Module trade_aggregation::candle_components

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This module contains a bunch of ready to use ‘CandleComponents’ that can easily be combined to create a ‘ModularCandle’ using the ‘Candle’ macro.

Structs§

  • AveragePrice
    This ‘CandleComponent’ keeps track of the arithmetic mean price
  • Close
    This ‘CandleComponent’ keeps track of the close price
  • CloseTimeStamp
    This ‘CandleComponent’ keeps track of the closing timestamp of a Candle, using the same unit resolution as the underlying input of [TakerTrade.timestamp()].
  • DirectionalTradeRatio
    This ‘CandleComponent’ keeps track of the ratio of buys vs total trades
  • DirectionalVolumeRatio
    This ‘CandleComponent’ keeps track of the ratio of buy volume vs total volume
  • Entropy
    A CandleComponent that computes the binary entropy of whether a trade is a buy or a sell.
  • High
    This ‘CandleComponent’ keeps track of the high price
  • Low
    This ‘CandleComponent’ keeps track of the low price
  • MedianPrice
    Computes the median price from a sorted list of trade prices
  • NumTrades
    This ‘CandleComponent’ keeps track of the number of trades
  • Open
    This ‘CandleComponent’ keeps track of the opening price of a Candle
  • OpenTimeStamp
    This ‘CandleComponent’ keeps track of the opening timestamp of a Candle, using the same unit resolution as the underlying input of [TakerTrade.timestamp()].
  • StdDevPrices
    This ‘CandleComponent’ keeps track of the standard deviation in trade prices
  • StdDevSizes
    This ‘CandleComponent’ keeps track of the standard deviation in the trade sizes
  • TimeVelocity
    Measures the velocity of candle creation based on the formula: 1.0 / t , where t is measured in seconds The higher the velocity the faster the candle has been created
  • Trades
    A CandleComponent that gathers all observed trades and returns them. Be careful, the value method clones the inner vector, due to the trait definition and lifetime restrictions. So call sparingly.
  • Volume
    This ‘CandleComponent’ keeps track of the cumulative volume
  • WeightedPrice
    This ‘CandleComponent’ keeps track of the volume weighted price

Traits§