DollarBarGenerator

Summary

DollarBarGenerator closes information bars when cumulative dollar volume $|\mathrm{close}|\cdot\mathrm{volume}$ reaches a threshold. It is the notional-value counterpart of volume bars in the López de Prado information-bar family.

Update API

import rtta

ind = rtta.DollarBarGenerator(threshold=1.0e6)
result = ind.update(close, volume)
# result.bar_open, bar_close, bar_high, bar_low, bar_volume,
# result.direction, result.complete, result.bars

bar_volume is dollar accumulation (threshold units), not share count. complete / bars / direction follow the same conventions as VolumeBarGenerator.

Theory Of Operation

Dollar (notional) bars sample the market whenever a fixed amount of money changes hands. This partially normalizes for price level: a \$1M threshold means roughly the same economic activity whether the instrument trades at \$10 or \$1000. RTTA accumulates $|c_t|\cdot v_t^+$ and splits overshoot across multiple bars within one update.

Recurrence

Let $D^\star > 0$ be threshold and $d_t = |c_t|\,\max(v_t,0)$.

Accumulate $A_t \leftarrow A_{t-1} + d_t$ (after updating running high/low of $c_t$). While $A_t \ge D^\star$:

\[\begin{aligned} \mathrm{complete} &\leftarrow 1,\quad \mathrm{bars} \mathrel{+}= 1,\\ \mathrm{direction} &\leftarrow \begin{cases}+1,& c_t \ge O\\ -1,& c_t < O\end{cases},\\ \text{emit} &\ (O,c_t,H,L),\ \mathrm{bar\_volume}=D^\star,\\ A_t &\leftarrow A_t - D^\star,\quad O,H,L \leftarrow c_t. \end{aligned}\]

Incomplete ticks report $\mathrm{bar\_volume}=A_t$. First-tick initialization seeds OHLC at $c_t$ and may complete immediately if $|\mathrm{close}|\cdot\mathrm{volume}$0.

Implementation Notes

The recurrence is implemented in src/rtta/indicator.cpp in class DollarBarGenerator. Default threshold is $|\mathrm{close}|\cdot\mathrm{volume}$1.

Reference

López de Prado, Advances in Financial Machine Learning (dollar bars)