Expand description
Bar aggregation machinery.
Defines the BarAggregator trait and core aggregation types (tick, volume, value, time),
along with the BarBuilder and BarAggregatorCore helpers for constructing bars.
Structs§
- BarAggregator
Core - Provides a means of aggregating specified bar types and sending to a registered handler.
- BarBuilder
- Provides a generic bar builder for aggregation.
- Renko
BarAggregator - Provides a means of building Renko bars aggregated from quote and trades.
- Tick
BarAggregator - Provides a means of building tick bars aggregated from quote and trades.
- Tick
Imbalance BarAggregator - Aggregates bars based on tick buy/sell imbalance.
- Tick
Runs BarAggregator - Aggregates bars based on consecutive buy/sell tick runs.
- Time
BarAggregator - Provides a means of building time bars aggregated from quote and trades.
- Value
BarAggregator - Provides a means of building value bars aggregated from quote and trades.
- Value
Imbalance BarAggregator - Aggregates bars based on buy/sell notional imbalance.
- Value
Runs BarAggregator - Aggregates bars based on consecutive buy/sell notional runs.
- Volume
BarAggregator - Provides a means of building volume bars aggregated from quote and trades.
- Volume
Imbalance BarAggregator - Aggregates bars based on buy/sell volume imbalance.
- Volume
Runs BarAggregator - Aggregates bars based on consecutive buy/sell volume runs.
Traits§
- BarAggregator
- Trait for aggregating incoming price and trade events into time-, tick-, volume-, or value-based bars.