itch::analytics::VolumeClock Struct Reference

A clock that buckets a fixed amount of traded volume into each bar. More...

#include <bars.hpp>

Public Member Functions
auto	bucket (const Trade &, std::uint64_t cumulative_volume, std::uint64_t) const noexcept -> std::uint64_t
	Computes the bucket id for the current trade from cumulative volume.

Public Attributes
std::uint64_t	volume_per_bar {1}

Detailed Description

A clock that buckets a fixed amount of traded volume into each bar.

Definition at line 67 of file bars.hpp.

Member Function Documentation

bucket()

auto itch::analytics::VolumeClock::bucket ( const Trade &  , std::uint64_t  cumulative_volume, std::uint64_t    ) const -> std::uint64_t

inlinenoexcept

Computes the bucket id for the current trade from cumulative volume.

Parameters

cumulative_volume

Total shares traded so far, including this trade.

Returns

The bucket id, cumulative_volume / volume_per_bar.

Definition at line 74 of file bars.hpp.

References volume_per_bar.

Member Data Documentation

volume_per_bar

std::uint64_t itch::analytics::VolumeClock::volume_per_bar {1}

Definition at line 68 of file bars.hpp.

Referenced by bucket().

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The documentation for this struct was generated from the following file:

• bars.hpp