Summary
MedianPrice is RTTA's streaming implementation of: Average of high and low.
Update API
result = rtta.MedianPrice().update(high, low)
The update(...) call consumes one observation using high, low. advance(...)
uses the same inputs when the caller wants to update state without materializing
a Python return value.
Theory Of Operation
MedianPrice is a causal smoother or average. It updates compact rolling or exponential state with the newest observation and returns the current smoothed estimate.
Recurrence
Let \(z_t = (high_t, low_t)\) denote the observation consumed by one
update(...) call and let \(\theta\) denote constructor parameters such as
window lengths, thresholds, and smoothing constants.
\[MP_t = \frac{high_t + low_t}{2}\]
The return value is the current scalar indicator value.
Implementation Notes
The recurrence is implemented in src/rtta/indicator.cpp in class MedianPrice.