Summary
IntradayIntensity is RTTA's streaming windowed average of volume-weighted
intraday intensity. Each bar contributes an intensity flow
\(((2C - H - L)/(H - L)) \cdot V\); the indicator returns the ratio of the
rolling sum of those flows to the rolling sum of volume.
Update API
value = rtta.IntradayIntensity(window=21, fillna=True).update(high, low, close, volume)
With fillna=False, output is NaN until the window buffer is full.
Theory Of Operation
David Bostian's Intraday Intensity (also related to the Accumulation/Distribution and money-flow family) locates the close within the bar's high-low range and weights that position by volume. Closes near the high produce positive intensity; closes near the low produce negative intensity. Averaging flow over volume across a rolling window yields a normalized participation measure in roughly \([-1, 1]\).
Recurrence
Let \(H_t, L_t, C_t, V_t\) be high, low, close, volume and \(n\) be window
(default \(21\)).
Maintain rolling sums over the last \(\min(t,n)\) samples (fixed-capacity buffer with FIFO eviction when full):
Implementation Notes
The recurrence is implemented in src/rtta/indicator.cpp in
class IntradayIntensity using two rolling sum buffers (flow_, vol_).