Description

A Rust library crate that provides a way of computing rolling OHLC (open-high-low-close) for a stream of numeric prices and timestamps for a given time window.

E.g., if the window is 5 minutes, once a new price/timestamp is given,it returns the rolling 5-minute OHLC over the last 5 minutes - the earliest price in the time period, the highest/lowest prices and the latest price.

Instructions to run

The program takes two command line arguments.

cargo run --release <input_file> <output_file>

Example:

cargo run --release ./files/input.txt ./files/output.txt

How to use the crate

The crate provides 2 main structs InputEvent and Window 1)Create a window object with desired time in milliseconds

let mut window = Window::new(300000);

2)Parse a json string to get an InputEvent

let input_event: InputEvent = line.parse::<InputEvent>()?;

3)Pass the InputEvent to the window object to receive the OHLC values

let output = window.add(input_event);

Dataset

Two files with ticker updates for several symbols. Each line represents a single event with bid/ask price and quantity and a timestamp T . The binary crate calculates rolling OHLC for a 5 minutes window.