Summary
VPIN is RTTA's streaming implementation of: Volume-synchronized probability of informed trading using bulk-volume classification and rolling volume-bucket imbalance.
Update API
result = rtta.VPIN().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
VPIN 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.
The return value is the current scalar indicator value.
Implementation Notes
The recurrence is implemented in src/rtta/indicator.cpp in class VPIN.