Market data

Module: Shoals.MarketData.

This module provides record types for a single quote, an OHLCV bar, and a named snapshot of quotes, with constructors, field accessors, and a linear-scan lookup on a snapshot. Dates come from Std.Time.

Quote

type Side =
  | Bid
  | Ask
  | Mid
  | Last

type Quote =
  | Quote { side: Side, value: f32, asof: Date }

def quote(side: Side, value: f32, asof: Date) -> Quote
def quote_side(q: Quote) -> Side
def quote_value(q: Quote) -> f32

A Quote carries a side (bid, ask, mid, or last), a value, and an as-of date. quote constructs one; quote_side and quote_value read the side and value back. From tests/marketdata.ch:

d = date(cast(2025, int64), cast(6, int64), cast(15, int64))
q = quote(Bid, cast(100.5, f32), d)
v = quote_value(q)  // v == 100.5

Bar

type Bar =
  | Bar { asof: Date, open: f32, high: f32, low: f32, close: f32, volume: f32 }

def bar(asof: Date, open: f32, high: f32, low: f32, close: f32, volume: f32) -> Bar
def md_bar_open(b: Bar) -> f32
def md_bar_high(b: Bar) -> f32
def md_bar_low(b: Bar) -> f32
def md_bar_close(b: Bar) -> f32
def md_bar_volume(b: Bar) -> f32

A Bar is an open-high-low-close-volume record with an as-of date. bar constructs one; the md_bar_* accessors read each field. From tests/marketdata.ch:

b = bar(d, cast(100.0, f32), cast(101.0, f32), cast(99.5, f32), cast(100.5, f32), cast(1000.0, f32))
h = md_bar_high(b)  // h == 101.0

Snapshot

type Snapshot =
  | Snapshot { asof: Date, quotes: List[(string, Quote)] }

def snapshot(asof: Date, quotes: List[(string, Quote)]) -> Snapshot
def snapshot_lookup(s: Snapshot, key: string) -> Option[Quote]

A Snapshot is an as-of date and a list of keyed quotes. snapshot constructs one from a list of (key, quote) pairs. snapshot_lookup scans the list for a key and returns Some(quote) if found or None if absent. From tests/marketdata.ch:

s = snapshot(d, [("SPX", quote(Mid, cast(5000.0, f32), d))])
found = match snapshot_lookup(s, "SPX") with {
  | Some(_) => true
  | None => false
}  // found == true