aggregate_ohlc

Defined in dccd.domain.transforms

aggregate_ohlc(trades, span)

Aggregate trades into OHLC bars of span seconds.

Parameters:

tradeslist[Trade]

Input trades, sorted ascending by ts (nanoseconds UTC).

spanint

Bar duration in seconds.

Returns:

list[OHLCBar]

One bar per non-empty span window, ascending.

Examples

>>> from dccd.domain.records import Trade
>>> trades = [
...     Trade(ts=1_000_000_000_000_000_000, price=100.0, amount=1.0, side='buy'),
...     Trade(ts=1_000_000_060_000_000_000, price=110.0, amount=2.0, side='sell'),
... ]
>>> bars = aggregate_ohlc(trades, span=60)
>>> len(bars)
2