trade_aggregation/candle_components/
std_dev_sizes.rs

1use crate::{welford_online::WelfordOnline, CandleComponent, CandleComponentUpdate, TakerTrade};
2
3/// This 'CandleComponent' keeps track of the standard deviation in the trade sizes
4#[derive(Debug, Clone)]
5#[cfg_attr(feature = "serde", derive(serde::Serialize, serde::Deserialize))]
6pub struct StdDevSizes {
7    welford: WelfordOnline,
8}
9
10impl Default for StdDevSizes {
11    fn default() -> Self {
12        Self {
13            welford: WelfordOnline::new(),
14        }
15    }
16}
17impl CandleComponent<f64> for StdDevSizes {
18    #[inline(always)]
19    fn value(&self) -> f64 {
20        self.welford.std_dev()
21    }
22
23    #[inline(always)]
24    fn reset(&mut self) {
25        self.welford.reset();
26    }
27}
28
29impl<T: TakerTrade> CandleComponentUpdate<T> for StdDevSizes {
30    #[inline(always)]
31    fn update(&mut self, trade: &T) {
32        self.welford.add(trade.size());
33    }
34}