DollarRunBarGenerator

Summary

DollarRunBarGenerator implements a constant-threshold dollar run bar. It accumulates buy and sell notional value separately throughout the active bar and closes when the dominant side reaches threshold.

Update API

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

Although retained for compatibility with InformationBarResult, bar_volume contains dominant-side dollar value for this generator.

Theory Of Operation

Dollar run bars combine order-flow direction with notional-value sampling. They measure cumulative one-sided money flow, not a consecutive same-sign streak: an opposite tick adds to the other side without discarding either tally or resetting OHLC. RTTA applies a fixed threshold to the canonical dominant-side statistic.

Recurrence

Classify price using the tick rule, with a flat tick inheriting the latest nonzero sign, and define

\[d_t=|c_t|\max(v_t,0).\]

For the active bar, maintain

\[D_t^+=\sum d_i1_{\{b_i=+1\}},\qquad D_t^-=\sum d_i1_{\{b_i=-1\}},\qquad \theta_t=\max(D_t^+,D_t^-).\]

When \(\theta_t\ge\texttt{threshold}\), the bar completes, bar_volume is \(\theta_t\), and direction identifies the dominant side. Incomplete results report the current \(\theta_t\) and direction zero. OHLC covers every tick assigned to the bar.

After completion the dollar totals and OHLC reset, while previous price and tick sign carry across the boundary. The first observation seeds price and has no signed dollar contribution.

Implementation Notes

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

Reference

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