nautilus_analysis/
statistic.rs

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// -------------------------------------------------------------------------------------------------
//  Copyright (C) 2015-2024 Nautech Systems Pty Ltd. All rights reserved.
//  https://nautechsystems.io
//
//  Licensed under the GNU Lesser General Public License Version 3.0 (the "License");
//  You may not use this file except in compliance with the License.
//  You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html
//
//  Unless required by applicable law or agreed to in writing, software
//  distributed under the License is distributed on an "AS IS" BASIS,
//  WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
//  See the License for the specific language governing permissions and
//  limitations under the License.
// -------------------------------------------------------------------------------------------------

use std::{collections::BTreeMap, fmt::Debug};

use nautilus_model::{orders::base::Order, position::Position};

use crate::Returns;

const IMPL_ERR: &str = "is not implemented for";

#[allow(unused_variables)]
pub trait PortfolioStatistic: Debug {
    type Item;

    fn name(&self) -> String;

    fn calculate_from_returns(&self, returns: &Returns) -> Option<Self::Item> {
        panic!("`calculate_from_returns` {IMPL_ERR} `{}`", self.name());
    }

    fn calculate_from_realized_pnls(&self, realized_pnls: &[f64]) -> Option<Self::Item> {
        panic!(
            "`calculate_from_realized_pnls` {IMPL_ERR} `{}`",
            self.name()
        );
    }

    #[allow(dead_code)]
    fn calculate_from_orders(&self, orders: Vec<Box<dyn Order>>) -> Option<Self::Item> {
        panic!("`calculate_from_orders` {IMPL_ERR} `{}`", self.name());
    }

    fn calculate_from_positions(&self, positions: &[Position]) -> Option<Self::Item> {
        panic!("`calculate_from_positions` {IMPL_ERR} `{}`", self.name());
    }

    fn check_valid_returns(&self, returns: &Returns) -> bool {
        !returns.is_empty()
    }

    fn downsample_to_daily_bins(&self, returns: &Returns) -> Returns {
        let nanos_per_day = 86_400_000_000_000; // Number of nanoseconds in a day
        let mut daily_bins = BTreeMap::new();

        for (&timestamp, &value) in returns {
            // Calculate the start of the day in nanoseconds for the given timestamp
            let day_start = timestamp - (timestamp.as_u64() % nanos_per_day);

            // Sum returns for each day
            *daily_bins.entry(day_start).or_insert(0.0) += value;
        }

        daily_bins
    }

    fn calculate_std(&self, returns: &Returns) -> f64 {
        let n = returns.len() as f64;
        if n < 2.0 {
            return f64::NAN;
        }

        let mean = returns.values().sum::<f64>() / n;

        let variance = returns.values().map(|x| (x - mean).powi(2)).sum::<f64>() / (n - 1.0);

        variance.sqrt()
    }
}