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