Package com.motivewave.platform.sdk.common

Class AggregateFilter

java.lang.Object

com.motivewave.platform.sdk.common.AggregateFilter

All Implemented Interfaces:

TickOperation, Cloneable

public class AggregateFilter
extends Object
implements TickOperation, Cloneable

Aggregates ticks and filters by volume of the aggregated ticks. Aug 7, 2020 Adjusted this filter to account for ticks that include the exchange order id. if this id is available (currently Rithmic live data only) it will be used to aggregate (ignoring the agg period). NB: If the exchange order id is available it may cause the same tick to be emitted multiple times with an updated size.

Field Summary

Fields

Modifier and Type	Field	Description
protected long	aggPeriod
protected boolean	aggregate
protected Tick	aggTick
protected boolean	checkMax
protected TickOperation	filterOp
protected float	maxSize
protected float	minSize
protected TickOperation	op
protected long	tickStart

Constructor Summary

Constructors

Constructor	Description
AggregateFilter(boolean aggByOrder, long aggPeriod, float minSize, float maxSize, TickOperation op)	Constructor.

Method Summary

Modifier and Type	Method	Description
AggregateFilter	clone()
boolean	isCancelled()
void	onTick(Tick tick)	Executes the operation on the given tick
void	reset()	Resets the internal state for aggregating ticks.
void	setCancelled(boolean b)
void	setOperation(TickOperation op)	Sets the operation to execute on each aggregated/filtered tick.

Methods inherited from class java.lang.Object

equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Field Details

op

protected TickOperation op

aggPeriod

protected long aggPeriod

aggregate

protected boolean aggregate

checkMax

protected boolean checkMax

minSize

protected float minSize

maxSize

protected float maxSize

filterOp

protected TickOperation filterOp

aggTick

protected Tick aggTick

tickStart

protected long tickStart

Constructor Details

AggregateFilter

public AggregateFilter(boolean aggByOrder,
 long aggPeriod,
 float minSize,
 float maxSize,
 TickOperation op)

Constructor. Creates an Aggregate Filter with the given criteria and tick operation.

Parameters:

aggByOrder - If true, ticks will be aggregated using the aggressor order id (if available)

aggPeriod - period in milliseconds to allow the aggregation of ticks (0 for no aggregation)

minSize - minimum trade size for applying the tick operation (0 for no min size)

maxSize - maximum trade size for applying the tick operation (0 for no max size)

op - operation to perform for ticks that meet the min/max size requirement

Method Details

onTick

public void onTick(Tick tick)

Description copied from interface: TickOperation

Executes the operation on the given tick

Specified by:

onTick in interface TickOperation

Parameters:

tick - tick to process

setOperation

public void setOperation(TickOperation op)

Sets the operation to execute on each aggregated/filtered tick.

Parameters:

op - operation to execute

reset

public void reset()

Resets the internal state for aggregating ticks.

clone

public AggregateFilter clone()

Overrides:

clone in class Object

setCancelled

public void setCancelled(boolean b)

isCancelled

public boolean isCancelled()