beta_calculator.hpp File Reference

Online market-velocity β calculator (FIX-N mode). More...

#include <array>
#include <cmath>
#include <cstddef>

Go to the source code of this file.

Classes
class	srfm::stream::BetaCalculator< N >
	Online β estimator with a sliding window of N log-returns. More...

Namespaces
namespace	srfm
namespace	srfm::stream

Typedefs
using	srfm::stream::BetaCalculatorFix3 = BetaCalculator< 3u >
	Convenience alias for the default FIX-3 mode used throughout this pipeline.

Variables
constexpr double	srfm::stream::BETA_MAX_SAFE = 0.9999
	Maximum safe |β| — mirrors srfm::momentum::BETA_MAX_SAFE.
constexpr double	srfm::stream::DEFAULT_C_MARKET = 0.02

Detailed Description

Online market-velocity β calculator (FIX-N mode).

Module: include/srfm/stream/ Owner: AGT-10 (Builder) — 2026-03-01

Responsibility

Compute the normalised market velocity β used by the Lorentz transform:

log_return[i] = ln(close[i] / close[i-1]) velocity_raw = mean(log_return[last N bars]) β = clamp(velocity_raw / c_market, −BETA_MAX_SAFE, +BETA_MAX_SAFE)

where N is the FIX parameter (default 3) and c_market is a calibration constant representing the "speed of light" for this market (typical daily log-return magnitude used as the upper bound).

FIX-3 (N=3) means exactly 3 consecutive log-returns are averaged. This matches the original SRFM reference implementation's BetaCalculator.

Guarantees

• Online: O(1) per tick. • Bounded: stores exactly N+1 close prices. • Always valid: β ∈ (−BETA_MAX_SAFE, +BETA_MAX_SAFE) after warm-up. • Returns β = 0 until N+1 prices have been seen (conservative). • noexcept: update() and beta() are noexcept.

NOT Responsible For

• Calibrating c_market (caller provides it at construction) • Cross-asset composition (compose_velocities in srfm::momentum)

Definition in file beta_calculator.hpp.