SpreadExplosionDetector

Summary

SpreadExplosionDetector is RTTA's streaming implementation of: EWMA relative quoted-spread explosion detector.

Update API

result = rtta.SpreadExplosionDetector().update(bid_price, ask_price)

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

Theory Of Operation

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

\[s_t=\max(ask_t-bid_t,0), \qquad q_t=\frac{s_t}{\max(B_{t-1},\epsilon)}\]

\[B_t=\alpha s_t+(1-\alpha)B_{t-1}\]

\[r_t = \begin{cases} 1, & r_{t-1} = 0 \text{ and } q_t \ge e \\ 0, & r_{t-1} = 1 \text{ and } q_t \le x \\ r_{t-1}, & \text{otherwise} \end{cases}, \qquad x < e\]

The return value is the current scalar indicator value.

Implementation Notes

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

Reference

Background reference