MarketOpenCloseTransitionDetector

Summary

MarketOpenCloseTransitionDetector is RTTA's streaming implementation of: Session-progress transition detector for market-open and market-close bands.

Update API

result = rtta.MarketOpenCloseTransitionDetector().update(session_progress)

The update(...) call consumes one observation using session_progress. advance(...) uses the same inputs when the caller wants to update state without materializing a Python return value.

Theory Of Operation

MarketOpenCloseTransitionDetector first constructs a scalar market-state metric from the current observation and compact streaming state, then passes that metric through explicit entry/exit hysteresis. The metric is named in the recurrence below; the hysteresis keeps the output stable until the metric crosses the opposite exit band.

Recurrence

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

\[p_t=\operatorname{clip}(session\_progress_t,0,1)\]

\[r_t = \begin{cases} 1, & r_{t-1}=0 \text{ and } p_t\le open_e\\ 0, & r_{t-1}=1 \text{ and } p_t\ge open_x\\ -1, & r_{t-1}=0 \text{ and } p_t\ge close_e\\ 0, & r_{t-1}=-1 \text{ and } p_t\le close_x\\ r_{t-1}, & \text{otherwise} \end{cases}\]

The return value is the current scalar indicator value.

Implementation Notes

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

Reference

Background reference