Struct TickBarAggregator

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

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

When received tick count reaches the step threshold of the bar specification, then a bar is created and sent to the handler.

Implementations

impl<H> TickBarAggregator<H>

where H: FnMut(Bar),

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

Creates a new TickBarAggregator 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.

Trait Implementations

impl<H> BarAggregator for TickBarAggregator<H>

where H: FnMut(Bar),

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

Apply the given update to the aggregator.

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)

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

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

fn stop_batch_update(&mut self)

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)