roll_volume_profile

read 'Ticks' section in <a rd-options="" href="/link/Processor?package=QuantTools&version=0.5.3" data-mini-rdoc="QuantTools::Processor">Processor</a>

ticks

indicator period in seconds, when to apply alpha correction

timeFrame

step

multiplication coefficient must be between (0,1]

alpha


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.


Download and organize historical market data from multiple sources like Yahoo (<https://finance.yahoo.com>), Google (<https://www.google.com/finance>), Finam (<https://www.finam.ru/profile/moex-akcii/sberbank/export/>), MOEX (<https://www.moex.com/en/derivatives/contracts.aspx>) and IQFeed (<https://www.iqfeed.net/symbolguide/index.cfm?symbolguide=lookup>). Code your trading algorithms in modern C++11 with powerful event driven tick processing API including trading costs and exchange communication latency and transform detailed data seamlessly into R. In just few lines of code you will be able to visualize every step of your trading model from tick data to multi dimensional heat maps.

roll_volume_profile: Rolling Volume Profile

Description

Usage

Arguments

Value

See Also