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use crate::{Trade, Candle, Aggregator, By};
use crate::welford_online::WelfordOnline;
#[derive(Debug, Clone)]
pub struct VolumeAggregator {
vol_threshold: f64,
by: By,
open: f64,
high: f64,
low: f64,
volume: f64,
buy_volume: f64,
wp: f64,
price_sum: f64,
init: bool,
num_trades: i32,
num_buys: i32,
welford_prices: WelfordOnline,
welford_sizes: WelfordOnline,
init_time: i64,
}
impl VolumeAggregator {
pub fn new(vol_threshold: f64, by: By) -> Self {
return VolumeAggregator {
vol_threshold,
by,
open: 0.0,
high: 0.0,
low: 0.0,
volume: 0.0,
buy_volume: 0.0,
wp: 0.0,
price_sum: 0.0,
init: true,
num_trades: 0,
num_buys: 0,
welford_prices: WelfordOnline::new(),
welford_sizes: WelfordOnline::new(),
init_time: 0,
}
}
}
impl Aggregator for VolumeAggregator {
fn update(&mut self, trade: &Trade) -> Option<Candle> {
if self.init {
self.init = false;
self.open = trade.price;
self.high = trade.price;
self.low = trade.price;
self.volume = 0.0;
self.buy_volume = 0.0;
self.wp = 0.0;
self.price_sum = 0.0;
self.num_trades = 0;
self.num_buys = 0;
self.welford_sizes.reset();
self.welford_prices.reset();
self.init_time = trade.timestamp;
}
if trade.price > self.high {
self.high = trade.price;
}
if trade.price < self.low {
self.low = trade.price;
}
if trade.size > 0.0 {
self.num_buys += 1;
}
match self.by {
By::Base => {
self.volume += trade.size.abs() / trade.price;
if trade.size > 0.0 {
self.buy_volume += trade.size.abs() / trade.price;
}
self.wp += trade.size.abs();
},
By::Quote => {
self.volume += trade.size.abs();
if trade.size > 0.0 {
self.buy_volume += trade.size.abs();
}
self.wp += trade.price * trade.size.abs();
}
}
self.num_trades += 1;
self.price_sum += trade.price;
self.welford_sizes.add(trade.size);
self.welford_prices.add(trade.price);
if self.volume > self.vol_threshold {
let mut elapsed_s: f64 = (trade.timestamp - self.init_time) as f64 / 1000.0;
if elapsed_s < 1.0 {
elapsed_s = 1.0;
}
let time_velocity = 1.0 / elapsed_s;
let c = Candle{
timestamp: trade.timestamp,
open: self.open,
high: self.high,
low: self.low,
close: trade.price,
volume: self.volume,
weighted_price: self.wp / self.volume,
arithmetic_mean_price: self.price_sum / self.num_trades as f64,
num_trades: self.num_trades,
directional_trade_ratio: self.num_buys as f64 / self.num_trades as f64,
directional_volume_ratio: self.buy_volume / self.volume,
std_dev_prices: self.welford_prices.std_dev(),
std_dev_sizes: self.welford_sizes.std_dev(),
time_velocity,
};
self.init = true;
return Some(c)
}
return None
}
}
#[cfg(test)]
mod tests {
use super::*;
use crate::tests::{test_candle};
use crate::load_trades_from_csv;
#[test]
fn test_agg_volume_streaming_base() {
let mut agg_volume = VolumeAggregator::new(1000.0, By::Base);
let trades = load_trades_from_csv("data/Bitmex_XBTUSD_1M.csv");
for i in 0..trades.len() {
match agg_volume.update(&trades[i]) {
Some(candle) => test_candle(&candle),
None => {}
}
}
}
}