quote-stream auto-aggregator

[DaveSkender]

That overload would be a good prototype to add to EMA if you’re interested. Sounds like a useful thing to open up different feed choices. I think a simple pre-processor Add(quote, outBarSize) to aggregate before calling Add(quote) would do it, keep some separation of concerns. This might be similar to or combined with #670

This is likely an adaptation of the quotes.Aggregate() utility.

Originally posted by @DaveSkender in #1069 (reply in thread) discussion with @mihakralj

[DaveSkender]

One thing I'm noticing with Alpaca API for BTC quotes for "minutely" data is that it will regularly skip minutes. I can imagine many scenarios for why this would happen, like having no actual trade volume. I think this aggregator might need to fill in the gaps by carrying over the prior price in some cases. This could get messy, because some markets don't operate 24/7 and have intentional gaps with no new prices.

# note the missing 02:58 minute price

Date                     Price      SMA(3)      EMA(5)  EMA(7,HL2)
----------------------------------------------------------------------
2023-11-09 02:53    $36,299.93
2023-11-09 02:54    $36,348.60
2023-11-09 02:55    $36,341.55    36,330.0
2023-11-09 02:56    $36,356.48    36,348.9
2023-11-09 02:57    $36,348.91    36,349.0    36,339.1
2023-11-09 02:59    $36,375.22    36,360.2    36,351.1
2023-11-09 03:00    $36,352.32    36,358.8    36,351.5    36,345.8
2023-11-09 03:01    $36,341.65    36,356.4    36,348.2    36,348.3

You can observe this yourself from our ObserveStream sample project.