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 |