bars.hpp File Reference

OHLCV bar aggregation from the trade tape under configurable clocks. More...

#include <algorithm>
#include <cstdint>
#include <functional>
#include <utility>
#include "itch/price.hpp"
#include "itch/tape.hpp"

Include dependency graph for bars.hpp:

Go to the source code of this file.

Classes
struct	itch::analytics::Bar
	One OHLCV bar aggregated from the trade tape. More...
struct	itch::analytics::TimeClock
	A clock that buckets trades by wall-clock time (nanoseconds). More...
struct	itch::analytics::TickClock
	A clock that buckets a fixed number of trades into each bar. More...
struct	itch::analytics::VolumeClock
	A clock that buckets a fixed amount of traded volume into each bar. More...
class	itch::analytics::BarBuilder< Clock >
	Builds OHLCV bars from a trade stream under a configurable clock. More...

Namespaces
namespace	itch
namespace	itch::analytics

Typedefs
using	itch::analytics::BarCallback = std::function< void(const Bar &)>
	Callback invoked with each completed bar.

Detailed Description

OHLCV bar aggregation from the trade tape under configurable clocks.

BarBuilder consumes a stream of trades and emits completed bars whenever a pluggable clock policy (time-, tick-, or volume-based) reports a new bucket, letting time bars, tick bars, and volume bars share one implementation.

Author

Bertin Balouki SIMYELI

Definition in file bars.hpp.