nautilus_analysis/
statistic.rs

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1// -------------------------------------------------------------------------------------------------
2//  Copyright (C) 2015-2025 Nautech Systems Pty Ltd. All rights reserved.
3//  https://nautechsystems.io
4//
5//  Licensed under the GNU Lesser General Public License Version 3.0 (the "License");
6//  You may not use this file except in compliance with the License.
7//  You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html
8//
9//  Unless required by applicable law or agreed to in writing, software
10//  distributed under the License is distributed on an "AS IS" BASIS,
11//  WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
12//  See the License for the specific language governing permissions and
13//  limitations under the License.
14// -------------------------------------------------------------------------------------------------
15
16use std::{collections::BTreeMap, fmt::Debug};
17
18use nautilus_model::{orders::Order, position::Position};
19
20use crate::Returns;
21
22const IMPL_ERR: &str = "is not implemented for";
23
24#[allow(unused_variables)]
25pub trait PortfolioStatistic: Debug {
26    type Item;
27
28    fn name(&self) -> String;
29
30    fn calculate_from_returns(&self, returns: &Returns) -> Option<Self::Item> {
31        panic!("`calculate_from_returns` {IMPL_ERR} `{}`", self.name());
32    }
33
34    fn calculate_from_realized_pnls(&self, realized_pnls: &[f64]) -> Option<Self::Item> {
35        panic!(
36            "`calculate_from_realized_pnls` {IMPL_ERR} `{}`",
37            self.name()
38        );
39    }
40
41    #[allow(dead_code)]
42    fn calculate_from_orders(&self, orders: Vec<Box<dyn Order>>) -> Option<Self::Item> {
43        panic!("`calculate_from_orders` {IMPL_ERR} `{}`", self.name());
44    }
45
46    fn calculate_from_positions(&self, positions: &[Position]) -> Option<Self::Item> {
47        panic!("`calculate_from_positions` {IMPL_ERR} `{}`", self.name());
48    }
49
50    fn check_valid_returns(&self, returns: &Returns) -> bool {
51        !returns.is_empty()
52    }
53
54    fn downsample_to_daily_bins(&self, returns: &Returns) -> Returns {
55        let nanos_per_day = 86_400_000_000_000; // Number of nanoseconds in a day
56        let mut daily_bins = BTreeMap::new();
57
58        for (&timestamp, &value) in returns {
59            // Calculate the start of the day in nanoseconds for the given timestamp
60            let day_start = timestamp - (timestamp.as_u64() % nanos_per_day);
61
62            // Sum returns for each day
63            *daily_bins.entry(day_start).or_insert(0.0) += value;
64        }
65
66        daily_bins
67    }
68
69    fn calculate_std(&self, returns: &Returns) -> f64 {
70        let n = returns.len() as f64;
71        if n < 2.0 {
72            return f64::NAN;
73        }
74
75        let mean = returns.values().sum::<f64>() / n;
76
77        let variance = returns.values().map(|x| (x - mean).powi(2)).sum::<f64>() / (n - 1.0);
78
79        variance.sqrt()
80    }
81}
nautilus_analysis/statistic.rs

nautilus_analysis/
statistic.rs
