15 releases
0.4.4 | Sep 13, 2024 |
---|---|
0.4.3 | Sep 10, 2024 |
0.4.0 | Aug 31, 2024 |
0.3.3 | Aug 21, 2024 |
0.2.5 | Jul 24, 2024 |
#751 in Algorithms
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Used in tevec
200KB
3.5K
SLoC
Tevec
Introduction
Tevec is a powerful Rust crate designed for financial quantitative analysis, supporting multiple backends including Vec, Ndarray, and Polars. The crate leverages Rust's trait system to provide a flexible and extensible framework for future backend integrations.
Tevec's functionality is categorized into three main types:
- Rolling functions
- Mapping functions
- Aggregation functions
Installation
To include Tevec in your project, add the following line to your Cargo.toml
:
tevec = "0.4"
Basic Usage
First, import the common trait names to call the corresponding methods.
use tevec::prelude::*
Aggregation Functions
Most aggregation functions are implemented for structs that satisfy the IntoIterator + Sized
traits.
let data = vec![1, 2, 3, 4, 5];
data.titer().mean(); // not consume data, return Some(3)
data.mean(); // consume data, return Some(3)
let data = vec![1., f64::NAN, 3.];
data.titer().vmean(); // valid mean, this will ignore nan, return 2.
// valid function can also be used for Option<T> dtype
let data = vec![Some(1), None, Some(3)]
data.vmean(); // return 2.
Using titer
returns an Iterator
that satisfies TrustedLen
, allowing for further method calls. The titer
method comes from the Titer
trait, which has been implemented for all backends.
Rolling Functions
let data = vec![1, 2, 3, 4, 5];
let mean: Vec<f64> = data.ts_mean(3, Some(1)); // params: window, min_periods
let mean2: Array1<f32> = data.ts_vmean(4, None); // rolling_mean function ignore none values
Mapping Functions
let v = vec![1., 2., 3., 4., 5.];
let shift_v: Vec<_> = v.titer().vshift(2, None).collect_trusted_vec1();
let shfit_abs_v: Vec<_> = v.titer().abs().vshift(2, None).collect_trusted_vec1();
Some mapping functions return an Iterator
, allowing for chained calls without reallocating memory, and only collecting the iterator when needed.
Feature Flags
pl: For Polars
backend
ndarray: For Ndarray
backend
agg: Aggregate Functions
map: Mapping Functions
rolling: Rolling Functions
stat: Statistic Functions
time: DateTime
and TimeDelta
structs
Contributing
Contributions to Tevec are welcome! Here's how you can contribute:
- Fork the repository
- Create a new branch for your feature or bug fix
- Make your changes and write tests if applicable
- Run
make format
to ensure your code follows the project's style guidelines - Run
make test
to make sure all tests pass - Submit a pull request with a clear description of your changes
Please make sure to update tests as appropriate and adhere to the existing coding style.
License
This project is licensed under the MIT License.
Dependencies
~0.9–1.4MB
~30K SLoC