b5f2ff854c
Drop meaning the clearing rate, use per step count
2023-01-13 13:21:15 -05:00
d1b07c625f
Copy timestamps from source to FSP dest buffer
...
Slice up to history's length worth of (latest) time stamps from source
series read at the start of the history init phase.
2023-01-13 13:21:15 -05:00
423af37389
Truncate trade rate wma window sizes
2022-05-09 11:15:14 -04:00
326b2c089a
Drop dvlm 'rates' (they're just means), add default params, period -> 6
2022-02-08 12:04:01 -05:00
4a7b2d835b
Yield 0 initial values from `flow_rates` fsp
2022-02-08 07:46:36 -05:00
ee4ad32d3b
Fix `dvlm` to actually yield trade count, add instantaneous support
2022-02-07 12:53:30 -05:00
73faafcfc1
Add trade "rates" (i.e. trade counts) support B)
...
Though it's not per-tick accurate, accumulate the number of "trades"
(i.e. the "clearing rate" - maybe this is a better name?) per bar
inside the `dolla_vlm` fsp and average and report wmas of this in the
`flow_rates` fsp.
2022-02-07 12:53:30 -05:00
5274eb538c
Add 16 period dollar vlm rates, drop ib rates for now
2022-02-07 12:53:30 -05:00
1fc6429f75
Prep for manual rate calcs, handle non-ib backends XD
2022-02-07 12:53:30 -05:00
d4f79a6245
Comment flow rates fsp prints
2022-02-07 12:53:30 -05:00
97c2f86092
TOSQUASH, fix separate vlm vs trade rate
2022-02-07 12:53:30 -05:00
dfe4473c9a
Yield history `dict`s, add a `flow_rates` fsp
2022-02-07 12:53:30 -05:00
28b5be0719
Accumulate dark vlm ticks independently per sample step
2022-01-28 08:46:04 -05:00
72f4474273
Use new decorator on volume fsp routines
2022-01-27 09:08:03 -05:00
13b8807f1f
Print dark trades to console for the moment
2022-01-26 13:48:21 -05:00
ba7ed8b877
Add draft $_vlm doc string
2022-01-24 06:41:00 -05:00
0f200d9596
Revert to old shm "last" meaning last row
2022-01-24 06:30:11 -05:00
1f64f47ee9
Port imports to tractor's new subpkg
2022-01-24 06:27:11 -05:00
147207a0ad
Add first draft of "dollar volume" fsp
2022-01-24 06:25:29 -05:00
e89d3f9560
Use `numpy.divide()` to avoid divide-by-zero
2020-12-21 13:02:43 -05:00
7c7b31ebbe
Break hist calc into wap func, use hlc3.
2020-12-21 13:02:43 -05:00
ef2be16d97
Add initial tina (ohl3) vwap fsp
2020-12-21 13:02:43 -05:00
Tyler Goodlet