#include <causal_cone.hpp>

Classes
struct	Config
	Configuration for the causal cone filter. More...

Public Member Functions
	CausalConeFilter (Config config=Config{}) noexcept
	Construct with an optional configuration.

std::vector< CausalHistory >	build_histories (std::span< const core::OHLCV > bars, std::span< const manifold::SpacetimeEvent > events) const noexcept

std::optional< CausalSignal >	compute_signal (const CausalHistory &history, std::span< const double > returns, std::size_t bar_idx) const noexcept

std::size_t	look_back () const noexcept
	Return the configured look_back window.

Detailed Description

Filters a bar sequence to identify causal predecessors for each bar.

For every bar B in the sequence, looks back up to look_back bars and classifies each as TIMELIKE (causal) or SPACELIKE (excluded) using SpacetimeInterval::classify.

Usage:

CausalConeFilter filter(look_back = 20);
auto histories = filter.build_histories(bars);
for (auto& h : histories) {
    auto sig = filter.compute_signal(h, bars, bar_index);
    // use sig.causal_mean_return instead of all-bars mean
}

Definition at line 115 of file causal_cone.hpp.

Constructor & Destructor Documentation

◆ CausalConeFilter()

srfm::causal::CausalConeFilter::CausalConeFilter ( Config config = Config{} )

explicitnoexcept

Construct with an optional configuration.

Definition at line 22 of file causal_cone.cpp.

Member Function Documentation

◆ build_histories()

std::vector< CausalHistory > srfm::causal::CausalConeFilter::build_histories	(	std::span< const core::OHLCV >	bars,
		std::span< const manifold::SpacetimeEvent >	events
	)		const

noexcept

Build a CausalHistory for every bar in the sequence.

The first look_back bars will have fewer predecessors as the rolling window fills up.

Parameters

bars	Sequence of OHLCV bars (must be pre-converted to events).
events	Corresponding spacetime events for each bar.

Returns: One CausalHistory per bar (same size as bars).

Definition at line 38 of file causal_cone.cpp.

◆ compute_signal()

std::optional< CausalSignal > srfm::causal::CausalConeFilter::compute_signal	(	const CausalHistory &	history,
		std::span< const double >	returns,
		std::size_t	bar_idx
	)		const

noexcept

Compute a CausalSignal for bar at index bar_idx.

Parameters

history	The CausalHistory for this bar.
returns	Close-to-close returns for the full bar sequence.
bar_idx	Index of the current bar in `returns`.

Returns: CausalSignal or nullopt if history has no causal predecessors.

Definition at line 87 of file causal_cone.cpp.

◆ look_back()

std::size_t srfm::causal::CausalConeFilter::look_back ( ) const

inlinenoexcept

Return the configured look_back window.

Definition at line 163 of file causal_cone.hpp.

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

include/srfm/causal_cone.hpp
src/causal_cone.cpp

Classes