algotradelib::analytics::TimeIndex Class Reference

The instants a frame's rows correspond to, strictly ascending. More...

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

Public Types
using	Instant = std::chrono::system_clock::time_point
	The instant type of the index.

Public Member Functions
	TimeIndex ()=default
	Constructs an empty index.
	TimeIndex (std::vector< Instant > stamps)
	Constructs an index over a sequence of instants.
std::size_t	size () const noexcept
	Returns the number of instants.
bool	empty () const noexcept
	Tests whether the index is empty.
const Instant &	at (std::size_t position) const
	Returns the instant of one row.
const std::vector< Instant > &	stamps () const noexcept
	Returns all instants.
std::optional< std::size_t >	find (const Instant &when) const
	Finds the row of an exact instant.
std::optional< std::size_t >	asof (const Instant &when) const
	Finds the latest row at or before an instant ("as of" lookup).

Friends
bool	operator== (const TimeIndex &lhs, const TimeIndex &rhs)
	Compares two indices instant by instant.
bool	operator!= (const TimeIndex &lhs, const TimeIndex &rhs)
	Compares two indices for inequality.

Detailed Description

The instants a frame's rows correspond to, strictly ascending.

Maps an instant to a row position. Lookups (find, asof) are binary searches, meant for asking about one instant at a time.

Definition at line 20 of file time_index.hpp.

Member Typedef Documentation

Instant

using algotradelib::analytics::TimeIndex::Instant = std::chrono::system_clock::time_point

The instant type of the index.

Definition at line 23 of file time_index.hpp.

Constructor & Destructor Documentation

TimeIndex() [1/2]

algotradelib::analytics::TimeIndex::TimeIndex ( )

default

Constructs an empty index.

Referenced by algotradelib::analytics::from_bars(), algotradelib::analytics::Panel::from_bars(), operator!=, and operator==.

TimeIndex() [2/2]

algotradelib::analytics::TimeIndex::TimeIndex ( std::vector< Instant > stamps )

inlineexplicit

Constructs an index over a sequence of instants.

Parameters

stamps

The instants, one per row, strictly ascending.

Exceptions

std::invalid_argument

if stamps is not strictly ascending.

Definition at line 34 of file time_index.hpp.

Member Function Documentation

asof()

std::optional< std::size_t > algotradelib::analytics::TimeIndex::asof ( const Instant & when ) const

inline

Finds the latest row at or before an instant ("as of" lookup).

Never looks forward, so it is safe to use in a backtest.

Parameters

when	The instant to look up.

Returns

The position of the latest instant not after when, or std::nullopt if when precedes every instant in the index.

Definition at line 97 of file time_index.hpp.

at()

const Instant & algotradelib::analytics::TimeIndex::at ( std::size_t position ) const

inline

Returns the instant of one row.

Parameters

position

The row position.

Returns

The instant at position.

Exceptions

std::out_of_range

if position is past the end.

Definition at line 61 of file time_index.hpp.

empty()

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

inlinenoexcept

Tests whether the index is empty.

Returns

true if it holds no instants.

Definition at line 52 of file time_index.hpp.

find()

std::optional< std::size_t > algotradelib::analytics::TimeIndex::find ( const Instant & when ) const

inline

Finds the row of an exact instant.

Parameters

when	The instant to find.

Returns

Its position, or std::nullopt if when is not in the index.

Definition at line 80 of file time_index.hpp.

size()

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

inlinenoexcept

Returns the number of instants.

Returns

The number of rows the index covers.

Definition at line 46 of file time_index.hpp.

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

stamps()

const std::vector< Instant > & algotradelib::analytics::TimeIndex::stamps ( ) const

inlinenoexcept

Returns all instants.

Returns

The instants, ascending.

Definition at line 72 of file time_index.hpp.

Referenced by TimeIndex().

Friends And Related Symbol Documentation

operator!=

bool operator!= ( const TimeIndex & lhs, const TimeIndex & rhs )

friend

Compares two indices for inequality.

Parameters

lhs	The first index.
rhs	The second index.

Returns

true if they differ in any instant.

Definition at line 121 of file time_index.hpp.

operator==

bool operator== ( const TimeIndex & lhs, const TimeIndex & rhs )

friend

Compares two indices instant by instant.

Parameters

lhs	The first index.
rhs	The second index.

Returns

true if both hold the same instants.

Definition at line 111 of file time_index.hpp.

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

• algotradelib/src/analytics/time_index.hpp