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VolumeBarGenerator

Incremental, causal technical analysis documentation

Summary

VolumeBarGenerator is a Lopez de Prado–style information bar that closes a bar when cumulative trade volume reaches a fixed threshold. Each update(close, volume) advances the in-progress OHLC and may complete one or more bars if volume overshoots.

Update API

import rtta

ind = rtta.VolumeBarGenerator(threshold=10000.0)
result = ind.update(close, volume)
# result.bar_open, bar_close, bar_high, bar_low, bar_volume,
# result.direction, result.complete, result.bars

complete is \(1\) when at least one bar closed on this tick; bars is the count of bars closed this tick (can exceed 1 if a single print carries multiple thresholds of volume). direction is \(+1\) if the completed bar's close \(\ge\) open, else \(-1\) (0 if none completed). Incomplete ticks report running bar_volume = accum.

Theory Of Operation

Clock time is irregular; volume time normalizes activity so each bar embeds roughly the same amount of traded size. RTTA accumulates \(\max(\mathrm{volume}, 0)\) and, while accumulation stays at or above the threshold, emits a completed bar of volume equal to threshold, subtracts that amount, and restarts OHLC at the current close (so large prints can spawn multiple bars in one call).

Recurrence

Let \(V^\star > 0\) be threshold. On the first tick, set \(O=H=L=c_t\), \(A_t = v_t^+\), and if \(A_t \ge V^\star\) complete a bar and reset.

Thereafter:

\[H \leftarrow \max(H, c_t),\quad L \leftarrow \min(L, c_t),\quad A_t \leftarrow A_{t-1} + v_t^+,\quad v_t^+ = \max(v_t, 0).\]

While \(A_t \ge V^\star\):

\[\begin{aligned} \mathrm{complete} &\leftarrow 1,\\ \mathrm{bars} &\leftarrow \mathrm{bars}+1,\\ \mathrm{direction} &\leftarrow \mathbf{1}\{c_t \ge O\} - \mathbf{1}\{c_t < O\},\\ \text{emit OHLC} &\leftarrow (O, c_t, H, L),\quad \mathrm{bar\_volume} \leftarrow V^\star,\\ A_t &\leftarrow A_t - V^\star,\quad O,H,L \leftarrow c_t. \end{aligned}\]

If no bar completed, reported volume is the running accumulation \(A_t\); otherwise the last completed bar's fields (volume \(V^\star\)) are returned for this tick.

Implementation Notes

The recurrence is implemented in src/rtta/indicator.cpp in class VolumeBarGenerator. Result type is InformationBarResult.

Reference