CandleAggregator

The CandleAggregator is a subsystem that aggregates trade data into time-based candlesticks.
It emits complete Candle objects for each symbol at regular intervals via a user-defined callback.

Purpose

To convert streaming trade data into OHLCV candles for analysis, strategy input, or logging.

Class Definition

class CandleAggregator : public ISubsystem {
public:
  using CandleCallback = std::function<void(SymbolId, const Candle &)>;

  CandleAggregator(std::chrono::seconds interval, CandleCallback callback);

  void start() override;
  void stop() override;

  void onTrade(const Trade &trade);
};

Responsibilities

• Receives trades via onTrade(...)
• Aggregates OHLCV values within a time interval (_interval)
• Calls the registered CandleCallback when a new candle is completed
• Tracks per-symbol candle state internally

Internal Design

• Uses std::unordered_map<SymbolId, PartialCandle> to accumulate state
• Candle emission is based on aligned timestamps (alignToInterval(...))
• Implements ISubsystem for system lifecycle compatibility

Use Cases

• Used by strategies that rely on time-based candles (e.g., moving average strategies)
• Enables plotting or historical export of candlestick data
• Provides compact representation of market activity

Notes

• The component is stateless between restarts unless externally persisted
• Candle timestamps are system-clock-based