algotradelib::analytics::SeriesFrame Class Reference

One instrument's bars as numeric columns: one row per bar, one column per BarField. More...

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

Public Member Functions
	SeriesFrame ()=default
	Constructs an empty frame.
	SeriesFrame (TimeIndex index, InstrumentId instrument={})
	Constructs a frame with one row per instant, every value missing().
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 InstrumentId &	instrument () const noexcept
	Returns the instrument the frame describes.
math::SeriesView	column (BarField field) const
	Returns one field's column.
math::SeriesView	close () const
	Returns the close column.
math::SeriesView	open () const
	Returns the open column.
math::SeriesView	high () const
	Returns the high column.
math::SeriesView	low () const
	Returns the low column.
math::SeriesView	volume () const
	Returns the volume column.
Scalar	at (std::size_t row, BarField field) const
	Reads one value.
void	set (std::size_t row, BarField field, Scalar value)
	Writes one value.
math::MatrixView	values () const
	Returns all values.

Detailed Description

One instrument's bars as numeric columns: one row per bar, one column per BarField.

Build one with from_bars(). column() and the named accessors return views into the frame's own storage, without copying.

A field the broker did not report (an open on a day with no trade, an omitted traded value) is missing() in that row, not zero.

Definition at line 89 of file frame.hpp.

Constructor & Destructor Documentation

SeriesFrame()

algotradelib::analytics::SeriesFrame::SeriesFrame ( TimeIndex index, InstrumentId instrument = {} )

inlineexplicit

Constructs a frame with one row per instant, every value missing().

Parameters

index	The instants of the rows.
instrument	The instrument the frame describes.

Definition at line 100 of file frame.hpp.

Member Function Documentation

at()

Scalar algotradelib::analytics::SeriesFrame::at ( std::size_t row, BarField field ) const

inline

Reads one value.

Parameters

row	The row position.
field	The field.

Returns

The value, or missing() if it was not reported.

Exceptions

std::out_of_range

if row is past the end.

Definition at line 180 of file frame.hpp.

close()

math::SeriesView algotradelib::analytics::SeriesFrame::close ( ) const

inline

Returns the close column.

Returns

A view of BarField::CLOSE.

Definition at line 146 of file frame.hpp.

column()

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

inline

Returns one field's column.

Parameters

field

The field.

Returns

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

Definition at line 138 of file frame.hpp.

Referenced by close(), high(), low(), open(), and volume().

columns()

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

inlinenoexcept

Returns the number of columns.

Returns

bar_field_count.

Definition at line 119 of file frame.hpp.

high()

math::SeriesView algotradelib::analytics::SeriesFrame::high ( ) const

inline

Returns the high column.

Returns

A view of BarField::HIGH.

Definition at line 158 of file frame.hpp.

instrument()

const InstrumentId & algotradelib::analytics::SeriesFrame::instrument ( ) const

inlinenoexcept

Returns the instrument the frame describes.

Returns

The instrument.

Definition at line 131 of file frame.hpp.

Referenced by SeriesFrame().

low()

math::SeriesView algotradelib::analytics::SeriesFrame::low ( ) const

inline

Returns the low column.

Returns

A view of BarField::LOW.

Definition at line 164 of file frame.hpp.

open()

math::SeriesView algotradelib::analytics::SeriesFrame::open ( ) const

inline

Returns the open column.

Returns

A view of BarField::OPEN.

Definition at line 152 of file frame.hpp.

rows()

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

inlinenoexcept

Returns the number of rows.

Returns

The number of instants (bars) in the frame.

Definition at line 113 of file frame.hpp.

Referenced by at(), and set().

set()

void algotradelib::analytics::SeriesFrame::set ( std::size_t row, BarField field, Scalar value )

inline

Writes one value.

Parameters

row	The row position.
field	The field.
value	The value to store.

Exceptions

std::out_of_range

if row is past the end.

Definition at line 197 of file frame.hpp.

Referenced by algotradelib::analytics::from_bars().

time()

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

inlinenoexcept

Returns the instants of the rows.

Returns

The frame's time index.

Definition at line 125 of file frame.hpp.

values()

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

inline

Returns all values.

Returns

A view of the rows-by-bar_field_count storage, columns in BarField order.

Definition at line 210 of file frame.hpp.

volume()

math::SeriesView algotradelib::analytics::SeriesFrame::volume ( ) const

inline

Returns the volume column.

Returns

A view of BarField::VOLUME.

Definition at line 170 of file frame.hpp.

---

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

• algotradelib/src/analytics/frame.hpp