Struct OhlcvAggregator 

pub struct OhlcvAggregator { /* private fields */ }

Aggregates ticks into OHLCV bars.

Implementations

impl OhlcvAggregator

pub fn new( symbol: impl Into<String>, timeframe: Timeframe, ) -> Result<Self, StreamError>

Create a new aggregator for symbol at timeframe.

Returns an error if timeframe.duration_ms() is zero, which would make bar boundary alignment undefined.

pub fn with_emit_empty_bars(self, enabled: bool) -> Self

Enable emission of synthetic zero-volume bars for skipped bar windows.

pub fn feed( &mut self, tick: &NormalizedTick, ) -> Result<Vec<OhlcvBar>, StreamError>

Feed a tick. Returns completed bars (including any empty gap bars when emit_empty_bars is true). At most one real completed bar plus zero or more empty bars can be returned per call.

Bar boundaries are aligned using the exchange-side timestamp (exchange_ts_ms) when available, falling back to the local system clock (received_at_ms). Using the exchange timestamp avoids misalignment caused by variable network latency.

pub fn current_bar(&self) -> Option<&OhlcvBar>

Current partial bar (if any).

pub fn flush(&mut self) -> Option<OhlcvBar>

Flush the current partial bar as complete.

pub fn last_bar(&self) -> Option<&OhlcvBar>

The most recently completed bar emitted by feed or flush. Returns None if no bar has been completed yet.

Unlike current_bar, this bar is always complete.

pub fn bar_count(&self) -> u64

Total number of completed bars emitted by this aggregator (via feed or flush).

pub fn reset(&mut self)

Discard the in-progress bar and reset the bar counter to zero.

Useful for backtesting rewind or when restarting aggregation from a new anchor point. Does not affect the aggregator’s symbol or timeframe.

pub fn total_volume(&self) -> Decimal

Cumulative traded volume across all completed bars emitted by this aggregator.

Does not include the current partial bar’s volume. Reset to zero by reset.

pub fn peak_volume(&self) -> Option<Decimal>

Maximum single-bar volume seen across all completed bars.

Returns None if no bars have been completed yet. Reset to None by reset.

pub fn min_volume(&self) -> Option<Decimal>

Minimum single-bar volume seen across all completed bars.

Returns None if no bars have been completed yet. Reset to None by reset.

pub fn volume_range(&self) -> Option<(Decimal, Decimal)>

Volume range across completed bars: (min_volume, peak_volume).

Returns None if no bars have been completed yet. Useful for normalizing volume signals to the observed range.

pub fn average_volume(&self) -> Option<Decimal>

Average volume per completed bar: total_volume / bars_emitted.

Returns None if no bars have been completed yet (avoids division by zero).

pub fn symbol(&self) -> &str

The symbol this aggregator tracks.

pub fn timeframe(&self) -> Timeframe

The timeframe used for bar alignment.

pub fn window_progress(&self, now_ms: u64) -> Option<f64>

Fraction of the current bar’s time window that has elapsed, in [0.0, 1.0].

Returns None if no bar is in progress (no ticks seen since last flush/reset). now_ms should be ≥ the current bar’s bar_start_ms; values before the start clamp to 0.0.

pub fn is_active(&self) -> bool

Returns true if a bar is currently in progress (at least one tick has been fed since the last flush or reset).

pub fn vwap_current(&self) -> Option<Decimal>

Volume-weighted average price of the current in-progress bar.

Returns None if no bar is currently being built or the bar has zero volume (should not happen with real ticks).