How to aggregate trade ticks to timebars?

[graceyangfan]

Hello,I am trying to aggregate trade ticks to timebars,I make a small test with tests\unit_tests\data\test_data_aggregation.py by add a new test function to TestTimeBarAggregator:

    def test_handle_trade_tick_to_bars(self):
        # Arrange
        clock = TestClock()
        bar_store = ObjectStorer()
        handler = bar_store.store
        instrument = AUDUSD_SIM
        bar_spec = BarSpecification(10, BarAggregation.SECOND, PriceType.LAST)
        bar_type = BarType(instrument.id, bar_spec)
        aggregator = TimeBarAggregator(
            AUDUSD_SIM,
            bar_type,
            handler,
            clock,
            Logger(clock),
        )

        tick1 = TradeTick(
            instrument_id=instrument.id,
            price=Price.from_str("1.00001"),
            size=Quantity.from_int(3000),
            aggressor_side=AggressorSide.BUY,
            trade_id=TradeId("123456"),
            ts_event=1 * 1 * 1_000_000_000,  # 1 minute in nanoseconds
            ts_init=1 * 1 * 1_000_000_000,  # 1 minute in nanoseconds
        )

        tick2 = TradeTick(
            instrument_id=instrument.id,
            price=Price.from_str("1.00002"),
            size=Quantity.from_int(4000),
            aggressor_side=AggressorSide.BUY,
            trade_id=TradeId("123457"),
            ts_event=1 * 5 * 1_000_000_000,  # 1 minute in nanoseconds
            ts_init=1 * 5 * 1_000_000_000,  # 1 minute in nanoseconds
        )

        tick3 = TradeTick(
            instrument_id=instrument.id,
            price=Price.from_str("1.00000"),
            size=Quantity.from_int(3000),
            aggressor_side=AggressorSide.BUY,
            trade_id=TradeId("123458"),
            ts_event=1 * 15 * 1_000_000_000,  # 1 minute in nanoseconds
            ts_init=1 * 15 * 1_000_000_000,  # 1 minute in nanoseconds
        )

        tick4 = TradeTick(
            instrument_id=instrument.id,
            price=Price.from_str("1.00000"),
            size=Quantity.from_int(3000),
            aggressor_side=AggressorSide.BUY,
            trade_id=TradeId("123458"),
            ts_event=1 * 20 * 1_000_000_000,  # 1 minute in nanoseconds
            ts_init=1 * 20 * 1_000_000_000,  # 1 minute in nanoseconds
        )
        # Act
        aggregator.handle_trade_tick(tick1)
        aggregator.handle_trade_tick(tick2)
        aggregator.handle_trade_tick(tick3)
        aggregator.handle_trade_tick(tick4)
        # Assert
        print(bar_store.get_store())
if __name__ == "__main__":
    tester = TestTimeBarAggregator()
    tester.test_handle_trade_tick_to_bars()

finially,I got bar_store.get_store() to be [],anyone have experience to use this please help me!

[graceyangfan]

fellow suggestions from @cjdsellers add clock.advance_time :

        # Arrange
        clock = TestClock()
        bar_store = ObjectStorer()
        handler = bar_store.store
        instrument = AUDUSD_SIM
        bar_spec = BarSpecification(10, BarAggregation.SECOND, PriceType.LAST)
        bar_type = BarType(instrument.id, bar_spec)
        aggregator = TimeBarAggregator(
            AUDUSD_SIM,
            bar_type,
            handler,
            clock,
            Logger(clock),
        )

        tick1 = TradeTick(
            instrument_id=instrument.id,
            price=Price.from_str("1.00001"),
            size=Quantity.from_int(3000),
            aggressor_side=AggressorSide.BUY,
            trade_id=TradeId("123456"),
            ts_event=1 * 1 * 1_000_000_000,  # 1 minute in nanoseconds
            ts_init=1 * 1 * 1_000_000_000,  # 1 minute in nanoseconds
        )

        tick2 = TradeTick(
            instrument_id=instrument.id,
            price=Price.from_str("1.00002"),
            size=Quantity.from_int(4000),
            aggressor_side=AggressorSide.BUY,
            trade_id=TradeId("123457"),
            ts_event=1 * 5 * 1_000_000_000,  # 1 minute in nanoseconds
            ts_init=1 * 5 * 1_000_000_000,  # 1 minute in nanoseconds
        )

        tick3 = TradeTick(
            instrument_id=instrument.id,
            price=Price.from_str("1.00000"),
            size=Quantity.from_int(3000),
            aggressor_side=AggressorSide.BUY,
            trade_id=TradeId("123458"),
            ts_event=1 * 15 * 1_000_000_000,  # 1 minute in nanoseconds
            ts_init=1 * 15 * 1_000_000_000,  # 1 minute in nanoseconds
        )

        tick4 = TradeTick(
            instrument_id=instrument.id,
            price=Price.from_str("1.00000"),
            size=Quantity.from_int(3000),
            aggressor_side=AggressorSide.BUY,
            trade_id=TradeId("123459"),
            ts_event=1 * 20 * 1_000_000_000,  # 1 minute in nanoseconds
            ts_init=1 * 20 * 1_000_000_000,  # 1 minute in nanoseconds
        )
        tick5 = TradeTick(
            instrument_id=instrument.id,
            price=Price.from_str("0.9999"),
            size=Quantity.from_int(3000),
            aggressor_side=AggressorSide.BUY,
            trade_id=TradeId("123460"),
            ts_event=1 * 30 * 1_000_000_000,  # 1 minute in nanoseconds
            ts_init=1 * 30 * 1_000_000_000,  # 1 minute in nanoseconds
        )
        tick6 = TradeTick(
            instrument_id=instrument.id,
            price=Price.from_str("0.9998"),
            size=Quantity.from_int(3000),
            aggressor_side=AggressorSide.BUY,
            trade_id=TradeId("123461"),
            ts_event=1 * 60 * 1_000_000_000,  # 1 minute in nanoseconds
            ts_init=1 * 60 * 1_000_000_000,  # 1 minute in nanoseconds
        )
        # Act
        aggregator.handle_trade_tick(tick1)       
        aggregator.handle_trade_tick(tick2)
        aggregator.handle_trade_tick(tick3)
        aggregator.handle_trade_tick(tick4)
        aggregator.handle_trade_tick(tick5)
        aggregator.handle_trade_tick(tick6)
        events = clock.advance_time(tick6.ts_event)
        print(len(events))
        for event in events:
            event.handle()
        # Assert
        print(len(bar_store.get_store()))