Package: `regimeflow::data`¶

Summary¶

Data access and normalization layer. Provides tick/bar types, data sources (memory, mmap, database, live), iterators, validation utilities, and symbol metadata. The data package is responsible for delivering consistent market data into the event pipeline.

Related diagrams: - Data Flow - Structural Flow

File Index¶

File	Purpose
`regimeflow/data/api_data_source.h`	API-backed data source interface.
`regimeflow/data/alpaca_data_client.h`	Alpaca REST client (assets, bars, snapshots).
`regimeflow/data/alpaca_data_source.h`	Alpaca REST-backed data source.
`regimeflow/data/bar.h`	Bar OHLCV type and helpers.
`regimeflow/data/bar_builder.h`	Bar aggregation utilities.
`regimeflow/data/corporate_actions.h`	Splits/dividends and adjustment metadata.
`regimeflow/data/csv_reader.h`	CSV market data reader.
`regimeflow/data/data_source.h`	Base data source interface.
`regimeflow/data/data_source_factory.h`	Factory for constructing data sources.
`regimeflow/data/data_validation.h`	Validation entrypoints and orchestration.
`regimeflow/data/db_client.h`	Database client abstraction.
`regimeflow/data/db_csv_adapter.h`	CSV bridge for DB-like inputs.
`regimeflow/data/db_source.h`	Database-backed data source.
`regimeflow/data/live_feed.h`	Live feed base interface.
`regimeflow/data/memory_data_source.h`	In-memory data source for tests and small runs.
`regimeflow/data/merged_iterator.h`	Merge-join iterators for multi-symbol data.
`regimeflow/data/metadata_data_source.h`	Symbol metadata access.
`regimeflow/data/mmap_data_source.h`	Memory-mapped data source.
`regimeflow/data/mmap_reader.h`	Mmap reader utilities.
`regimeflow/data/mmap_storage.h`	Mmap storage manager and layout.
`regimeflow/data/mmap_writer.h`	Mmap writer utilities.
`regimeflow/data/order_book.h`	Order book representation.
`regimeflow/data/order_book_mmap.h`	Mmap order book layout.
`regimeflow/data/order_book_mmap_data_source.h`	Mmap-backed order book source.
`regimeflow/data/postgres_client.h`	PostgreSQL client implementation.
`regimeflow/data/snapshot_access.h`	Consistent snapshot read helpers.
`regimeflow/data/symbol_metadata.h`	Symbol metadata structures.
`regimeflow/data/tick.h`	Tick type and helpers.
`regimeflow/data/tick_csv_reader.h`	Tick CSV reader.
`regimeflow/data/tick_mmap.h`	Mmap tick layout.
`regimeflow/data/tick_mmap_data_source.h`	Mmap-backed tick source.
`regimeflow/data/time_series_query.h`	Query constraints for time-series access.
`regimeflow/data/validation_config.h`	Validation configuration schema.
`regimeflow/data/validation_utils.h`	Validation helpers for ticks/bars.
`regimeflow/data/websocket_feed.h`	Generic websocket live feed with schema validation.

Type Index¶

Type	Description
`Bar`, `Tick`	Canonical market data types.
`BarBuilder`	Aggregates ticks into bars.
`DataSource`	Common interface for data iteration.
`AlpacaDataClient`	Alpaca REST helper for assets/bars/trades/snapshots.
`AlpacaDataSource`	REST-backed data source using Alpaca bars and trades.
`LiveFeed`	Base interface for streaming live data.
`MmapDataSource`	High-throughput, low-latency playback source.
`MemoryDataSource`	Lightweight in-memory data source.
`MergedTickIterator`, `MergedOrderBookIterator`	Multi-stream merge iterators.
`OrderBook`	Book snapshot state container.
`SymbolMetadata`	Metadata for contract sizing, currency, and exchange info.
`ValidationConfig`	Validation thresholds for data integrity.

Lifecycle & Usage Notes¶

Backtests typically use MmapDataSource + MergedTickIterator for deterministic playback.
Live trading uses LiveFeed implementations and WebSocketFeed schema validation.
Data validation is designed to run pre-ingest and at runtime for backtest integrity.
SymbolMetadata should be loaded before portfolio and risk checks to ensure sizing is correct.
Use AlpacaDataClient for lightweight Alpaca REST pulls (assets, bars, trades, snapshots).

Type Details¶

`Bar` / `Tick` / `Quote`¶

Canonical market data types used by the engine.

Fields and Helpers:

Member	Description
`Bar` fields	Timestamp, symbol, OHLCV, trade count, VWAP.
`Bar::mid()`	Mid price between high/low.
`Bar::typical()`	Typical price.
`Bar::range()`	High-low range.
`Bar::is_bullish()`	Close > open.
`Bar::is_bearish()`	Close < open.
`Tick` fields	Timestamp, symbol, price, quantity, flags.
`Quote` fields	Timestamp, symbol, bid/ask, sizes.
`Quote::mid()`	Mid price.
`Quote::spread()`	Absolute spread.
`Quote::spread_bps()`	Spread in bps.
`BarType`	Bar aggregation enum.

`BarBuilder`¶

Aggregates ticks into bars by time or volume.

Methods:

Method	Description
`BarBuilder(config)`	Construct builder with configuration.
`process(tick)`	Process a tick and emit bar if complete.
`flush()`	Flush current in-progress bar.
`reset()`	Reset builder state.

Method Details:

`BarBuilder(config)`¶

Parameters: builder config. Returns: Instance. Throws: None.

`process(tick)`¶

Parameters: tick input. Returns: Optional bar. Throws: None.

`flush()`¶

Parameters: None. Returns: Optional bar. Throws: None.

`reset()`¶

Parameters: None. Returns: void. Throws: None.

`MultiSymbolBarBuilder`¶

Aggregates bars for multiple symbols simultaneously.

Methods:

Method	Description
`MultiSymbolBarBuilder(config)`	Construct multi-symbol builder.
`process(tick)`	Process a tick and emit bar if complete.
`flush_all()`	Flush all in-progress bars.

Method Details:

`MultiSymbolBarBuilder(config)`¶

Parameters: builder config. Returns: Instance. Throws: None.

`process(tick)`¶

Parameters: tick input. Returns: Optional bar. Throws: None.

`flush_all()`¶

Parameters: None. Returns: Vector of bars. Throws: None.

`DataSource`¶

Abstract interface for historical data access.

Methods:

Method	Description
`get_available_symbols()`	Enumerate available symbols.
`get_available_range(symbol)`	Get available time range.
`get_bars(symbol, range, bar_type)`	Fetch bars.
`get_ticks(symbol, range)`	Fetch ticks.
`get_order_books(symbol, range)`	Fetch order books.
`create_iterator(symbols, range, bar_type)`	Create bar iterator.
`create_tick_iterator(symbols, range)`	Create tick iterator.
`create_book_iterator(symbols, range)`	Create order book iterator.
`get_corporate_actions(symbol, range)`	Fetch corporate actions.

Method Details:

`get_available_symbols()`¶

Parameters: None. Returns: Vector of symbols. Throws: None.

`get_available_range(symbol)`¶

Parameters: symbol ID. Returns: TimeRange. Throws: None.

`get_bars(symbol, range, bar_type)`¶

Parameters: symbol, range, bar type. Returns: Vector of bars. Throws: None.

`get_ticks(symbol, range)`¶

Parameters: symbol, range. Returns: Vector of ticks. Throws: None.

`get_order_books(symbol, range)`¶

Parameters: symbol, range. Returns: Vector of order books. Throws: None.

`create_iterator(symbols, range, bar_type)`¶

Parameters: symbol list, range, bar type. Returns: DataIterator pointer. Throws: None.

`create_tick_iterator(symbols, range)`¶

Parameters: symbol list, range. Returns: TickIterator pointer. Throws: None.

`create_book_iterator(symbols, range)`¶

Parameters: symbol list, range. Returns: OrderBookIterator pointer. Throws: None.

`get_corporate_actions(symbol, range)`¶

Parameters: symbol, range. Returns: Vector of corporate actions. Throws: None.

`DataIterator` / `TickIterator` / `OrderBookIterator`¶

Abstract iterators for bars, ticks, and order books.

Methods:

Method	Description
`has_next()`	True if more data exists.
`next()`	Retrieve next item.
`reset()`	Reset to beginning.

Method Details:

`has_next()`¶

Parameters: None. Returns: bool. Throws: None.

`next()`¶

Parameters: None. Returns: Next element. Throws: None.

`reset()`¶

Parameters: None. Returns: void. Throws: None.

`MergedBarIterator` / `MergedTickIterator` / `MergedOrderBookIterator`¶

Merge multiple iterators into a time-ordered stream.

Methods:

Method	Description
`Merged*Iterator(iterators)`	Construct with iterator list.
`has_next()`	True if more items exist.
`next()`	Return next merged item.
`reset()`	Reset iterators and heap.

Method Details:

`Merged*Iterator(iterators)`¶

Parameters: iterator list. Returns: Instance. Throws: None.

`has_next()` / `next()` / `reset()`¶

Parameters: None. Returns: Bool/next element/void. Throws: None.

`CSVDataSource` / `CSVTickDataSource`¶

CSV-backed data sources for bars and ticks.

Methods:

Method	Description
`CSVDataSource(config)`	Construct bar CSV source.
`CSVTickDataSource(config)`	Construct tick CSV source.
`get_available_symbols()`	Enumerate available symbols.
`get_available_range(symbol)`	Get available time range.
`get_bars(...)`	Fetch bars (bar CSV).
`get_ticks(...)`	Fetch ticks.
`create_iterator(...)`	Create bar iterator.
`create_tick_iterator(...)`	Create tick iterator (tick CSV).
`get_corporate_actions(...)`	Fetch corporate actions.
`last_report()`	Last validation report.

`ApiDataSource`¶

REST API-backed data source.

Methods:

Method	Description
`ApiDataSource(config)`	Construct API source.

`AlpacaDataClient`¶

Lightweight REST client for Alpaca assets and market data.

Methods:

Method	Description
`list_assets(status, asset_class)`	Fetch asset metadata.
`get_bars(symbols, timeframe, start, end, limit, page_token)`	Fetch historical bars (paginated).
`get_trades(symbols, start, end, limit, page_token)`	Fetch trades/ticks (paginated).
`get_snapshot(symbol)`	Fetch latest snapshot for a symbol.

`AlpacaDataSource`¶

REST-backed DataSource that pulls historical bars and trades from Alpaca.

`DbClient` / `DatabaseDataSource`¶

Database-backed client and data source.

Methods:

Method	Description
`query_bars(symbol, range, bar_type)`	Query bars via DB client.
`query_ticks(symbol, range)`	Query ticks via DB client.
`list_symbols()`	List symbols.
`list_symbols_with_metadata(table)`	List symbols with metadata.
`get_available_range(symbol)`	Available range.
`query_corporate_actions(symbol, range)`	Query corporate actions.
`query_order_books(symbol, range)`	Query order books.
`DatabaseDataSource(config)`	Construct DB data source.
`set_client(client)`	Inject DB client.
`set_corporate_actions(symbol, actions)`	Inject corporate actions.
`get_available_symbols()`	Enumerate symbols.
`get_available_range(symbol)`	Available range.
`get_bars(...)` / `get_ticks(...)` / `get_order_books(...)`	Fetch data.
`create_iterator(...)` / `create_tick_iterator(...)` / `create_book_iterator(...)`	Create iterators.
`get_corporate_actions(...)`	Fetch corporate actions.
`last_report()`	Last validation report.

`MemoryDataSource`¶

In-memory data source for tests or ad-hoc usage.

Methods:

Method	Description
`add_bars(symbol, bars)`	Add bars to memory store.
`add_ticks(symbol, ticks)`	Add ticks to memory store.
`add_order_books(symbol, books)`	Add order books.
`add_symbol_info(info)`	Add symbol metadata.
`set_corporate_actions(symbol, actions)`	Add corporate actions.
`get_available_symbols()`	Enumerate symbols.
`get_available_range(symbol)`	Get time range.
`get_bars(...)`	Fetch bars.
`get_ticks(...)`	Fetch ticks.
`get_order_books(...)`	Fetch order books.
`create_iterator(...)`	Create bar iterator.
`create_tick_iterator(...)`	Create tick iterator.
`create_book_iterator(...)`	Create order book iterator.
`get_corporate_actions(...)`	Fetch corporate actions.

`MemoryMappedDataSource`¶

Mmap-backed data source for large historical datasets.

Methods:

Method	Description
`MemoryMappedDataSource(config)`	Construct mmap data source.
`get_available_symbols()`	Enumerate symbols.
`get_available_range(symbol)`	Available time range.
`get_bars(...)`	Fetch bars.
`get_ticks(...)`	Fetch ticks.
`create_iterator(...)`	Create bar iterator.
`get_corporate_actions(...)`	Fetch corporate actions.
`set_corporate_actions(symbol, actions)`	Inject corporate actions.

`MemoryMappedDataFile`¶

Memory-mapped access to bar data files.

Methods:

Method	Description
`MemoryMappedDataFile(path)`	Map a file into memory.
`~MemoryMappedDataFile()`	Unmap and close file.
`header()`	Access file header.
`symbol()`	Symbol string.
`symbol_id()`	Symbol ID.
`time_range()`	Covered time range.
`bar_count()`	Number of bars.
`operator[](index)`	Bar view (unchecked).
`at(index)`	Bar view (checked).
`begin()` / `end()`	Iterate bar views.
`find_range(range)`	Find index range for time range.
`timestamps()` / `opens()` / `highs()` / `lows()` / `closes()` / `volumes()`	Column views.
`date_index_count()`	Date index count.
`preload_index()`	Preload date index.

`OrderBookMmapFile` / `OrderBookMmapWriter`¶

Memory-mapped order book snapshots and writer.

Methods:

Method	Description
`OrderBookMmapFile(path)`	Map order book file.
`~OrderBookMmapFile()`	Unmap and close file.
`header()`	Access file header.
`symbol()`	Symbol string.
`symbol_id()`	Symbol ID.
`time_range()`	Covered time range.
`book_count()`	Number of snapshots.
`at(index)`	Read snapshot at index.
`find_range(range)`	Find index range for time range.
`OrderBookMmapWriter::write_books(path, symbol, books)`	Write snapshots to file.

`OrderBookMmapDataSource`¶

Data source for memory-mapped order book snapshots.

Methods:

Method	Description
`OrderBookMmapDataSource(config)`	Construct data source.
`get_available_symbols()`	Enumerate symbols.
`get_available_range(symbol)`	Available range.
`get_order_books(symbol, range)`	Fetch order books.
`create_book_iterator(symbols, range)`	Create book iterator.
`set_corporate_actions(symbol, actions)`	Inject corporate actions.

`TickMmapFile` / `TickMmapWriter`¶

Memory-mapped tick storage and writer.

Methods:

Method	Description
`TickMmapFile(path)`	Map tick file.
`~TickMmapFile()`	Unmap and close file.
`header()`	Access file header.
`symbol()`	Symbol string.
`symbol_id()`	Symbol ID.
`time_range()`	Covered time range.
`tick_count()`	Number of ticks.
`operator[](index)` / `at(index)`	Tick view access.
`find_range(range)`	Find index range for time range.
`timestamps()` / `prices()` / `quantities()` / `flags()`	Column views.
`TickMmapWriter::write_ticks(path, symbol, ticks)`	Write ticks to file.

`TickMmapDataSource`¶

Data source for memory-mapped tick data.

Methods:

Method	Description
`TickMmapDataSource(config)`	Construct data source.
`get_available_symbols()`	Enumerate symbols.
`get_available_range(symbol)`	Available range.
`get_ticks(symbol, range)`	Fetch ticks.
`create_tick_iterator(symbols, range)`	Create tick iterator.
`set_corporate_actions(symbol, actions)`	Inject corporate actions.

`MmapWriter` / `MmapStorage`¶

Helpers for writing and reading mmap bar files.

Methods:

Method	Description
`MmapWriter::write_bars(path, symbol, bar_type, bars)`	Write bars to mmap file.
`MmapStorage(path)`	Construct storage wrapper.
`open_read()`	Open mmap file for reading.
`read_bars(symbol, range)`	Read bars from file.

`SnapshotAccess`¶

Point-in-time snapshot access from a data source.

Methods:

Method	Description
`SnapshotAccess(source)`	Construct snapshot accessor.
`bar_at(symbol, ts, bar_type)`	Get bar at timestamp.
`tick_at(symbol, ts)`	Get tick at timestamp.
`order_book_at(symbol, ts)`	Get order book at timestamp.

`TimeSeriesQuery`¶

Convenience wrapper for time-series queries.

Methods:

Method	Description
`TimeSeriesQuery(source)`	Construct query wrapper.
`bars(symbol, range, bar_type)`	Query bars.
`ticks(symbol, range)`	Query ticks.
`order_books(symbol, range)`	Query order books.

`MetadataOverlayDataSource`¶

Data source wrapper that overlays symbol metadata from CSV/config.

Methods:

Method	Description
`MetadataOverlayDataSource(inner, csv_metadata, config_metadata)`	Construct overlay.
`get_available_symbols()`	Enumerate symbols with metadata.
`get_available_range(symbol)`	Available range.
`get_bars(...)` / `get_ticks(...)` / `get_order_books(...)`	Fetch data.
`create_iterator(...)` / `create_tick_iterator(...)` / `create_book_iterator(...)`	Create iterators.
`get_corporate_actions(...)`	Fetch corporate actions.

`SymbolMetadata`¶

Symbol metadata load and apply utilities.

Functions:

Function	Description
`load_symbol_metadata_csv(path, delimiter, has_header)`	Load metadata from CSV.
`load_symbol_metadata_config(config, key)`	Load metadata from config.
`metadata_from_symbols(symbols)`	Convert SymbolInfo to metadata map.
`apply_symbol_metadata(symbols, metadata, overwrite)`	Apply metadata to symbols.

`CsvDbClient` / `PostgresDbClient`¶

DB clients backed by CSV or PostgreSQL.

Methods:

Method	Description
`CsvDbClient(source)`	Construct DB client from CSV source.
`query_bars(...)` / `query_ticks(...)` / `query_order_books(...)`	Query data.
`list_symbols()`	List symbols.
`get_available_range(symbol)`	Available range.
`query_corporate_actions(symbol, range)`	Query corporate actions.
`PostgresDbClient(config)`	Construct Postgres client.
`list_symbols_with_metadata(table)`	List symbols with metadata.

`LiveFeed` / `PollingRestFeed`¶

Live feed interfaces and polling implementation.

Methods:

Method	Description
`connect()`	Establish connection.
`disconnect()`	Disconnect feed.
`is_connected()`	Connection status.
`subscribe(symbols)`	Subscribe to symbols.
`unsubscribe(symbols)`	Unsubscribe.
`on_bar(cb)`	Register bar callback.
`on_tick(cb)`	Register tick callback.
`on_book(cb)`	Register order book callback.
`poll()`	Poll for new data.

`WebSocketFeed`¶

WebSocket live feed with validation and reconnect logic.

Methods:

Method	Description
`WebSocketFeed(config)`	Construct feed.
`connect()`	Connect to endpoint.
`disconnect()`	Disconnect feed.
`is_connected()`	Connection status.
`subscribe(symbols)`	Subscribe to symbols.
`unsubscribe(symbols)`	Unsubscribe.
`on_bar(cb)`	Register bar callback.
`on_tick(cb)`	Register tick callback.
`on_book(cb)`	Register order book callback.
`on_raw(cb)`	Register raw message callback.
`on_reconnect(cb)`	Register reconnect callback.
`validate_tls_config()`	Validate TLS configuration.
`handle_message(message)`	Process raw message.
`send_raw(message)`	Send raw message.
`poll()`	Poll socket for data.

`OrderBook`¶

Order book snapshot types.

Fields:

Member	Description
`BookLevel`	Price level (price, quantity, orders).
`OrderBook`	Timestamp, symbol, bids, asks.

`CorporateActionAdjuster`¶

Applies corporate actions to data and symbol mappings.

Methods:

Method	Description
`add_actions(symbol, actions)`	Add corporate actions.
`adjust_bar(symbol, bar)`	Adjust bar for actions.
`resolve_symbol(symbol)`	Resolve latest symbol.
`resolve_symbol(symbol, at)`	Resolve symbol at time.
`aliases_for(symbol)`	Get aliases.

`DataSourceFactory`¶

Creates data sources from configuration.

Methods:

Method	Description
`create(config)`	Build data source from config.

`ValidationReport`¶

Aggregated validation report for ingestion.

Methods:

Method	Description
`add_issue(issue)`	Add validation issue.
`ok()`	True if no errors.
`error_count()`	Count of errors.
`warning_count()`	Count of warnings.
`issues()`	All issues.
`summary()`	Summary string.

`ValidationConfig`¶

Validation thresholds for data integrity.

Fields:

Member	Description
`ValidationConfig`	Limits for gaps, jumps, bounds, and outliers.
`ValidationAction`	Action enum for validation outcomes.

`ValidationUtils`¶

Validation helpers for bars and ticks.

Functions:

Function	Description
`bar_interval_for(bar_type)`	Resolve expected bar interval.
`fill_missing_time_bars(bars, interval)`	Fill gaps for time bars.
`validate_bars(bars, bar_type, config, fill, collect, report)`	Validate and optionally repair bars.
`validate_ticks(ticks, config, collect, report)`	Validate tick data.

`SymbolMetadata`¶

Instrument metadata used for contract sizing and compliance.

Fields:

Member	Description
`SymbolInfo`	Symbol metadata record (exchange, tick size, sector, etc).

`SymbolInfo`¶

Metadata describing a tradeable symbol.

Fields:

Member	Description
`ticker`	Symbol string.
`exchange`	Exchange venue.
`asset_class`	Asset class enum.
`currency`	Base currency.
`tick_size`	Minimum price increment.
`lot_size`	Lot size.
`multiplier`	Contract multiplier.
`sector` / `industry`	Sector and industry tags.

`CorporateActionType` / `CorporateAction`¶

Corporate actions and adjustments metadata.

Fields:

Member	Description
`Split` / `Dividend` / `SymbolChange`	Corporate action types.
`effective_date`	Action effective date.
`factor` / `amount`	Adjustment parameters.
`new_symbol`	New symbol after change.

`ValidationSeverity` / `ValidationIssue` / `ValidationAction`¶

Validation issue metadata and actions.

Fields:

Member	Description
`ValidationSeverity`	Error or warning.
`ValidationIssue`	Line, severity, and message.
`ValidationAction`	Fail/Skip/Fill/Continue actions.

`BookLevel`¶

Single level in an order book.

Fields:

Member	Description
`price`	Level price.
`quantity`	Level quantity.
`num_orders`	Number of orders at level.

`LiveFeedAdapter`¶

Base interface for live data feeds.

Methods:

Method	Description
`connect()` / `disconnect()` / `is_connected()`	Connection lifecycle.
`subscribe(symbols)` / `unsubscribe(symbols)`	Symbol subscriptions.
`on_bar(cb)` / `on_tick(cb)` / `on_book(cb)`	Data callbacks.
`poll()`	Poll for updates.

`VectorBarIterator` / `VectorTickIterator` / `VectorOrderBookIterator`¶

In-memory iterators over bars, ticks, and order books.

Methods:

Method	Description
`has_next()` / `next()` / `reset()`	Standard iterator lifecycle.

`InMemoryDbClient`¶

In-memory DB client for tests and ad-hoc data.

Methods:

Method	Description
`add_bars(...)` / `add_ticks(...)` / `add_order_books(...)`	Add data.
`add_symbol_info(...)` / `add_corporate_actions(...)`	Add metadata.
`query_bars(...)` / `query_ticks(...)` / `query_order_books(...)`	Query data.
`list_symbols()`	List symbols.
`get_available_range(symbol)`	Available range.

`DatabaseDataSource`¶

Database-backed data source (wraps DbClient).

Methods:

Method	Description
`DatabaseDataSource(config)`	Construct data source.
`set_client(client)`	Inject DB client.
`set_corporate_actions(symbol, actions)`	Inject corporate actions.
`get_available_symbols()`	Enumerate symbols.
`get_available_range(symbol)`	Available range.
`get_bars(...)` / `get_ticks(...)` / `get_order_books(...)`	Fetch data.
`create_iterator(...)` / `create_tick_iterator(...)` / `create_book_iterator(...)`	Create iterators.
`get_corporate_actions(...)`	Fetch corporate actions.

`FileHeader` / `DateIndex` / `BarView` / `Iterator`¶

Mmap bar file layout and views.

Fields and Helpers:

Member	Description
`FileHeader`	Mmap bar file header layout.
`DateIndex`	Date-to-offset entry.
`BarView`	Zero-copy bar view.
`Iterator`	Forward iterator for bar views.

`BookFileHeader` / `BookDateIndex`¶

Mmap order book file layout types.

`TickFileHeader` / `TickDateIndex` / `TickView`¶

Mmap tick file layout types and views.

`BarType`¶

Bar aggregation enum (time/volume/tick/dollar).

`CorporateAction` / `CorporateActionType`¶

Corporate action records and enum.

`Tick` / `Quote`¶

Tick and quote data types.

`TickIterator` / `OrderBookIterator`¶

Iterator interfaces for ticks and order books.

`ValidationIssue` / `ValidationSeverity` / `ValidationAction`¶

Validation issue metadata and severity/action enums.

`PollingRestFeed`¶

Polling REST feed implementation of LiveFeedAdapter.

`CSVTickDataSource`¶

Tick CSV data source.

`VectorTickIterator` / `VectorOrderBookIterator`¶

In-memory iterators for ticks and order books.

`MergedTickIterator` / `MergedOrderBookIterator`¶

Merged iterators for multi-symbol streams.

`MmapStorage`¶

Wrapper for reading bars from mmap files.

`OrderBookMmapWriter`¶

Writer for mmap order book files.

`TickMmapWriter`¶

Writer for mmap tick files.

`ConnectionPool` / `PostgresDbClient`¶

PostgreSQL connection pool and DB client.

`ReconnectState`¶

WebSocket reconnect state snapshot.

`OrderBookIterator`¶

Order book iterator interface.

`VectorOrderBookIterator`¶

In-memory order book iterator.

`MergedOrderBookIterator`¶

Merged iterator for order book streams.

`PostgresDbClient`¶

PostgreSQL-backed DB client.

`Quote`¶

Best bid/ask quote snapshot type.

`ValidationAction`¶

Validation action enum for data ingestion.

Method Details¶

Type Hints:

symbol → SymbolId
symbols → std::vector<SymbolId>
range → TimeRange
bar_type → BarType
bar → Bar
tick → Tick
book → OrderBook
config → data source config struct

`DataSource`¶

`get_available_symbols()`¶

Parameters: None. Returns: Vector of symbols. Throws: None.

`get_available_range(symbol)`¶

Parameters: symbol ID. Returns: TimeRange. Throws: None.

`get_bars(symbol, range, bar_type)`¶

Parameters: symbol, range, bar type. Returns: Vector of bars. Throws: None.

`get_ticks(symbol, range)`¶

Parameters: symbol, range. Returns: Vector of ticks. Throws: None.

`get_order_books(symbol, range)`¶

Parameters: symbol, range. Returns: Vector of order books. Throws: None.

`create_iterator(symbols, range, bar_type)`¶

Parameters: symbol list, range, bar type. Returns: DataIterator pointer. Throws: None.

`create_tick_iterator(symbols, range)`¶

Parameters: symbol list, range. Returns: TickIterator pointer. Throws: None.

`create_book_iterator(symbols, range)`¶

Parameters: symbol list, range. Returns: OrderBookIterator pointer. Throws: None.

`get_corporate_actions(symbol, range)`¶

Parameters: symbol, range. Returns: Vector of corporate actions. Throws: None.

`DataIterator` / `TickIterator` / `OrderBookIterator`¶

`has_next()`¶

Parameters: None. Returns: bool. Throws: None.

`next()`¶

Parameters: None. Returns: Next element. Throws: None.

`reset()`¶

Parameters: None. Returns: void. Throws: None.

`CSVDataSource` / `CSVTickDataSource`¶

`CSVDataSource(config)` / `CSVTickDataSource(config)`¶

Parameters: config. Returns: Instance. Throws: None.

`get_available_symbols()` / `get_available_range(symbol)`¶

Parameters: None or symbol. Returns: symbol list / time range. Throws: None.

`get_bars(...)` / `get_ticks(...)`¶

Parameters: symbol, range, bar type. Returns: bars/ticks. Throws: Error::ParseError for invalid CSV.

`create_iterator(...)` / `create_tick_iterator(...)`¶

Parameters: symbols, range, bar type. Returns: iterator pointer. Throws: None.

`get_corporate_actions(...)`¶

Parameters: symbol, range. Returns: corporate actions. Throws: None.

`last_report()`¶

Parameters: None. Returns: ValidationReport. Throws: None.

`ApiDataSource`¶

`ApiDataSource(config)`¶

Parameters: API config. Returns: Instance. Throws: None.

`get_available_symbols()` / `get_available_range(symbol)`¶

Parameters: None or symbol. Returns: symbol list / time range. Throws: Error::NetworkError on API failure.

`get_bars(...)` / `get_ticks(...)`¶

Parameters: symbol, range, bar type. Returns: bars/ticks. Throws: Error::NetworkError/Error::ParseError.

`create_iterator(...)`¶

Parameters: symbols, range, bar type. Returns: iterator pointer. Throws: None.

`get_corporate_actions(...)`¶

Parameters: symbol, range. Returns: corporate actions. Throws: None.

`MemoryDataSource`¶

`add_bars(...)` / `add_ticks(...)` / `add_order_books(...)`¶

Parameters: symbol, data. Returns: void. Throws: None.

`add_symbol_info(...)` / `set_corporate_actions(...)`¶

Parameters: metadata. Returns: void. Throws: None.

`get_available_symbols()` / `get_available_range(symbol)`¶

Parameters: None or symbol. Returns: symbol list / time range. Throws: None.

`get_bars(...)` / `get_ticks(...)` / `get_order_books(...)`¶

Parameters: symbol, range. Returns: bars/ticks/books. Throws: None.

`create_iterator(...)` / `create_tick_iterator(...)` / `create_book_iterator(...)`¶

Parameters: symbols, range, bar type. Returns: iterator pointer. Throws: None.

`get_corporate_actions(...)`¶

Parameters: symbol, range. Returns: corporate actions. Throws: None.

`LiveFeed` / `PollingRestFeed`¶

`connect()` / `disconnect()` / `is_connected()`¶

Parameters: None. Returns: Result<void> or bool. Throws: Error::InvalidState for polling feeds when the data source is missing. Adapter implementations may also return Error::NetworkError.

`subscribe(symbols)` / `unsubscribe(symbols)`¶

Parameters: symbol list. Returns: void. Throws: None.

`on_bar(cb)` / `on_tick(cb)` / `on_book(cb)`¶

Parameters: callback. Returns: void. Throws: None.

`poll()`¶

Parameters: None. Returns: void. Throws: None.

`WebSocketFeed`¶

`WebSocketFeed(config)`¶

Parameters: feed config. Returns: Instance. Throws: None.

`connect()` / `disconnect()` / `is_connected()`¶

Parameters: None. Returns: Result<void> or bool. Throws: Error::InvalidArgument for invalid URL or missing host, Error::InvalidState when the build lacks Boost.Beast/OpenSSL support, Error::NetworkError on connection failures.

`subscribe(symbols)` / `unsubscribe(symbols)`¶

Parameters: symbol list. Returns: void. Throws: None.

`on_bar(cb)` / `on_tick(cb)` / `on_book(cb)` / `on_raw(cb)` / `on_reconnect(cb)`¶

Parameters: callbacks. Returns: void. Throws: None.

`validate_tls_config()`¶

Parameters: None. Returns: Result<void>. Throws: Error::InvalidArgument for invalid CA bundle, Error::InvalidState when TLS support is unavailable.

`handle_message(message)`¶

Parameters: raw message. Returns: void. Throws: None.

`send_raw(message)`¶

Parameters: raw message. Returns: Result<void>. Throws: Error::InvalidState when not connected or the stream is uninitialized, Error::InvalidArgument for empty messages, Error::NetworkError on send failures.

`poll()`¶

Parameters: None. Returns: void. Throws: None.

`OrderBookMmapDataSource`¶

`OrderBookMmapDataSource(config)`¶

Parameters: config. Returns: Instance. Throws: None.

`get_available_symbols()` / `get_available_range(symbol)`¶

Parameters: None or symbol. Returns: symbols / time range. Throws: None.

`get_order_books(symbol, range)`¶

Parameters: symbol, range. Returns: order books. Throws: None.

`create_book_iterator(symbols, range)`¶

Parameters: symbols, range. Returns: iterator pointer. Throws: None.

`set_corporate_actions(symbol, actions)`¶

Parameters: symbol, actions. Returns: void. Throws: None.

`TickMmapDataSource`¶

`TickMmapDataSource(config)`¶

Parameters: config. Returns: Instance. Throws: None.

`get_available_symbols()` / `get_available_range(symbol)`¶

Parameters: None or symbol. Returns: symbols / time range. Throws: None.

`get_ticks(symbol, range)`¶

Parameters: symbol, range. Returns: ticks. Throws: None.

`create_tick_iterator(symbols, range)`¶

Parameters: symbols, range. Returns: iterator pointer. Throws: None.

`set_corporate_actions(symbol, actions)`¶

Parameters: symbol, actions. Returns: void. Throws: None.

`MmapWriter` / `MmapStorage`¶

`MmapWriter::write_bars(path, symbol, bar_type, bars)`¶

Parameters: output path, symbol, bar type, bars. Returns: Result<void>. Throws: Error::IoError on write failure.

`MmapStorage(path)`¶

Parameters: path. Returns: Instance. Throws: None.

`open_read()`¶

Parameters: None. Returns: bool. Throws: None.

`read_bars(symbol, range)`¶

Parameters: symbol, range. Returns: bars. Throws: None.

`SnapshotAccess`¶

`SnapshotAccess(source)`¶

Parameters: data source. Returns: Instance. Throws: None.

`bar_at(symbol, ts, bar_type)`¶

Parameters: symbol, timestamp, bar type. Returns: Optional bar. Throws: None.

`tick_at(symbol, ts)`¶

Parameters: symbol, timestamp. Returns: Optional tick. Throws: None.

`order_book_at(symbol, ts)`¶

Parameters: symbol, timestamp. Returns: Optional order book. Throws: None.

`TimeSeriesQuery`¶

`TimeSeriesQuery(source)`¶

Parameters: data source. Returns: Instance. Throws: None.

`bars(symbol, range, bar_type)`¶

Parameters: symbol, range, bar type. Returns: bars. Throws: None.

`ticks(symbol, range)`¶

Parameters: symbol, range. Returns: ticks. Throws: None.

`order_books(symbol, range)`¶

Parameters: symbol, range. Returns: order books. Throws: None.

Usage Examples¶

#include \"regimeflow/data/csv_reader.h\"
#include \"regimeflow/data/data_source_factory.h\"
#include \"regimeflow/data/merged_iterator.h\"

regimeflow::data::CSVDataSource::Config cfg;
cfg.data_directory = \"./data\";
regimeflow::data::CSVDataSource source(cfg);

auto symbols = source.get_available_symbols();
auto it = source.create_iterator({symbols[0].id}, symbols[0].trading_hours,
                                 regimeflow::data::BarType::Time_1Day);
while (it->has_next()) {
    auto bar = it->next();
    (void)bar;
}

Package: regimeflow::data¶

Summary¶

File Index¶

Type Index¶

Lifecycle & Usage Notes¶

Type Details¶

Bar / Tick / Quote¶

BarBuilder¶

BarBuilder(config)¶

process(tick)¶

flush()¶

reset()¶

MultiSymbolBarBuilder¶

MultiSymbolBarBuilder(config)¶

process(tick)¶

flush_all()¶

DataSource¶

get_available_symbols()¶

get_available_range(symbol)¶

get_bars(symbol, range, bar_type)¶

get_ticks(symbol, range)¶

get_order_books(symbol, range)¶

create_iterator(symbols, range, bar_type)¶

create_tick_iterator(symbols, range)¶

create_book_iterator(symbols, range)¶

get_corporate_actions(symbol, range)¶

DataIterator / TickIterator / OrderBookIterator¶

has_next()¶

next()¶

reset()¶

MergedBarIterator / MergedTickIterator / MergedOrderBookIterator¶

Merged*Iterator(iterators)¶

has_next() / next() / reset()¶

CSVDataSource / CSVTickDataSource¶

ApiDataSource¶

AlpacaDataClient¶

AlpacaDataSource¶

DbClient / DatabaseDataSource¶

MemoryDataSource¶

MemoryMappedDataSource¶

MemoryMappedDataFile¶

OrderBookMmapFile / OrderBookMmapWriter¶

OrderBookMmapDataSource¶

TickMmapFile / TickMmapWriter¶

TickMmapDataSource¶

MmapWriter / MmapStorage¶

SnapshotAccess¶

TimeSeriesQuery¶

MetadataOverlayDataSource¶

SymbolMetadata¶

CsvDbClient / PostgresDbClient¶

LiveFeed / PollingRestFeed¶

WebSocketFeed¶

OrderBook¶

CorporateActionAdjuster¶

DataSourceFactory¶

ValidationReport¶

ValidationConfig¶

ValidationUtils¶

SymbolMetadata¶

SymbolInfo¶

CorporateActionType / CorporateAction¶

ValidationSeverity / ValidationIssue / ValidationAction¶

BookLevel¶

LiveFeedAdapter¶

VectorBarIterator / VectorTickIterator / VectorOrderBookIterator¶

InMemoryDbClient¶

DatabaseDataSource¶

FileHeader / DateIndex / BarView / Iterator¶

BookFileHeader / BookDateIndex¶

TickFileHeader / TickDateIndex / TickView¶

BarType¶

CorporateAction / CorporateActionType¶

Tick / Quote¶

TickIterator / OrderBookIterator¶

ValidationIssue / ValidationSeverity / ValidationAction¶

PollingRestFeed¶

CSVTickDataSource¶

VectorTickIterator / VectorOrderBookIterator¶

MergedTickIterator / MergedOrderBookIterator¶

Package: `regimeflow::data`¶

`Bar` / `Tick` / `Quote`¶

`BarBuilder`¶

`BarBuilder(config)`¶

`process(tick)`¶

`flush()`¶

`reset()`¶

`MultiSymbolBarBuilder`¶

`MultiSymbolBarBuilder(config)`¶

`process(tick)`¶

`flush_all()`¶

`DataSource`¶

`get_available_symbols()`¶

`get_available_range(symbol)`¶

`get_bars(symbol, range, bar_type)`¶

`get_ticks(symbol, range)`¶

`get_order_books(symbol, range)`¶

`create_iterator(symbols, range, bar_type)`¶

`create_tick_iterator(symbols, range)`¶

`create_book_iterator(symbols, range)`¶

`get_corporate_actions(symbol, range)`¶

`DataIterator` / `TickIterator` / `OrderBookIterator`¶

`has_next()`¶

`next()`¶

`reset()`¶

`MergedBarIterator` / `MergedTickIterator` / `MergedOrderBookIterator`¶

`Merged*Iterator(iterators)`¶

`has_next()` / `next()` / `reset()`¶

`CSVDataSource` / `CSVTickDataSource`¶

`ApiDataSource`¶

`AlpacaDataClient`¶

`AlpacaDataSource`¶

`DbClient` / `DatabaseDataSource`¶

`MemoryDataSource`¶

`MemoryMappedDataSource`¶

`MemoryMappedDataFile`¶

`OrderBookMmapFile` / `OrderBookMmapWriter`¶

`OrderBookMmapDataSource`¶

`TickMmapFile` / `TickMmapWriter`¶

`TickMmapDataSource`¶

`MmapWriter` / `MmapStorage`¶

`SnapshotAccess`¶

`TimeSeriesQuery`¶

`MetadataOverlayDataSource`¶

`SymbolMetadata`¶

`CsvDbClient` / `PostgresDbClient`¶

`LiveFeed` / `PollingRestFeed`¶

`WebSocketFeed`¶

`OrderBook`¶

`CorporateActionAdjuster`¶

`DataSourceFactory`¶

`ValidationReport`¶

`ValidationConfig`¶

`ValidationUtils`¶

`SymbolMetadata`¶

`SymbolInfo`¶

`CorporateActionType` / `CorporateAction`¶

`ValidationSeverity` / `ValidationIssue` / `ValidationAction`¶

`BookLevel`¶

`LiveFeedAdapter`¶

`VectorBarIterator` / `VectorTickIterator` / `VectorOrderBookIterator`¶

`InMemoryDbClient`¶

`DatabaseDataSource`¶

`FileHeader` / `DateIndex` / `BarView` / `Iterator`¶

`BookFileHeader` / `BookDateIndex`¶

`TickFileHeader` / `TickDateIndex` / `TickView`¶

`BarType`¶

`CorporateAction` / `CorporateActionType`¶

`Tick` / `Quote`¶

`TickIterator` / `OrderBookIterator`¶

`ValidationIssue` / `ValidationSeverity` / `ValidationAction`¶

`PollingRestFeed`¶

`CSVTickDataSource`¶

`VectorTickIterator` / `VectorOrderBookIterator`¶

`MergedTickIterator` / `MergedOrderBookIterator`¶

`MmapStorage`¶

`OrderBookMmapWriter`¶

`TickMmapWriter`¶

`ConnectionPool` / `PostgresDbClient`¶

`ReconnectState`¶