Struct ValueImbalanceBarAggregator 

pub struct ValueImbalanceBarAggregator { /* private fields */ }

Aggregates bars based on buy/sell notional imbalance.

Implementations

impl ValueImbalanceBarAggregator

pub fn new<H: FnMut(Bar) + 'static>( bar_type: BarType, price_precision: u8, size_precision: u8, handler: H, ) -> Self

Creates a new ValueImbalanceBarAggregator 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 ValueImbalanceBarAggregator

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

Apply the given update to the aggregator.

Note: side-aware logic lives in handle_trade. This method is used for quote/bar updates where no aggressor side is available.

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 handle_trade(&mut self, trade: TradeTick)

Updates the aggregator with the given trade.

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_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 ValueImbalanceBarAggregator

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

Formats the value using the given formatter.