neilsmurphy / trade_aggregation-rs

Convert trade data into candles using different aggregation methods such as time or volume.

Trade Aggregation

Convert trade data into candles using different forms of aggregation. The Candles provide more detailed statistics than the usual OHLCV candles. Additional statistics inlcude:

• number of trades
• directional trade ratio ( #buys / #trades )
• directional volume ratio ( buyVolume / totalVolume )
• weighted average price ( using abs(size) as weight)
• Standard deviation of prices
• Standard deviation of sizes
• time velocity ( 1.0 / t ; where t is time in seconds, capped to min 1s )

See MathisWellmann/go_trade_aggregation 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:

[dependencies]
trade_aggregation = "1.0"

Aggregate all trades by volume at once:

extern crate trade_aggregation;
use trade_aggregation::{aggregate_all_trades, load_trades_from_csv, By, VolumeAggregator};

fn main() {
    // load trades from file
    let trades = load_trades_from_csv("data/Bitmex_XBTUSD_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:

extern crate trade_aggregation;
use trade_aggregation::{load_trades_from_csv, Aggregator, VolumeAggregator, By};

fn main() {
    // load trades from file
    let trades = load_trades_from_csv("data/Bitmex_XBTUSD_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 💰 💸

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

Monero (XMR) address:

47xMvxNKsCKMt2owkDuN1Bci2KMiqGrAFCQFSLijWLs49ua67222Wu3LZryyopDVPYgYmAnYkSZSz9ZW2buaDwdyKTWGwwb

License

Copyright (C) 2020 <Mathis Wellmann [e-mail]>

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/.