Bartender

Bartender is a library for generating candlesticks for different aggregation types, including Time, Tick, Volume, and Information bars.

Install

go get github.com/csgriffis/bartender

Example

Async Using Channels

import (
    "fmt"
    "time"

    "github.com/csgriffis/bartender"
)

generator, err := bartender.New(bartender.WithInterval(tt.interval))
check(err)

tradesStream := make(chan bartender.Trade)

go func() {
	defer close(tradesStream)

	// Simulate a stream of trades
	trades := []bartender.Trade{}
	for _, trade := range trades {
		tradesStream <- trade
	}
}()

barStream, err := bartender.GenerateStream(tradesStream, generator)
check(err)

for bar := range barStream {
    fmt.Printf("Bar: %v\n", bar)
}

Synchronous

import (
    "fmt"
    "time"

    "github.com/csgriffis/bartender"
)

generator, err := bartender.New(bartender.WithInterval(tt.interval))
check(err)

trades := []bartender.Trade{}
bars, err := bartender.Generate(trades, generator)
check(err)

for _, bar := range bars {
    fmt.Printf("Bar: %v\n", bar)
}

Candlestick Generation

This library uses generics when creating the bar generator. The type of aggregation will be inferred from the configuration options provided to the generator. Each option returns a distinct generator.

The following are the available options:

Dollar Bars

WithDollarThreshold: Aggregates bars based on the dollar volume of the trades.
WithDollarImbalanceThreshold: Aggregates bars based on the dollar imbalance of the trades.
WithDollarRunThreshold: Aggregates bars based on the running dollar volume of the trades.

Tick Bars

WithTickThreshold: Aggregates bars based on the number of ticks.
WithTickImbalanceThreshold: Aggregates bars based on the tick imbalance.
WithTickRunThreshold: Aggregates bars based on the running tick volume.

Volume Bars

WithVolumeThreshold: Aggregates bars based on the volume of the trades.
WithVolumeImbalanceThreshold: Aggregates bars based on the volume imbalance.
WithVolumeRunThreshold: Aggregates bars based on the running volume.

Time Bars

WithInterval: Aggregates bars based on the time interval.

Contributing

Setup

Install the following tools:

brew install golangci-lint pre-commit

Configure pre-commit from the root of the repository:

pre-commit install

License

This project is licensed under the MIT License.

# README