Struct TimeBarAggregator

pub struct TimeBarAggregator<H>
where
    H: FnMut(Bar),
{ /* private fields */ }

Provides a means of building time bars aggregated from quote and trades.

At each aggregation time interval, a bar is created and sent to the handler.

Implementations

impl<H> TimeBarAggregator<H>

where H: FnMut(Bar) + 'static,

pub fn new( bar_type: BarType, price_precision: u8, size_precision: u8, clock: Rc<RefCell<dyn Clock>>, handler: H, await_partial: bool, build_with_no_updates: bool, timestamp_on_close: bool, interval_type: BarIntervalType, time_bars_origin: Option<TimeDelta>, composite_bar_build_delay: i64, skip_first_non_full_bar: bool, ) -> Self

Creates a new TimeBarAggregator 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.

pub fn start(&mut self, callback: NewBarCallback<H>) -> Result<()>

Starts the time bar aggregator, scheduling periodic bar builds on the clock.

Errors

Returns an error if setting up the underlying clock timer fails.

Panics

Panics if the underlying clock timer registration fails.

pub fn stop(&mut self)

Stops the time bar aggregator.

pub fn start_batch_time(&mut self, time_ns: UnixNanos)

Starts batch time for bar aggregation.

Panics

Panics if month arithmetic operations fail for monthly aggregation intervals.

Trait Implementations

impl<H> BarAggregator for TimeBarAggregator<H>

where H: FnMut(Bar) + 'static,

fn stop(&mut self)

Stop time-based aggregator by cancelling its timer.

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_await_partial(&mut self, value: bool)

fn set_is_running(&mut self, value: bool)

Enables or disables awaiting a partial bar before full aggregation.

fn await_partial(&self) -> bool

Stops batch mode and restores the standard bar handler.

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

Sets the running state of the aggregator (receiving updates when true). Updates the aggregator with the given price and size.

fn update_bar(&mut self, bar: Bar, volume: Quantity, ts_init: UnixNanos)

fn start_batch_update( &mut self, handler: Box<dyn FnMut(Bar)>, time_ns: UnixNanos, )

Incorporates an existing bar and its volume into aggregation at the given init timestamp.

fn stop_batch_update(&mut self)

Starts batch mode, sending bars to the supplied handler for the given time context.

fn set_partial(&mut self, partial_bar: Bar)

Returns true if awaiting a partial bar before processing updates. Sets the initial values for a partially completed bar.

fn handle_quote(&mut self, quote: QuoteTick)

Updates the aggregator with the given quote.

fn handle_trade(&mut self, trade: TradeTick)

Updates the aggregator with the given trade.

fn handle_bar(&mut self, bar: Bar)

Updates the aggregator with the given bar.

impl<H: FnMut(Bar)> Debug for TimeBarAggregator<H>

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

Formats the value using the given formatter.