CandleAggregator.h

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#pragma once
 
#include "common/Types.h"
#include "data/MarketHistoryRepository.h"
#include <map>
#include <mutex>
#include <vector>
#include <functional>
 
namespace ohlc {
 
    using namespace data; // For Candle struct
 
    class CandleAggregator {
    public:
        using CandleCallback = std::function<void(int interval, const Candle&)>;
 
        CandleAggregator(MarketHistoryRepository& repo);
        ~CandleAggregator() = default;
 
        // Process a new trade update
        void onTrade(const std::string& symbol, double price, uint64_t qty, int64_t timestampNs);
 
        void setCandleCallback(CandleCallback cb) { mCallback = std::move(cb); }
 
    private:
        MarketHistoryRepository& mRepo;
        CandleCallback mCallback;
 
        struct Aggregate {
            Candle current;
            bool active = false;
        };
 
        // symbol -> interval -> Aggregate
        std::map<std::string, std::map<int, Aggregate>> mAggregates;
        std::mutex mMutex;
 
        void updateAggregate(Aggregate& agg, int interval, const std::string& symbol, double price, uint64_t qty, int64_t timestampNs);
    };
 
} // namespace ohlc