Crate trade_aggregation[−][src]
Expand description
This crate is used for aggregating raw trade data into candles using various methods
Structs
| Candle | Defines a Candle |
| ModularCandle | Holds candle features in a vector |
| ModularVolumeAggregator | The modular equivalent of VolumeAggregator |
| TimeAggregator | Struct used for aggregating trades by time in an online (streaming) manner |
| Trade | Defines a taker trade |
| VolumeAggregator | Used for aggregating trades based on volume |
Enums
| By | Defines how to aggregate trade size either by Base currency or Quote Currency assumes trades sizes are denoted in Quote e.g.: buy 10 contracts of BTC would be trade size of 10 |
| FeatureModules | enumeration of all available features |
Constants
| D1 | 1 Day candle period |
| H1 | 1 Hour candle period |
| H2 | 2 Hour candle period |
| H4 | 4 Hour candle period |
| H8 | 8 Hour candle period |
| H12 | 12 Hour candle period |
| M1 | 1 Minute candle period |
| M5 | 5 Minute candle period |
| M15 | 15 Minute candle period |
| M30 | 30 Minute candle period |
Traits
| Aggregator | Defines the needed methods for any online aggregator |
Functions
| aggregate_all_trades | apply an aggregator for all trades at once |
| candle_volume_from_time_period | Determine the candle volume which produces the same number of candles as the given time aggregation equivalent |
| load_trades_from_csv | load trades from csv file |