roll_volume_profile: Rolling Volume Profile

In QuantTools: Enhanced Quantitative Trading Modelling

Description

This indicator is not common. Volume profile is the distribution of volume over price. It is formed tick by tick and partially forgets past values over time interval. When volume on any bar is lower than specified critical value the bar is cut.

Usage

roll_volume_profile(ticks, timeFrame, step, alpha, cut)

Arguments

ticks	read 'Ticks' section in Processor
timeFrame	indicator period in seconds, when to apply alpha correction
step	price round off value, bar width
alpha	multiplication coefficient must be between (0,1]
cut	threshold volume when to delete bar

Value

data.table with columns time, profile where profile is data.table with columns time, price, volume

See Also

Other technical indicators: bbands, crossover, ema, roll_lm, roll_percent_rank, roll_range, roll_sd, rsi, sma, stochastic

QuantTools documentation built on Oct. 23, 2020, 7:54 p.m.