Support for custom bar aggregations

[SarunasSS]

Feature Request

Problem Statement

Currently we can only choose the hard coded into the data engine. It would be nice to enable users to add aggregations of their own. For example, aggregating tick data into footprint charts OR aggregating volume but in reverse, from the current time to the past.

Proposed Solution

I'd like to be able to pass my own aggregators to the data engine and have them mapped to composite bars.

Alternatives Considered

At the moment I've achieved by implementing a proxy market data client. The problem is that its pure overhead as there's quite a bit of work to avoid triggering the default aggregation.

Additional Context

Currently we're aggregating into bars only, but this would enable us to aggregate into different objects eg. order flow, order book curves & footprints to name a few.

[stastnypremysl]

Hi, @SarunasSS.

Current recommended solution is to use Actor with BarBuilder (this will allow you to convert ticks to bars and separate them upon need) together with Message Bus. (Note: You won't use BarBuilder, if you need to convert them into other objects.)

Do you see any significant advantage if we supported custom BarAggregator directly from data engine? BarAggregator is basically a lightweight Actor wired to BarAggregator and I don't see much added value.

If you can see it, could you please describe it?

Could you please propose, how would you imagine the API for it? If I don't miss anything there is not much other ways how to implement this then a Actor again, if it ought to be universal. (for time, tick, information, external information,... based aggregation)