TimeBarAggregator

Struct TimeBarAggregator 

Source
pub struct TimeBarAggregator<H>
where H: FnMut(Bar),
{ /* private fields */ }
Expand description

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§

Source§

impl<H> TimeBarAggregator<H>
where H: FnMut(Bar) + 'static,

Source

pub fn new( bar_type: BarType, price_precision: u8, size_precision: u8, clock: Rc<RefCell<dyn Clock>>, handler: H, await_partial: bool, build_with_no_updates: bool, timestamp_on_close: bool, interval_type: BarIntervalType, time_bars_origin_offset: Option<TimeDelta>, bar_build_delay: u64, skip_first_non_full_bar: bool, ) -> Self

Creates a new TimeBarAggregator 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.
Source

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

Starts the time bar aggregator, scheduling periodic bar builds on the clock.

§Errors

Returns an error if setting up the underlying clock timer fails.

§Panics

Panics if the underlying clock timer registration fails.

Source

pub fn stop(&mut self)

Stops the time bar aggregator.

Source

pub fn start_batch_time(&mut self, time_ns: UnixNanos)

Starts batch time for bar aggregation.

§Panics

Panics if month arithmetic operations fail for monthly aggregation intervals.

Trait Implementations§

Source§

impl<H> BarAggregator for TimeBarAggregator<H>
where H: FnMut(Bar) + 'static,

Source§

fn stop(&mut self)

Stop time-based aggregator by canceling its timer.

Source§

fn bar_type(&self) -> BarType

The BarType to be aggregated.
Source§

fn is_running(&self) -> bool

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

fn set_await_partial(&mut self, value: bool)

Source§

fn set_is_running(&mut self, value: bool)

Enables or disables awaiting a partial bar before full aggregation.
Source§

fn await_partial(&self) -> bool

Stops batch mode and restores the standard bar handler.
Source§

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

Sets the running state of the aggregator (receiving updates when true). Updates the aggregator with the given price and size.
Source§

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

Source§

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

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

fn stop_batch_update(&mut self)

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

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.
Source§

fn handle_quote(&mut self, quote: QuoteTick)

Updates the aggregator with the given quote.
Source§

fn handle_trade(&mut self, trade: TradeTick)

Updates the aggregator with the given trade.
Source§

fn handle_bar(&mut self, bar: Bar)

Updates the aggregator with the given bar.
Source§

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

Source§

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

Formats the value using the given formatter. Read more

Auto Trait Implementations§

§

impl<H> Freeze for TimeBarAggregator<H>
where H: Freeze,

§

impl<H> !RefUnwindSafe for TimeBarAggregator<H>

§

impl<H> !Send for TimeBarAggregator<H>

§

impl<H> !Sync for TimeBarAggregator<H>

§

impl<H> Unpin for TimeBarAggregator<H>
where H: Unpin,

§

impl<H> !UnwindSafe for TimeBarAggregator<H>

Blanket Implementations§

Source§

impl<T> Any for T
where T: 'static + ?Sized,

Source§

fn type_id(&self) -> TypeId

Gets the TypeId of self. Read more
Source§

impl<T> Borrow<T> for T
where T: ?Sized,

Source§

fn borrow(&self) -> &T

Immutably borrows from an owned value. Read more
Source§

impl<T> BorrowMut<T> for T
where T: ?Sized,

Source§

fn borrow_mut(&mut self) -> &mut T

Mutably borrows from an owned value. Read more
Source§

impl<T> From<T> for T

Source§

fn from(t: T) -> T

Returns the argument unchanged.

§

impl<T> Instrument for T

§

fn instrument(self, span: Span) -> Instrumented<Self>

Instruments this type with the provided [Span], returning an Instrumented wrapper. Read more
§

fn in_current_span(self) -> Instrumented<Self>

Instruments this type with the current Span, returning an Instrumented wrapper. Read more
Source§

impl<T, U> Into<U> for T
where U: From<T>,

Source§

fn into(self) -> U

Calls U::from(self).

That is, this conversion is whatever the implementation of From<T> for U chooses to do.

Source§

impl<T> IntoEither for T

Source§

fn into_either(self, into_left: bool) -> Either<Self, Self>

Converts self into a Left variant of Either<Self, Self> if into_left is true. Converts self into a Right variant of Either<Self, Self> otherwise. Read more
Source§

fn into_either_with<F>(self, into_left: F) -> Either<Self, Self>
where F: FnOnce(&Self) -> bool,

Converts self into a Left variant of Either<Self, Self> if into_left(&self) returns true. Converts self into a Right variant of Either<Self, Self> otherwise. Read more
§

impl<T> Pointable for T

§

const ALIGN: usize

The alignment of pointer.
§

type Init = T

The type for initializers.
§

unsafe fn init(init: <T as Pointable>::Init) -> usize

Initializes a with the given initializer. Read more
§

unsafe fn deref<'a>(ptr: usize) -> &'a T

Dereferences the given pointer. Read more
§

unsafe fn deref_mut<'a>(ptr: usize) -> &'a mut T

Mutably dereferences the given pointer. Read more
§

unsafe fn drop(ptr: usize)

Drops the object pointed to by the given pointer. Read more
§

impl<T> PolicyExt for T
where T: ?Sized,

§

fn and<P, B, E>(self, other: P) -> And<T, P>
where T: Policy<B, E>, P: Policy<B, E>,

Create a new Policy that returns [Action::Follow] only if self and other return Action::Follow. Read more
§

fn or<P, B, E>(self, other: P) -> Or<T, P>
where T: Policy<B, E>, P: Policy<B, E>,

Create a new Policy that returns [Action::Follow] if either self or other returns Action::Follow. Read more
Source§

impl<T> Same for T

Source§

type Output = T

Should always be Self
Source§

impl<T, U> TryFrom<U> for T
where U: Into<T>,

Source§

type Error = Infallible

The type returned in the event of a conversion error.
Source§

fn try_from(value: U) -> Result<T, <T as TryFrom<U>>::Error>

Performs the conversion.
Source§

impl<T, U> TryInto<U> for T
where U: TryFrom<T>,

Source§

type Error = <U as TryFrom<T>>::Error

The type returned in the event of a conversion error.
Source§

fn try_into(self) -> Result<U, <U as TryFrom<T>>::Error>

Performs the conversion.
§

impl<V, T> VZip<V> for T
where V: MultiLane<T>,

§

fn vzip(self) -> V

§

impl<T> WithSubscriber for T

§

fn with_subscriber<S>(self, subscriber: S) -> WithDispatch<Self>
where S: Into<Dispatch>,

Attaches the provided Subscriber to this type, returning a [WithDispatch] wrapper. Read more
§

fn with_current_subscriber(self) -> WithDispatch<Self>

Attaches the current default Subscriber to this type, returning a [WithDispatch] wrapper. Read more
§

impl<T> ErasedDestructor for T
where T: 'static,