IntradayClockEchoSignal

Summary

IntradayClockEchoSignal is RTTA's streaming implementation of: Same-clock intraday return-periodicity signal trained from prior aggregate-bar day lists.

Update API

result = rtta.IntradayClockEchoSignal(fillna=True).update(open, high, low, close, volume)

The update(...) call consumes one observation using open, high, low, close, volume. advance(...) uses the same inputs when the caller wants to update state without materializing a Python return value.

Theory Of Operation

IntradayClockEchoSignal learns time-of-day residual return patterns by slot. Each update removes an optional market return, updates the EWMA state for the current slot, forecasts a future slot path over the horizon, and calibrates forecast errors with a rolling quantile. The linked research note explains the same-clock effect and session-alignment assumptions.

Recurrence

Let \(z_t = (open_t, high_t, low_t, close_t, volume_t)\) denote the observation consumed by one update(...) call and let \(\theta\) denote constructor parameters such as window lengths, thresholds, and smoothing constants.

\[r_t=\log(close_t/close_{t-1}), \qquad \epsilon_t=r_t-market\_return_t\]

\[E_{s,t}=(1-\alpha)E_{s,t-1}+\alpha\epsilon_t \quad \text{for } s=slot_t\]

\[w_j=\exp(-0.10(j-1))\min\left(1,\frac{count_{slot_t+j}}{min\_slot\_samples}\right)\]

\[clock\_echo_t= \frac{\sum_{j=1}^{h}w_jE_{slot_t+j,t}}{\sum_{j=1}^{h}w_j}, \qquad \widehat{r}_{t+h}=h\cdot clock\_echo_t\]

\[\mathcal{E}_t=\{|r^{(h)}_i-\widehat{r}^{(h)}_i|:\ i+h\le t\}, \qquad radius_t=\max(Q_{\tau}(\mathcal{E}_t), cost)\]

\[score_t=\frac{\widehat{r}_{t+h}}{radius_t+cost}\]

update(...) returns a result struct with fields slot, samples_for_slot, bar_return, residual_return, clock_echo, flow_confirm, volume_sync, prediction, radius, score, signal, target_fraction, max_trade_dollars, realized_error, ready.

Implementation Notes

The recurrence is implemented in src/rtta/indicator.cpp in class IntradayClockEchoSignal.

Reference

Detailed research note