Struct RenkoBarAggregator 

pub struct RenkoBarAggregator {
    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 RenkoBarAggregator

pub fn new<H: FnMut(Bar) + 'static>( bar_type: BarType, price_precision: u8, size_precision: u8, price_increment: Price, handler: H, ) -> 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 BarAggregator for RenkoBarAggregator

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_is_running(&mut self, value: bool)

Sets the running state of the aggregator (receiving updates when true).

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

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.

fn set_historical_mode( &mut self, _historical_mode: bool, _handler: Box<dyn FnMut(Bar)>, )

Sets historical mode (default implementation does nothing, TimeBarAggregator overrides)

fn set_historical_events(&mut self, _events: Vec<TimeEvent>)

Sets historical events (default implementation does nothing, TimeBarAggregator overrides)

fn set_clock(&mut self, _clock: Rc<RefCell<dyn Clock>>)

Sets clock for time bar aggregators (default implementation does nothing, TimeBarAggregator overrides)

fn build_bar(&mut self, _event: TimeEvent)

Builds a bar from a time event (default implementation does nothing, TimeBarAggregator overrides)

fn start_timer( &mut self, _aggregator_rc: Option<Rc<RefCell<Box<dyn BarAggregator>>>>, )

Starts the timer for time bar aggregators. Default implementation does nothing, TimeBarAggregator overrides. Takes an optional Rc to create weak reference internally.

fn set_aggregator_weak(&mut self, _weak: Weak<RefCell<Box<dyn BarAggregator>>>)

Sets the weak reference to the aggregator wrapper (for historical mode). Default implementation does nothing, TimeBarAggregator overrides.

impl Debug for RenkoBarAggregator

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

Formats the value using the given formatter.