Struct TimeBarAggregator

pub struct TimeBarAggregator<C, H>
where
    C: Clock,
    H: FnMut(Bar),
{ /* private fields */ }

Provides a means of building time bars aggregated from quote and trades.

At each aggregation time interval, a bar is created and sent to the handler.

Implementations

impl<C, H> TimeBarAggregator<C, H>

where C: Clock + 'static, H: FnMut(Bar) + 'static,

pub fn new( instrument: &InstrumentAny, bar_type: BarType, handler: H, await_partial: bool, clock: C, build_with_no_updates: bool, timestamp_on_close: bool, interval_type: &str, ) -> Self

Creates a new TimeBarAggregator instance.

Panics

This function panics:

• If instrument.id is not equal to the bar_type.instrument_id.
• If bar_type.aggregation_source is not equal to AggregationSource::Internal.

pub fn start(&mut self, callback: NewBarCallback<C, H>) -> Result<()>

Starts the time bar aggregator.

pub fn stop(&mut self)

Stops the time bar aggregator.

Trait Implementations

impl<C, H> BarAggregator for TimeBarAggregator<C, H>

where C: Clock, H: FnMut(Bar),

fn bar_type(&self) -> BarType

The [BarType] to be aggregated.

fn update(&mut self, price: Price, size: Quantity, ts_event: UnixNanos)

Updates theaggregator with the given price and size.

fn handle_quote(&mut self, quote: QuoteTick)

Updates the aggregator with the given quote.

fn handle_trade(&mut self, trade: TradeTick)

Updates the aggregator with the given trade.