Summary
EaseOfMovement is RTTA's streaming implementation of: Volume/range indicator for ease of price movement.
Update API
result = rtta.EaseOfMovement().update(high, low, volume)
The update(...) call consumes one observation using high, low, volume. advance(...)
uses the same inputs when the caller wants to update state without materializing
a Python return value.
Theory Of Operation
EaseOfMovement combines price, volume, and/or quote information into a streaming microstructure or participation measure. The update path advances only from the latest tick and prior state.
Recurrence
Let \(z_t = (high_t, low_t, volume_t)\) denote the observation consumed by one
update(...) call and let \(\theta\) denote constructor parameters such as
window lengths, thresholds, and smoothing constants.
update(...) returns a result struct with fields ease_of_movement, sma.
Implementation Notes
The recurrence is implemented in src/rtta/indicator.cpp in class EaseOfMovement.