Crate trade_aggregation
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This crate is used for aggregating raw trade data into candles using various methods
Structs
Defines a Candle
Holds candle features in a vector
The modular equivalent of VolumeAggregator
Struct used for aggregating trades by time in an online (streaming) manner
Defines a taker trade
Used for aggregating trades based on volume
Enums
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
enumeration of all available features
Constants
1 Day candle period
1 Hour candle period
2 Hour candle period
4 Hour candle period
8 Hour candle period
12 Hour candle period
1 Minute candle period
5 Minute candle period
15 Minute candle period
30 Minute candle period
Traits
Defines the needed methods for any online aggregator
Functions
apply an aggregator for all trades at once
Determine the candle volume which produces the same number of candles as the given time aggregation equivalent
load trades from csv file