Expose signal open to platform strategies

crates/fidc-core/src/data.rs

@@ -485,7 +485,9 @@ impl SymbolPriceSeries {
 #[derive(Debug, Clone)]
 struct BenchmarkPriceSeries {
     dates: Vec<NaiveDate>,
+    opens: Vec<f64>,
     closes: Vec<f64>,
+    open_prefix: Vec<f64>,
     close_prefix: Vec<f64>,
 }
 
@@ -494,16 +496,24 @@ impl BenchmarkPriceSeries {
         let mut sorted = rows.to_vec();
         sorted.sort_by_key(|row| row.date);
         let dates = sorted.iter().map(|row| row.date).collect::<Vec<_>>();
+        let opens = sorted.iter().map(|row| row.open).collect::<Vec<_>>();
         let closes = sorted.iter().map(|row| row.close).collect::<Vec<_>>();
+        let open_prefix = prefix_sums(&opens);
         let close_prefix = prefix_sums(&closes);
         Self {
             dates,
+            opens,
             closes,
+            open_prefix,
             close_prefix,
         }
     }
 
     fn moving_average(&self, date: NaiveDate, lookback: usize) -> Option<f64> {
+        self.moving_average_for(date, lookback, PriceField::Close)
+    }
+
+    fn moving_average_for(&self, date: NaiveDate, lookback: usize, field: PriceField) -> Option<f64> {
         if lookback == 0 {
             return None;
         }
@@ -516,7 +526,11 @@ impl BenchmarkPriceSeries {
             return None;
         }
         let start = end - lookback;
-        let sum = self.close_prefix[end] - self.close_prefix[start];
+        let prefix = match field {
+            PriceField::Open => &self.open_prefix,
+            PriceField::Close | PriceField::Last => &self.close_prefix,
+        };
+        let sum = prefix[end] - prefix[start];
         Some(sum / lookback as f64)
     }
 
@@ -942,6 +956,20 @@ impl DataSet {
         self.benchmark_series_cache.moving_average(date, lookback)
     }
 
+    pub fn benchmark_open_moving_average(&self, date: NaiveDate, lookback: usize) -> Option<f64> {
+        self.benchmark_series_cache
+            .moving_average_for(date, lookback, PriceField::Open)
+    }
+
+    pub fn market_open_moving_average(
+        &self,
+        date: NaiveDate,
+        symbol: &str,
+        lookback: usize,
+    ) -> Option<f64> {
+        self.market_moving_average(date, symbol, lookback, PriceField::Open)
+    }
+
     pub fn eligible_universe_on(&self, date: NaiveDate) -> &[EligibleUniverseSnapshot] {
         self.eligible_universe_by_date
             .get(&date)