{"repo":"Mattbusel/fin-stream","free":true,"listed":false,"github":"https://github.com/Mattbusel/fin-stream","clone":"git clone https://github.com/Mattbusel/fin-stream.git","description":"Real-time market data streaming primitives — 100K+ ticks/second ingestion pipeline","language":"Rust","stars":11,"topics":["finance","rust","streaming","trading"],"license":"MIT","category":"trading","readme_excerpt":"Real-Time Risk Metrics The risk module computes rolling risk metrics from a price tick window. Key Types Type Description ------ ------------- RollingRisk Per-symbol rolling window of prices ( VecDeque ); all metrics computed on demand RiskSnapshot Point-in-time snapshot: volatility , var 95 , max drawdown , sharpe , last price RiskMonitor DashMap -backed concurrent monitor; update(symbol, price) + risk snapshot(symbol) Metrics Method Formula -------- --------- volatility annualized() std dev(log returns) × √(252 × ticks per day) var historical(confidence) Historical simulation: (1−confidence) percentile of sorted log returns max drawdown() max((peak − trough) / peak) over rolling window sharpe(rf daily) (mean return − rf) / std dev × √252 (annualized) portfolio var(weights) Weighted sum: Σ weight i × VaR i --- Trade Classifier The classifier module implements the Lee-Ready (1991) algorithm for buyer/seller-initiated trade classification from tick data. Key Types Type Description ------ ------------- Quote bid , ask , mid = (bid+ask)/2 — prevailing quote at trade time TradeClass BuyInitiated , SellInitiated , Unknown ClassifiedTick Enriches NormalizedTick with class and quote at trade LeeReadyClassifier Stateful classifier; maintains previous trade price for tick-test fallback TradeFlowAccumulator Rolling window of ClassifiedTick s; emits TradeFlowMetrics TradeFlowMetrics buy volume , sell volume , buy count , sell count , order imbalance Lee-Ready Algorithm Order Imbalance -","default_branch":null,"files":null,"tree":[],"storefront":"/r/Mattbusel","claimed":false,"request_supported":{"post":"https://gitbuyer.com/r/Mattbusel/fin-stream/request-supported","requests":0},"note":"indexed from public GitHub; nothing is for sale on this page. Clone it from GitHub. Paid listings live at /search."}