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trade rates: unit, $vlm and any broker specific ones?

Open goodboy opened this issue 4 years ago • 0 comments

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
    • ib has the 294 (trade count) and 295 (volume / m) tick types: https://interactivebrokers.github.io/tws-api/tick_types.html

goodboy avatar Jan 30 '22 17:01 goodboy