VolumeOscillator

Summary

VolumeOscillator is RTTA's streaming implementation of: Percent difference between short and long simple moving averages of volume.

Update API

result = rtta.VolumeOscillator().update(volume)

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

Theory Of Operation

VolumeOscillator measures whether short-term volume is running above or below a longer volume baseline. It is the SMA-based volume analog of a price percent oscillator (distinct from PercentageVolume, which uses EMAs and a signal line).

Recurrence

Let \(v_t = volume_t\), \(n_s\) the short window, and \(n_l\) the long window.

The return value is the current scalar indicator value.

Composed Primitives

SMA

Implementation Notes

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

Reference

• Background reference