Add VolumeBuys and VolumeSells candle component

Author: MathisWellmann

Cargo.toml

@@ -1,6 +1,6 @@
 [package]
 name = "trade_aggregation"
-version = "12.0.1"
+version = "12.0.2"
 authors = ["MathisWellmann <[email protected]>"]
 edition = "2021"
 license-file = "LICENSE"

src/candle_components/mod.rs

@@ -21,6 +21,8 @@ mod std_dev_sizes;
 mod time_velocity;
 mod trades;
 mod volume;
+mod volume_buys;
+mod volume_sells;
 mod weighted_price;
 
 pub use average_price::AveragePrice;
@@ -43,6 +45,8 @@ pub use std_dev_sizes::StdDevSizes;
 pub use time_velocity::TimeVelocity;
 pub use trades::Trades;
 pub use volume::Volume;
+pub use volume_buys::VolumeBuys;
+pub use volume_sells::VolumeSells;
 pub use weighted_price::WeightedPrice;
 
 #[cfg(test)]

src/candle_components/volume.rs

@@ -1,6 +1,6 @@
 use crate::{CandleComponent, CandleComponentUpdate, TakerTrade};
 
-/// This 'CandleComponent' keeps track of the cumulative volume
+/// This 'CandleComponent' keeps track of the cumulative volume of trades.
 #[derive(Debug, Default, Clone)]
 #[cfg_attr(feature = "serde", derive(serde::Serialize, serde::Deserialize))]
 pub struct Volume {

src/candle_components/volume_buys.rs

@@ -0,0 +1,29 @@
+use crate::{CandleComponent, CandleComponentUpdate, TakerTrade};
+
+/// This 'CandleComponent' keeps track of the cumulative buy volume of trades.
+#[derive(Debug, Default, Clone)]
+#[cfg_attr(feature = "serde", derive(serde::Serialize, serde::Deserialize))]
+pub struct VolumeBuys {
+    buy_volume: f64,
+}
+
+impl CandleComponent<f64> for VolumeBuys {
+    #[inline(always)]
+    fn value(&self) -> f64 {
+        self.buy_volume
+    }
+
+    #[inline(always)]
+    fn reset(&mut self) {
+        self.buy_volume = 0.0;
+    }
+}
+
+impl<T: TakerTrade> CandleComponentUpdate<T> for VolumeBuys {
+    #[inline(always)]
+    fn update(&mut self, trade: &T) {
+        if trade.size().is_sign_positive() {
+            self.buy_volume += trade.size().abs()
+        }
+    }
+}

src/candle_components/volume_sells.rs

@@ -0,0 +1,29 @@
+use crate::{CandleComponent, CandleComponentUpdate, TakerTrade};
+
+/// This 'CandleComponent' keeps track of the cumulative volume of trades.
+#[derive(Debug, Default, Clone)]
+#[cfg_attr(feature = "serde", derive(serde::Serialize, serde::Deserialize))]
+pub struct VolumeSells {
+    sell_volume: f64,
+}
+
+impl CandleComponent<f64> for VolumeSells {
+    #[inline(always)]
+    fn value(&self) -> f64 {
+        self.sell_volume
+    }
+
+    #[inline(always)]
+    fn reset(&mut self) {
+        self.sell_volume = 0.0;
+    }
+}
+
+impl<T: TakerTrade> CandleComponentUpdate<T> for VolumeSells {
+    #[inline(always)]
+    fn update(&mut self, trade: &T) {
+        if trade.size().is_sign_negative() {
+            self.sell_volume += trade.size().abs()
+        }
+    }
+}

src/types.rs

@@ -62,6 +62,6 @@ pub trait TakerTrade {
 
     /// Number of shares or contracts in this trade.
     /// A negative value indicates
-    /// that the trade was executed on the bid (market sell order).
+    /// that the trade was a sell order, taking liquidity from the bid.
     fn size(&self) -> f64;
 }