piker
piker copied to clipboard
trade rates: unit, $vlm and any broker specific ones?
Originally was going to introduce this as part of #260 but I think smaller patches in compact easy to understand PRs is a better approach for these things 😉
Lurkerz have expressed much interest in the following built-in volume related rate metrics for evaluating HFT activity:
- $vlm rates over multiple time frames
- unit vlm rates for the same (which we'll need to compute the above)
- any rate calcs that brokers/data providers offer for comparison
-
ibhas the294(trade count) and295(volume / m) tick types: https://interactivebrokers.github.io/tws-api/tick_types.html
-