Summary
VolumeProfile is RTTA's streaming implementation of: Rolling volume-by-price histogram that emits point of control and value-area high/low levels.
Update API
result = rtta.VolumeProfile().update(close, volume)
The update(...) call consumes one observation using close, volume. advance(...)
uses the same inputs when the caller wants to update state without materializing
a Python return value.
Theory Of Operation
VolumeProfile combines price, volume, and/or quote information into a streaming microstructure or participation measure. The update path advances only from the latest tick and prior state.
Recurrence
Let \(z_t = (close_t, volume_t)\) denote the observation consumed by one
update(...) call and let \(\theta\) denote constructor parameters such as
window lengths, thresholds, and smoothing constants.
update(...) returns a result struct with fields point_of_control, value_area_high, value_area_low.
Implementation Notes
The recurrence is implemented in src/rtta/indicator.cpp in class VolumeProfile.