srfm::stream::BetaCalculator< N > Class Template Reference

Online β estimator with a sliding window of N log-returns. More...

#include <beta_calculator.hpp>

Public Member Functions
	BetaCalculator (double c_market=DEFAULT_C_MARKET) noexcept
	Construct with a market speed-of-light calibration constant.
void	update (double close) noexcept
	Ingest one new close price and update the rolling log-return buffer.
double	beta () const noexcept
	Current β estimate.
bool	warmed_up () const noexcept
	Whether enough data has been seen to produce a reliable β.
std::size_t	close_count () const noexcept
	Number of close prices ingested so far.
std::size_t	ret_count () const noexcept
	Number of log-returns accumulated (capped at N).
double	c_market () const noexcept
	Configured market speed-of-light constant.
void	reset () noexcept
	Reset all state as if no ticks have been seen.

Detailed Description

template<std::size_t N = 3u>
class srfm::stream::BetaCalculator< N >

Online β estimator with a sliding window of N log-returns.

Template parameter N determines how many log-returns are averaged. FIX-3 mode (default) uses N=3.

Template Parameters

N	Number of log-returns in the averaging window. Must be ≥ 1.

Definition at line 64 of file beta_calculator.hpp.

Constructor & Destructor Documentation

BetaCalculator()

template<std::size_t N = 3u>

srfm::stream::BetaCalculator< N >::BetaCalculator ( double  c_market = DEFAULT_C_MARKET )

inlineexplicitnoexcept

Construct with a market speed-of-light calibration constant.

Parameters

c_market

The denominator used to normalise raw log-returns into β. Must be strictly positive and finite. Defaults to 0.02.

Definition at line 75 of file beta_calculator.hpp.

Member Function Documentation

beta()

template<std::size_t N = 3u>

double srfm::stream::BetaCalculator< N >::beta ( ) const

inlinenoexcept

Current β estimate.

Returns 0.0 until N log-returns have been accumulated. Guaranteed: |result| < BETA_MAX_SAFE.

Note

noexcept.

Definition at line 113 of file beta_calculator.hpp.

c_market()

template<std::size_t N = 3u>

double srfm::stream::BetaCalculator< N >::c_market ( ) const

inlinenoexcept

Configured market speed-of-light constant.

Definition at line 142 of file beta_calculator.hpp.

close_count()

template<std::size_t N = 3u>

std::size_t srfm::stream::BetaCalculator< N >::close_count ( ) const

inlinenoexcept

Number of close prices ingested so far.

Definition at line 136 of file beta_calculator.hpp.

reset()

template<std::size_t N = 3u>

void srfm::stream::BetaCalculator< N >::reset ( )

inlinenoexcept

Reset all state as if no ticks have been seen.

Definition at line 149 of file beta_calculator.hpp.

ret_count()

template<std::size_t N = 3u>

std::size_t srfm::stream::BetaCalculator< N >::ret_count ( ) const

inlinenoexcept

Number of log-returns accumulated (capped at N).

Definition at line 139 of file beta_calculator.hpp.

update()

template<std::size_t N = 3u>

void srfm::stream::BetaCalculator< N >::update ( double  close )

inlinenoexcept

Ingest one new close price and update the rolling log-return buffer.

Parameters

close

Current bar's close price. Must be positive and finite; non-positive / non-finite values are silently ignored (no state change) to protect the pipeline from bad data.

Note

noexcept.

Definition at line 89 of file beta_calculator.hpp.

warmed_up()

template<std::size_t N = 3u>

bool srfm::stream::BetaCalculator< N >::warmed_up ( ) const

inlinenoexcept

Whether enough data has been seen to produce a reliable β.

True once N+1 close prices have been ingested (N log-returns computed).

Definition at line 133 of file beta_calculator.hpp.

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

• include/srfm/stream/beta_calculator.hpp