Struct RenkoBarAggregator 

pub struct RenkoBarAggregator<H>
where
    H: FnMut(Bar),
{
    pub brick_size: PriceRaw,
    /* private fields */
}

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

Renko bars are created when the price moves by a fixed amount (brick size) regardless of time or volume. Each bar represents a price movement equal to the step size in the bar specification.

Fields

brick_size: PriceRaw

Implementations

impl<H> RenkoBarAggregator<H>

where H: FnMut(Bar),

pub fn new( bar_type: BarType, price_precision: u8, size_precision: u8, price_increment: Price, handler: H, await_partial: bool, ) -> Self

Creates a new RenkoBarAggregator instance.

Panics

This function panics if:

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

Trait Implementations

impl<H> BarAggregator for RenkoBarAggregator<H>

where H: FnMut(Bar) + 'static,

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

Apply the given update to the aggregator.

For Renko bars, we check if the price movement from the last close is greater than or equal to the brick size. If so, we create new bars.

fn bar_type(&self) -> BarType

The BarType to be aggregated.

fn is_running(&self) -> bool

If the aggregator is running and will receive data from the message bus.

fn set_await_partial(&mut self, value: bool)

fn set_is_running(&mut self, value: bool)

Enables or disables awaiting a partial bar before full aggregation.

fn await_partial(&self) -> bool

Stops batch mode and restores the standard bar handler.

fn update_bar(&mut self, bar: Bar, volume: Quantity, ts_init: UnixNanos)

fn start_batch_update(&mut self, handler: Box<dyn FnMut(Bar)>, _: UnixNanos)

Incorporates an existing bar and its volume into aggregation at the given init timestamp.

fn stop_batch_update(&mut self)

Starts batch mode, sending bars to the supplied handler for the given time context.

fn set_partial(&mut self, partial_bar: Bar)

Returns true if awaiting a partial bar before processing updates. Sets the initial values for a partially completed bar.

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.

fn handle_bar(&mut self, bar: Bar)

Updates the aggregator with the given bar.

fn stop(&mut self)

Stop the aggregator, e.g., cancel timers. Default is no-op.

impl<H: FnMut(Bar)> Debug for RenkoBarAggregator<H>

fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter.