DollarRunBarGenerator

Summary

DollarRunBarGenerator is a dollar-weighted run bar: while the tick-rule sign holds, notional volume \(|\mathrm{close}|\cdot\mathrm{volume}\) accumulates; the bar closes when run dollar volume reaches a threshold.

Update API

import rtta

ind = rtta.DollarRunBarGenerator(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 of the current run. Flat ticks do not alter the run. Sign flips restart the run at the current print's dollar volume.

Theory Of Operation

Dollar run bars combine persistence of order-flow sign with notional-value sampling. They close when a one-sided streak has moved a fixed amount of money, blending the ideas of dollar bars and tick run bars from the information-driven bar literature.

Recurrence

Let \(D^\star > 0\) be threshold and \(d_t = |c_t|\,\max(v_t,0)\). Tick sign \(s_t\) is the same as for volume run bars.

If \(s_t \neq 0\):

\[\begin{aligned} s_t = \sigma &\Rightarrow D_{\mathrm{run}} \leftarrow D_{\mathrm{run}} + d_t,\\ s_t \neq \sigma &\Rightarrow \sigma \leftarrow s_t,\ D_{\mathrm{run}} \leftarrow d_t,\ O,H,L \leftarrow c_t. \end{aligned}\]

When \(D_{\mathrm{run}} \ge D^\star\):

\[\begin{aligned} \mathrm{complete}&=1,\ \mathrm{bars}=1,\ \mathrm{direction}=\sigma,\\ \mathrm{bar\_volume}&=D_{\mathrm{run}},\\ D_{\mathrm{run}}&\leftarrow 0,\ \sigma\leftarrow 0,\ O,H,L\leftarrow c_t. \end{aligned}\]

Incomplete ticks report \(\mathrm{bar\_volume}=D_{\mathrm{run}}\).

Implementation Notes

The recurrence is implemented in src/rtta/indicator.cpp in class DollarRunBarGenerator. Default threshold is \(10^6\).

Reference

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