Add Entropy CandleComponent

Cargo.toml

@@ -1,6 +1,6 @@
 [package]
 name = "trade_aggregation"
-version = "9.0.0"
+version = "9.1.0"
 authors = ["MathisWellmann <wellmannmathis@gmail.com>"]
 edition = "2021"
 license-file = "LICENSE"

README.md

@@ -45,6 +45,7 @@ WeightedPrice     | The volume weighted price
 StdDevPrices      | Keeps track of the standard deviation of prices
 StdDevSizes       | Keeps track of the standard deviaton of sizes
 TimeVelocity      | Essentially how fast the candle was created time wise
+Entropy           | Binary shannon entropy using the trade side as inputs
 
 And again, if these don't satisfy your needs, just bring your own by implementing the 
 [CandleComponent](src/candle_components/candle_component_trait.rs) trait and you can plug them into your own candle struct.

src/candle_components/entropy.rs

@@ -0,0 +1,37 @@
+use crate::{CandleComponent, CandleComponentUpdate, TakerTrade};
+
+/// A `CandleComponent` that computes the binary entropy of whether a trade is a buy or a sell.
+#[derive(Default, Debug, Clone)]
+#[cfg_attr(feature = "serde", derive(serde::Serialize, serde::Deserialize))]
+pub struct Entropy {
+    buys: usize,
+    total_observed_trades: usize,
+}
+
+impl CandleComponent<f64> for Entropy {
+    fn value(&self) -> f64 {
+        let pt = self.buys as f64 / self.total_observed_trades as f64;
+        let pn = 1_f64 - pt;
+
+        let mut h = pt * pt.log2() + pn * pn.log2();
+        if h.is_nan() {
+            h = 0.0;
+        }
+
+        -h
+    }
+
+    fn reset(&mut self) {
+        self.buys = 0;
+        self.total_observed_trades = 0;
+    }
+}
+
+impl<T: TakerTrade> CandleComponentUpdate<T> for Entropy {
+    fn update(&mut self, trade: &T) {
+        if trade.size() > 0.0 {
+            self.buys += 1
+        }
+        self.total_observed_trades += 1;
+    }
+}

src/candle_components/mod.rs

@@ -6,6 +6,7 @@ mod candle_component_trait;
 mod close;
 mod directional_trade_ratio;
 mod directional_volume_ratio;
+mod entropy;
 mod high;
 mod low;
 mod median_price;
@@ -25,6 +26,7 @@ pub use candle_component_trait::{CandleComponent, CandleComponentUpdate};
 pub use close::Close;
 pub use directional_trade_ratio::DirectionalTradeRatio;
 pub use directional_volume_ratio::DirectionalVolumeRatio;
+pub use entropy::Entropy;
 pub use high::High;
 pub use low::Low;
 pub use median_price::MedianPrice;

src/candle_components/open_datetime.rs

@@ -1,9 +1,7 @@
-use crate::CandleComponent;
-use crate::CandleComponentUpdate;
-use crate::TakerTrade;
-use crate::TimestampResolution;
 use chrono::{DateTime, TimeZone, Utc};
 
+use crate::{CandleComponent, CandleComponentUpdate, TakerTrade, TimestampResolution};
+
 /// This 'CandleComponent' keeps track of the opening [DateTime<Utc>] of a Candle.
 #[derive(Debug, Clone)]
 #[cfg_attr(feature = "serde", derive(serde::Serialize, serde::Deserialize))]