ImbalanceBarGenerator

Summary

ImbalanceBarGenerator builds López de Prado–style volume imbalance bars: signed volume (tick-rule sign on close) accumulates until its absolute value hits a threshold, then the bar closes and the imbalance resets.

Update API

import rtta

ind = rtta.ImbalanceBarGenerator(threshold=10000.0)
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 \(|I_t|\) (absolute cumulative signed volume). direction on completion is the sign of the imbalance. Flat ticks (unchanged close) contribute sign \(0\).

Theory Of Operation

Imbalance bars close when buy and sell volume become sufficiently asymmetric, so bar frequency rises in one-sided markets and falls when flow is balanced. Sign uses the tick rule: uptick \(\Rightarrow +1\), downtick \(\Rightarrow -1\), flat \(\Rightarrow 0\). Unlike volume/dollar bars, overshoot is not split into multiple bars in one tick: a single completion resets imbalance to zero.

Recurrence

Let \(V^\star > 0\) be threshold. After the first tick (seed OHLC, \(I=0\)):

\[s_t = \begin{cases} +1, & c_t > c_{t-1},\\ -1, & c_t < c_{t-1},\\ 0, & c_t = c_{t-1}, \end{cases} \qquad I_t = I_{t-1} + s_t\,\max(v_t,0).\]

Update running \(H,L\) from \(c_t\). If \(|I_t| \ge V^\star\):

\[\begin{aligned} \mathrm{complete}&=1,\ \mathrm{bars}=1,\\ \mathrm{direction}&=\operatorname{sign}(I_t)\quad(+1\text{ if }I_t\ge 0),\\ \mathrm{bar\_volume}&=|I_t|,\\ I &\leftarrow 0,\quad O,H,L \leftarrow c_t. \end{aligned}\]

Otherwise \(\mathrm{complete}=0\), \(\mathrm{bar\_volume}=|I_t|\), direction \(0\).

Implementation Notes

The recurrence is implemented in src/rtta/indicator.cpp in class ImbalanceBarGenerator. Result type is InformationBarResult.

Reference

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