trade_aggregation/candle_components/
weighted_price.rs

1use crate::{CandleComponent, CandleComponentUpdate, TakerTrade};
2
3/// This 'CandleComponent' keeps track of the volume weighted price
4#[derive(Debug, Default, Clone)]
5#[cfg_attr(feature = "serde", derive(serde::Serialize, serde::Deserialize))]
6pub struct WeightedPrice {
7    total_weights: f64,
8    weighted_sum: f64,
9}
10
11impl CandleComponent<f64> for WeightedPrice {
12    #[inline(always)]
13    fn value(&self) -> f64 {
14        self.weighted_sum / self.total_weights
15    }
16
17    #[inline(always)]
18    fn reset(&mut self) {
19        self.total_weights = 0.0;
20        self.weighted_sum = 0.0;
21    }
22}
23impl<T: TakerTrade> CandleComponentUpdate<T> for WeightedPrice {
24    #[inline(always)]
25    fn update(&mut self, trade: &T) {
26        self.total_weights += trade.size().abs();
27        self.weighted_sum += trade.price() * trade.size().abs();
28    }
29}
30
31#[cfg(test)]
32mod tests {
33    use super::*;
34
35    #[test]
36    fn weighted_price() {
37        let mut m = WeightedPrice::default();
38        for t in &crate::candle_components::tests::TRADES {
39            m.update(t);
40        }
41        assert_eq!(m.value(), 102.0);
42    }
43}