agg_market_energy.go

package go_trade_aggregation

import "math"

// AggMarketEnergy uses the aggregation function abs(return) / abs(size) to determine candles
func AggMarketEnergy(trades []*Trade, threshold float64) []*Candle {
	var out []*Candle

	var s float64
	var open float64
	var high float64
	var low float64
	var volume float64
	var buyVolume float64
	var numBuys int
	var numTrades int
	var wp float64 // used for calculating weighted price
	init := true

	for i := 0; i < len(trades); i++ {
		if init {
			init = false
			// set initial values for next candle
			open = trades[i].Price
			high = trades[i].Price
			low = trades[i].Price
			volume = 0
			buyVolume = 0
			numBuys = 0
			numTrades = 0
			wp = 0
			s = 0
		}

		if trades[i].Price > high {
			high = trades[i].Price
		} else if trades[i].Price < low {
			low = trades[i].Price
		}
		volume += math.Abs(trades[i].Size)
		numTrades++
		if trades[i].Size > 0 {
			numBuys++
			buyVolume += trades[i].Size
		}
		wp += trades[i].Price * math.Abs(trades[i].Size)

		if i == 0 {
			continue
		}
		ret := trades[i].Price - trades[i-1].Price
		s += math.Abs(ret) / math.Abs(trades[i].Size)

		if s > threshold {
			// create new candle
			c := &Candle{
				Timestamp:            trades[i].Timestamp,
				Open:                 open,
				High:                 high,
				Low:                  low,
				Close:                trades[i].Price,
				Volume:               volume,
				NumTrades:            numTrades,
				TradeDirectionRatio:  float64(numBuys) / float64(numTrades),
				VolumeDirectionRatio: buyVolume / volume,
				WeightedPrice:        wp / volume,
			}
			out = append(out, c)

			init = true
		}
	}

	return out
}

// TODO: tool for converting between time period to market energy threshold