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Add draft $_vlm doc string

dolla_vlm
Tyler Goodlet 2021-12-22 08:35:00 -05:00
parent 8e81f8bd81
commit ba7ed8b877
1 changed files with 14 additions and 0 deletions
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14
piker/fsp/_volume.py
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@ -103,6 +103,11 @@ async def _tina_vwap(
yield w_tot / v_tot yield w_tot / v_tot
# @fsp.config(
# name='dolla_vlm',
# ohlc=False,
# style='step',
# )
async def dolla_vlm( async def dolla_vlm(
source: AsyncReceiver[dict], source: AsyncReceiver[dict],
ohlcv: ShmArray, # OHLC sampled history ohlcv: ShmArray, # OHLC sampled history
@ -111,6 +116,15 @@ async def dolla_vlm(
AsyncIterator[np.ndarray], AsyncIterator[np.ndarray],
float float
]: ]:
'''
"Dollar Volume", aka the volume in asset-currency-units (usually
a fiat) computed from some price function for the sample step
*times* the asset unit volume.
Useful for comparing cross asset "money flow" in #s that are
asset-currency-independent.
'''
a = ohlcv.array a = ohlcv.array
chl3 = (a['close'] + a['high'] + a['low']) / 3 chl3 = (a['close'] + a['high'] + a['low']) / 3
v = a['volume'] v = a['volume']