Vexity 🦎

Vexity is a tiny Domain Specific Language aimed at hacking on abstractions of financial markets.

🚧🦺👷Early Development, things will be breaking frequently 👷🦺🚧

License

This library is licensed under the Apache License 2.0.

Example

Create a simple moving average indicator:

Indicator
  .config({
    # Define a custom configuration for the
    # indicator, this is for static data.

    name: "Simple Moving Average",
    sma_window_size: 50,
    sma_color: "orange"
  })
  .init(|state| {
    # Define the initialization logic for the
    # indicator, this is for dynamic data.

    state bars = []
  })
  .on_bar(|bar, cfg, state| {
    # Define the logic for computing the indicator
    # value of each bar or tick of trading activity.

    # Update the state of the data array
    state.bars.push(bar)

    # Define the data window
    let data_window = state
      .bars
      .last(cfg.sma_window_size)
      .map(|bar| bar.close)

    # Compute the sma value of the data window
    let sma_value = sma(data_window)

    # Return the indicator value
    { time: bar.time, value: sma_value, color: cfg.sma_color }
  })