Summary
AuctionContinuousMarketTransitionDetector is RTTA's streaming implementation of: Hysteresis detector for auction-versus-continuous market phase signals.
Update API
result = rtta.AuctionContinuousMarketTransitionDetector().update(auction_signal)
The update(...) call consumes one observation using auction_signal. advance(...)
uses the same inputs when the caller wants to update state without materializing
a Python return value.
Theory Of Operation
AuctionContinuousMarketTransitionDetector first constructs a scalar market-state metric from the current observation and compact streaming state, then passes that metric through explicit entry/exit hysteresis. The metric is named in the recurrence below; the hysteresis keeps the output stable until the metric crosses the opposite exit band.
Recurrence
Let \(z_t = auction_signal_t\) denote the observation consumed by one
update(...) call and let \(\theta\) denote constructor parameters such as
window lengths, thresholds, and smoothing constants.
The return value is the current scalar indicator value.
Implementation Notes
The recurrence is implemented in src/rtta/indicator.cpp in class AuctionContinuousMarketTransitionDetector.