pineforge::hpo::ReturnSeriesStats Struct Reference

All published fields of one series plus diagnostics. More...

#include <pineforge/hpo/return_stats.hpp>

Public Member Functions
double	value (ReturnStatistic statistic) const noexcept
	Returns the field as the double the metric layer publishes; NaN stands for null.
bool	all_fields_finite () const noexcept
	True when count, skipped and all six real fields are finite.
bool	status_invariant_holds () const noexcept
	True when status is Ok exactly when every other field is finite.
void	enforce_status_invariant () noexcept
	Final step of every computation: sets status Ok when all fields are finite, and replaces a status Ok that has an undefined field with DerivedNonfinite, so that no series is ever published as qualified while a field is null.

Public Attributes
ReturnStatsStatus	status = ReturnStatsStatus::NonfiniteInput
	Series status; a default-constructed series is the null series with status 4.
std::optional< std::int64_t >	count
	T; empty when the series is not interpretable.
std::optional< std::int64_t >	skipped
	Skipped intervals; empty with count.
double	periods_per_year = std::numeric_limits<double>::quiet_NaN()
	P or NaN.
double	mean = std::numeric_limits<double>::quiet_NaN()
	Mean or NaN.
double	std_dev = std::numeric_limits<double>::quiet_NaN()
	Wire field std.
double	sharpe_per_period = std::numeric_limits<double>::quiet_NaN()
	Sharpe or NaN.
double	skew = std::numeric_limits<double>::quiet_NaN()
	Skewness or NaN.
double	kurt_raw = std::numeric_limits<double>::quiet_NaN()
	Raw kurtosis or NaN.
ReturnPeriodFailure	period_failure = ReturnPeriodFailure::None
	Diagnostic, not on the wire: the reason behind status PeriodUnavailable.
std::int64_t	intervals = 0
	Diagnostic, not on the wire: intervals examined, equal to T plus skipped plus nonfinite_returns whenever count is present.
std::int64_t	nonfinite_returns = 0
	Diagnostic, not on the wire: intervals whose return was not finite.

Detailed Description

All published fields of one series plus diagnostics.

Undefined numeric fields are NaN and become JSON null on the wire; an infinity is never stored. The std_dev member is the wire field std, renamed only because std names a namespace.

Definition at line 133 of file return_stats.hpp.

Member Function Documentation

all_fields_finite()

bool pineforge::hpo::ReturnSeriesStats::all_fields_finite ( ) const

noexcept

True when count, skipped and all six real fields are finite.

enforce_status_invariant()

void pineforge::hpo::ReturnSeriesStats::enforce_status_invariant ( )

noexcept

Final step of every computation: sets status Ok when all fields are finite, and replaces a status Ok that has an undefined field with DerivedNonfinite, so that no series is ever published as qualified while a field is null.

status_invariant_holds()

bool pineforge::hpo::ReturnSeriesStats::status_invariant_holds ( ) const

noexcept

True when status is Ok exactly when every other field is finite.

value()

double pineforge::hpo::ReturnSeriesStats::value ( ReturnStatistic  statistic ) const

noexcept

Returns the field as the double the metric layer publishes; NaN stands for null.

Member Data Documentation

count

std::optional<std::int64_t> pineforge::hpo::ReturnSeriesStats::count

T; empty when the series is not interpretable.

Definition at line 136 of file return_stats.hpp.

intervals

std::int64_t pineforge::hpo::ReturnSeriesStats::intervals = 0

Diagnostic, not on the wire: intervals examined, equal to T plus skipped plus nonfinite_returns whenever count is present.

Definition at line 149 of file return_stats.hpp.

kurt_raw

double pineforge::hpo::ReturnSeriesStats::kurt_raw = std::numeric_limits<double>::quiet_NaN()

Raw kurtosis or NaN.

Definition at line 143 of file return_stats.hpp.

mean

double pineforge::hpo::ReturnSeriesStats::mean = std::numeric_limits<double>::quiet_NaN()

Mean or NaN.

Definition at line 139 of file return_stats.hpp.

nonfinite_returns

std::int64_t pineforge::hpo::ReturnSeriesStats::nonfinite_returns = 0

Diagnostic, not on the wire: intervals whose return was not finite.

Such an interval is neither counted in T nor in skipped, and it makes the statistics null (status 8).

Definition at line 152 of file return_stats.hpp.

period_failure

ReturnPeriodFailure pineforge::hpo::ReturnSeriesStats::period_failure = ReturnPeriodFailure::None

Diagnostic, not on the wire: the reason behind status PeriodUnavailable.

Definition at line 146 of file return_stats.hpp.

periods_per_year

double pineforge::hpo::ReturnSeriesStats::periods_per_year = std::numeric_limits<double>::quiet_NaN()

P or NaN.

Definition at line 138 of file return_stats.hpp.

sharpe_per_period

double pineforge::hpo::ReturnSeriesStats::sharpe_per_period = std::numeric_limits<double>::quiet_NaN()

Sharpe or NaN.

Definition at line 141 of file return_stats.hpp.

skew

double pineforge::hpo::ReturnSeriesStats::skew = std::numeric_limits<double>::quiet_NaN()

Skewness or NaN.

Definition at line 142 of file return_stats.hpp.

skipped

std::optional<std::int64_t> pineforge::hpo::ReturnSeriesStats::skipped

Skipped intervals; empty with count.

Definition at line 137 of file return_stats.hpp.

status

ReturnStatsStatus pineforge::hpo::ReturnSeriesStats::status = ReturnStatsStatus::NonfiniteInput

Series status; a default-constructed series is the null series with status 4.

Definition at line 135 of file return_stats.hpp.

std_dev

double pineforge::hpo::ReturnSeriesStats::std_dev = std::numeric_limits<double>::quiet_NaN()

Wire field std.

Definition at line 140 of file return_stats.hpp.

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

• return_stats.hpp