VolumeRunBarGenerator

Summary

VolumeRunBarGenerator is a volume-weighted run bar: while the tick-rule sign stays the same, trade volume accumulates; the bar closes when run volume reaches a threshold (not tick count).

Update API

import rtta

ind = rtta.VolumeRunBarGenerator(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

Flat ticks leave the run unchanged. An opposite sign starts a new run with volume equal to the current print and OHLC reset to that close.

Theory Of Operation

Standard run bars count ticks; volume run bars weight each same-sign tick by its size so that a few large prints can complete a bar as fast as many small ones. This is the run analogue of volume bars within a persistent-sign regime.

Recurrence

Let \(V^\star > 0\) be threshold and

\[s_t = \begin{cases} +1, & c_t > c_{t-1},\\ -1, & c_t < c_{t-1},\\ 0, & \text{flat}. \end{cases}\]

If \(s_t \neq 0\):

\[\begin{aligned} s_t = \sigma &\Rightarrow V_{\mathrm{run}} \leftarrow V_{\mathrm{run}} + v_t^+,\\ s_t \neq \sigma &\Rightarrow \sigma \leftarrow s_t,\ V_{\mathrm{run}} \leftarrow v_t^+,\ O,H,L \leftarrow c_t, \end{aligned}\]

where \(v_t^+ = \max(v_t,0)\). High/low track \(c_t\) while the run is active.

When \(V_{\mathrm{run}} \ge V^\star\):

\[\begin{aligned} \mathrm{complete}&=1,\ \mathrm{bars}=1,\ \mathrm{direction}=\sigma,\\ \mathrm{bar\_volume}&=V_{\mathrm{run}},\\ V_{\mathrm{run}}&\leftarrow 0,\ \sigma\leftarrow 0,\ O,H,L\leftarrow c_t. \end{aligned}\]

Otherwise \(\mathrm{bar\_volume}=V_{\mathrm{run}}\), complete/bars/direction zero (except incomplete runs still report direction only on completion).

Implementation Notes

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

Reference

López de Prado, Advances in Financial Machine Learning (run bars / volume sampling)