Trade Aggregation

Convert trade data into candles.

See MathisWellmann/gotradeaggregation for a go implementation with less features though.

How to use:

To use this crate in your project, add the following to your Cargo.toml:

toml [dependencies] trade_aggregation = "1.0.1"

Aggregate all trades by volume at once:

```rust extern crate tradeaggregation; use tradeaggregation::{aggregatealltrades, loadtradesfrom_csv, By, VolumeAggregator};

fn main() { // load trades from file let trades = loadtradesfromcsv("data/BitmexXBTUSD_1M.csv"); // create the desired volume aggregator with parameters let mut aggregator = VolumeAggregator::new(1000.0, By::Base);

let candles = aggregate_all_trades(&trades, &mut aggregator);

for c in &candles {
    println!("candle: {:?}", c);
}

} ```

Use streaming trades to update with each tick:

```rust extern crate tradeaggregation; use tradeaggregation::{loadtradesfrom_csv, Aggregator, VolumeAggregator, By};

fn main() { // load trades from file let trades = loadtradesfromcsv("data/BitmexXBTUSD_1M.csv");

// create new streaming aggregator based on volume
let mut agg_volume = VolumeAggregator::new(1000.0, By::Base);

for t in &trades {
    // update using the latest trade
    match agg_volume.update(t) {
        Some(candle) => {
            // do something with the latest candle
            println!("candle: {:?}", candle);
        },
        None => {}
    }
}

} ```

See examples folder for more. Run examples using cargo run --example simple_volume cargo run --example simple_time cargo run --example streaming_time cargo run --example streaming_volume

Donations :moneybag: :moneywithwings:

I you would like to support the development of this crate, feel free to send over a donation:

Monero (XMR) address: plain 47xMvxNKsCKMt2owkDuN1Bci2KMiqGrAFCQFSLijWLs49ua67222Wu3LZryyopDVPYgYmAnYkSZSz9ZW2buaDwdyKTWGwwb

License

Copyright (C) 2020

This program is free software: you can redistribute it and/or modify it under the terms of the GNU Affero General Public License as published by the Free Software Foundation, either version 3 of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU Affero General Public License for more details.

You should have received a copy of the GNU Affero General Public License along with this program. If not, see https://www.gnu.org/licenses/.