Module trade_aggregation::candle_components

source · [−]

Expand description

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

Structs

This ‘CandleComponent’ keeps track of the arithmetic mean price

This ‘CandleComponent’ keeps track of the close price

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

This ‘CandleComponent’ keeps track of the high price

This ‘CandleComponent’ keeps track of the low price

This ‘CandleComponent’ keeps track of the number of trades

This ‘CandleComponent’ keeps track of the opening price of a Candle

This ‘CandleComponent’ keeps track of the standard deviation in trade prices

This ‘CandleComponent’ keeps track of the standard deviation in the trade sizes

Measures the velocity of candle creation based on the formula: 1.0 / t , where t is measured in minutes The higher the velocity the faster the candle has been created Assumes trade timestamps in milliseconds

This ‘CandleComponent’ keeps track of the cumulative volume

This ‘CandleComponent’ keeps track of the volume weighted price

Traits

CandleComponent

Each component of a Candle must fullfill this trait