Vol.Imbalance: Calculates A Volume Imbalance Trigger from Buy and Sell Raw...

Description Usage Arguments Value Author(s)

Description

Calculates A Volume Imbalance Trigger from Buy and Sell Raw Data

Usage

1
2
Vol.Imbalance(contract, contract.type, start.date, end.date, incr = list(units
  = "hours", size = 1))

Arguments

contract

An Instrument identifier

contract.type

Types of Syn and Direct

start.date

The start time of the evaluation period

end.date

The end time of the evaluation period

incr

The increment for the volume imbalance rollup. This is a list with units and size parameters

Value

list of Aroon indicators and triggers:

imb.sell.trigger

A trigger of 1 when there is abnormal sell activity occurring in the market

imb.buy.trigger

A trigger of 1 when there is abnormal buy activity occurring in the market

Author(s)

Helena Ristov


helenristov/aCompiler documentation built on May 3, 2019, 9:40 p.m.