Trade Aggregation

Convert trade data into candles using different forms of aggregation. The Candles provide more detailed statistics than the usual OHLCV candles. Additional statistics inlcude:

number of trades
directional trade ratio ( #buys / #trades )
directional volume ratio ( buyVolume / totalVolume )
weighted average price ( using abs(size) as weight)
Standard deviation of prices
Standard deviation of sizes
time velocity ( 1.0 / t ; where t is time in seconds, capped to min 1s )

See MathisWellmann/go_trade_aggregation for a go implementation with less features though.

How to use:

To use this crate in your project, add the following to your Cargo.toml:

[dependencies]
trade_aggregation = "1.0"

Aggregate all trades by volume at once:

extern crate trade_aggregation;
use trade_aggregation::{aggregate_all_trades, load_trades_from_csv, By, VolumeAggregator};

fn main() {
    // load trades from file
    let trades = load_trades_from_csv("data/Bitmex_XBTUSD_1M.csv");
    // create the desired volume aggregator with parameters
    let mut aggregator = VolumeAggregator::new(1000.0, By::Base);

    let candles = aggregate_all_trades(&trades, &mut aggregator);

    for c in &candles {
        println!("candle: {:?}", c);
    }
}

Use streaming trades to update with each tick:

extern crate trade_aggregation;
use trade_aggregation::{load_trades_from_csv, Aggregator, VolumeAggregator, By};

fn main() {
    // load trades from file
    let trades = load_trades_from_csv("data/Bitmex_XBTUSD_1M.csv");

    // create new streaming aggregator based on volume
    let mut agg_volume = VolumeAggregator::new(1000.0, By::Base);

    for t in &trades {
        // update using the latest trade
        match agg_volume.update(t) {
            Some(candle) => {
                // do something with the latest candle
                println!("candle: {:?}", candle);
            },
            None => {}
        }
    }
}

See examples folder for more. Run examples using

cargo run --example simple_volume
cargo run --example simple_time
cargo run --example streaming_time
cargo run --example streaming_volume

Donations :moneybag: :money_with_wings:

I you would like to support the development of this crate, feel free to send over a donation:

Monero (XMR) address:

47xMvxNKsCKMt2owkDuN1Bci2KMiqGrAFCQFSLijWLs49ua67222Wu3LZryyopDVPYgYmAnYkSZSz9ZW2buaDwdyKTWGwwb

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License

This program is free software: you can redistribute it and/or modify it under the terms of the GNU Affero General Public License as published by the Free Software Foundation, either version 3 of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU Affero General Public License for more details.

You should have received a copy of the GNU Affero General Public License along with this program. If not, see https://www.gnu.org/licenses/.

GNU AGPLv3

trade_aggregation 1.0.1

Trade Aggregation

How to use:

Donations :moneybag: :money_with_wings:

License