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feat: Aggregator hubs for quote/tick quantization #1875
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ceb08b3
Initial plan
Copilot db2e161
feat: Add QuoteAggregatorHub for streaming quote aggregation
Copilot 922c77a
test: Add interface compliance and chain provider tests
Copilot a62c3ad
refactor: Simplify QuoteAggregatorHub properties and calculations
DaveSkender 5f1186b
feat: Add TickAggregatorHub for tick-to-bar aggregation
Copilot 9ca279e
feat: Add duplicate and out-of-sequence handling to aggregators
Copilot d9127b0
Merge branch 'v3' into copilot/add-quote-stream-aggregator
DaveSkender b796af0
Merge branch 'v3' into copilot/add-quote-stream-aggregator
DaveSkender b58c8ec
Merge branch 'v3' into copilot/add-quote-stream-aggregator
DaveSkender 4aaef2d
Merge branch 'v3' into copilot/add-quote-stream-aggregator
DaveSkender e4eb40d
Merge branch 'v3' into copilot/add-quote-stream-aggregator
DaveSkender 633312c
Merge branch 'v3' into copilot/add-quote-stream-aggregator
DaveSkender 369f934
code cleanup
DaveSkender 41e5db8
fix failing test
DaveSkender a4dd550
fix: Rebuild streaming aggregates for late ticks (#1943)
DaveSkender 8e7ab8c
Merge branch 'v3' into copilot/add-quote-stream-aggregator
DaveSkender 56eee6e
fix: Address all code review feedback for aggregator hubs
Copilot 7785c41
test: Add ITestTickObserver interface and required test method
Copilot 49d163c
Update src/_common/Quotes/Tick.StreamHub.cs
DaveSkender c4d5f8c
Merge branch 'v3' into copilot/add-quote-stream-aggregator
DaveSkender 45edbe6
feat: enhance quote and tick aggregators with better error handling
DaveSkender ea16d44
Merge branch 'v3' into copilot/add-quote-stream-aggregator
DaveSkender 0b46f2c
fix: Address all code review feedback, fix RollbackState API, clean t…
Copilot 1bedb59
Merge branch 'v3' into copilot/add-quote-stream-aggregator
DaveSkender 2274cfe
Merge branch 'v3' into copilot/add-quote-stream-aggregator
DaveSkender a4f16fd
fix: Use CacheLock in aggregator hubs to prevent lock inversion deadlock
DaveSkender f58518a
fix: Recognize ITestTickObserver in StreamHub audit script
Claude 42dc661
refactor: Simplify quote update logic in aggregator hubs
DaveSkender 98578d6
refactor: Use constants for max tracker sizes in aggregator hubs
DaveSkender 9aab8e8
refactor: Improve exception handling and assertions in aggregator hub…
DaveSkender f16a12a
refactor: Enhance tick cache update logic and observer notifications …
DaveSkender 108edfc
test: Add SSE integration tests for QuoteAggregatorHub and TickAggreg…
Claude 7a65277
feedback fixes
DaveSkender 75abef6
refactor: Validate aggregation period and improve cache pruning logic
DaveSkender dce4470
Update tools/scripts/dotnet-clean.sh
DaveSkender c5a8a98
Update tests/indicators/_common/Quotes/Tick.AggregatorHub.Tests.cs
DaveSkender a7f38a4
Update quote sequence assignment to use last index
DaveSkender File filter
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,24 @@ | ||
| namespace Skender.Stock.Indicators; | ||
|
|
||
| /// <summary> | ||
| /// Tick interface for raw market tick data. | ||
| /// This represents a single trade or quote event with price and volume at a specific timestamp. | ||
| /// </summary> | ||
| public interface ITick : IReusable | ||
| { | ||
| /// <summary> | ||
| /// Tick price | ||
| /// </summary> | ||
| decimal Price { get; } | ||
|
|
||
| /// <summary> | ||
| /// Tick volume (quantity traded) | ||
| /// </summary> | ||
| decimal Volume { get; } | ||
|
|
||
| /// <summary> | ||
| /// Optional unique execution ID for duplicate detection. | ||
| /// When null, duplicates are assessed by timestamp only. | ||
| /// </summary> | ||
| string? ExecutionId { get; } | ||
| } |
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