OnlineResamplers.jl

⚠️ AI-Generated Code Notice

Significant portions of this package were developed with AI assistance (Claude Sonnet 4.5). While extensively tested (>90% coverage, 94 BDD scenarios), users should exercise appropriate due diligence for production use.

📋 Read Full AI Transparency Notice → | 📖 Detailed Documentation →

A high-performance Julia package for real-time resampling of financial market data. Built on OnlineStatsBase.jl, it provides efficient streaming algorithms for aggregating tick-level market data into OHLC candlesticks and other time-based formats.

using Pkg
Pkg.add(url="https://github.com/femtotrader/OnlineResamplers.jl")

using OnlineResamplers, OnlineStatsBase, Dates

# Create a 1-minute OHLC resampler
resampler = MarketResampler(Minute(1))

# Process market data
data = MarketDataPoint(DateTime(2024, 1, 1, 9, 30, 0), 100.0, 1000.0)
fit!(resampler, data)

# Get results
result = value(resampler)
println("OHLC: $(result.price.ohlc)")  # OHLC(100.0, 100.0, 100.0, 100.0)
println("Volume: $(result.volume)")    # 1000.0

• Real-time Processing: Stream market data with constant memory usage
• Multiple Resampling Methods: OHLC, Mean price, Volume sum
• Parametric Types: Support for custom numeric types (FixedPointDecimals, etc.)
• High Performance: Type-stable operations with zero allocations
• Parallel Processing: Built-in merge operations for distributed computing
• OnlineStatsBase Integration: Compatible with the Julia online statistics ecosystem

📖 Complete Documentation (dev)

# Quick build and view
make docs-open

# Or manually:
julia docs/build.jl
julia docs/open.jl

• Tutorial - Step-by-step guide from basic to advanced usage
• API Reference - Detailed function documentation
• User Guide - Comprehensive examples and best practices
• Advanced Examples - Complex real-world scenarios

This project is licensed under the MIT License - see the LICENSE file for details.

Contributions welcome! Please see the documentation for development guidelines.

Support and donations are appreciated but not required.

Built with ❤️ for the Julia community