Module aggregation 

Bar aggregation machinery.

Defines the BarAggregator trait and core aggregation types (tick, volume, value, time), along with the BarBuilder and BarAggregatorCore helpers for constructing bars.

Structs

BarAggregatorCore

Provides a means of aggregating specified bar types and sending to a registered handler.

BarBuilder

Provides a generic bar builder for aggregation.

FixedTickSchemeRounder

Rounder that uses a fixed tick size; mirrors negative prices for tick alignment (Cython parity).

MapVegaProvider

Vega provider that returns leg vegas from a map (e.g. populated from greeks cache).

RenkoBarAggregator

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

SpreadQuoteAggregator

Spread quote aggregator: builds synthetic quotes from leg quotes (Cython parity).

TickBarAggregator

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

TickImbalanceBarAggregator

Aggregates bars based on tick buy/sell imbalance.

TickRunsBarAggregator

Aggregates bars based on consecutive buy/sell tick runs.

TimeBarAggregator

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

ValueBarAggregator

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

ValueImbalanceBarAggregator

Aggregates bars based on buy/sell notional imbalance.

ValueRunsBarAggregator

Aggregates bars based on consecutive buy/sell notional runs.

VolumeBarAggregator

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

VolumeImbalanceBarAggregator

Aggregates bars based on buy/sell volume imbalance.

VolumeRunsBarAggregator

Aggregates bars based on consecutive buy/sell volume runs.

Traits

BarAggregator

Trait for aggregating incoming price and trade events into time-, tick-, volume-, or value-based bars.

SpreadPriceRounder

Rounder for spread bid/ask (e.g. tick scheme). When absent, raw prices are used with instrument precision.

VegaProvider

Provider for vega per leg (option spreads). Returns None when greeks are unavailable.