriesBuffer::clear ( )

inlinenoexcept

Discards every observation; the storage is kept.

Definition at line 235 of file series_buffer.hpp.

◆ column() [1/2]

math::SeriesView algotradelib::analytics::SeriesBuffer::column ( BarField field ) const

inline

Returns one bar field's values, oldest first.

Parameters

field The field.

Returns: A view of size() values, valid until the next push or clear.

Exceptions

std::out_of_range if the buffer has fewer columns than field needs.

Definition at line 189 of file series_buffer.hpp.

Referenced by column().

◆ column() [2/2]

math::SeriesView algotradelib::analytics::SeriesBuffer::column ( std::size_t field ) const

inline

Returns one field's values, oldest first.

Parameters

field The field's column position.

Returns: A view of size() values in the buffer's storage, valid until the next push or clear.

Exceptions

std::out_of_range if field is not below fields().

Definition at line 174 of file series_buffer.hpp.

◆ compactions()

std::size_t algotradelib::analytics::SeriesBuffer::compactions ( ) const

inlinenoexcept

Returns how many times the buffer moved its contents to the front of its storage.

Returns: The compaction count; at most one per capacity() pushes.

Definition at line 86 of file series_buffer.hpp.

◆ empty()

bool algotradelib::analytics::SeriesBuffer::empty ( ) const

inlinenoexcept

Tests whether the buffer is empty.

Returns: true if it holds no observations.

Definition at line 74 of file series_buffer.hpp.

◆ fields()

std::size_t algotradelib::analytics::SeriesBuffer::fields ( ) const

inlinenoexcept

Returns the number of values per observation.

Returns: The field count given at construction.

Definition at line 62 of file series_buffer.hpp.

Referenced by SeriesBuffer().

◆ full()

bool algotradelib::analytics::SeriesBuffer::full ( ) const

inlinenoexcept

Tests whether the buffer holds capacity() observations.

Returns: true once it is full.

Definition at line 80 of file series_buffer.hpp.

◆ instant()

Instant algotradelib::analytics::SeriesBuffer::instant ( std::size_t position ) const

inline

Returns the instant of one observation.

Parameters

position The observation, counting from 0 for the oldest held.

Returns: Its instant.

Exceptions

std::out_of_range if position is past the end.

Definition at line 215 of file series_buffer.hpp.

◆ newest_instant()

Instant algotradelib::analytics::SeriesBuffer::newest_instant ( ) const

inline

Returns the instant of the newest observation.

Returns: The instant of the last push.

Exceptions

std::out_of_range if the buffer is empty.

Definition at line 227 of file series_buffer.hpp.

Referenced by push().

◆ push() [1/3]

void algotradelib::analytics::SeriesBuffer::push ( const Bar & bar )

inline

Appends one bar, dropping the oldest observation if the buffer is full.

The bar's fields go to the columns in BarField order; a bar with no open or traded value stores missing() there.

Parameters

bar	The bar; its timestamp_ must be later than the newest observation.

Exceptions

std::invalid_argument if the buffer was not built with bar_field_count fields, or the bar is not later than the newest observation.

Definition at line 147 of file series_buffer.hpp.

◆ push() [2/3]

void algotradelib::analytics::SeriesBuffer::push	(	Instant	when,
		const std::vector< Scalar > &	row )

inline

Appends one observation, dropping the oldest if the buffer is full.

Parameters

when	The observation's instant; must be later than the newest one held.
row	The observation's values, exactly fields() of them.

Exceptions

std::invalid_argument if row has the wrong size or when is not later than the newest observation.

Definition at line 129 of file series_buffer.hpp.

◆ push() [3/3]

void algotradelib::analytics::SeriesBuffer::push	(	Instant	when,
		math::SeriesView	row )

inline

Appends one observation, dropping the oldest if the buffer is full.

Parameters

when	The observation's instant; must be later than the newest one held.
row	The observation's values, exactly fields() of them.

Exceptions

std::invalid_argument if row has the wrong size or when is not later than the newest observation.

Definition at line 96 of file series_buffer.hpp.

Referenced by push(), and push().

◆ size()

std::size_t algotradelib::analytics::SeriesBuffer::size ( ) const

inlinenoexcept

Returns the number of observations held.

Returns: A number from 0 to capacity().

Definition at line 68 of file series_buffer.hpp.

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

algotradelib/src/analytics/series_buffer.hpp

Public Types

Public Member Functions

Detailed Description

Member Typedef Documentation

◆ Instant

Constructor & Destructor Documentation

◆ SeriesBuffer()

Member Function Documentation

◆ at()

◆ capacity()

◆ clear()

◆ column() [1/2]

◆ column() [2/2]

◆ compactions()

◆ empty()

◆ fields()

◆ full()

◆ instant()

◆ newest_instant()

◆ push() [1/3]

◆ push() [2/3]

◆ push() [3/3]

◆ size()