Custom bars

[rdong8]

Is there a way to use custom bars with nautilus? I would like to create a bar with nonstandard fields calculated using external data. Just as an example, say I define a bar with the following rules:

1. Every bar has a high, low, average market cap for the period, and timestamp. There is no open, close or volume.
2. A new bar is created when the ratio of the cumulative volume traded to the market cap reaches some threshold.

[cjdsellers]

Hi @rdgh8 thanks for your interest

There is a way to do this, firstly you could:

• Define this custom data type, probably inheriting from Data rather than Bar.
• Write the logic for aggregating these bars in a class inheriting Actor, which you could then use to publish the bars onto the general message bus.
• Strategies or other actors could then subscribe to this custom bar datatype.

You could even take it further by defining your own aggregation type, and writing a custom BarAggregator but you probably don't need to for now.

Hope that helps!