piker icon indicating copy to clipboard operation
piker copied to clipboard

Dark vlm real-time trade balance

Open goodboy opened this issue 4 years ago • 0 comments

Goes in tandem with #265 and likely should be part of our built-in vlm fsp subchart.

To start I think an on balance volume fsp which sums the dark trades would be enlightening:

  • tina def: https://www.investopedia.com/terms/o/onbalancevolume.asp
  • wiki def: https://en.wikipedia.org/wiki/On-balance_volume
  • implementations from a buncha libs listed in #108"
    • https://github.com/jesse-ai/jesse/blob/master/jesse/indicators/obv.py
    • https://github.com/bukosabino/ta/blob/master/ta/volume.py#L87
    • https://github.com/peerchemist/finta/blob/master/finta/finta.py#L1479 (OBV)
    • https://github.com/peerchemist/finta/blob/master/finta/finta.py#L1509 (WOBV)
    • can use https://github.com/mrjbq7/ta-lib to get the C impl: https://sourceforge.net/p/ta-lib/code/HEAD/tree/branches/ta-lib/ta-lib/c/src/ta_func/ta_OBV.c#l80

I'd like to also see if we can make a shorter windowed imbalance metric that tries to eval volume that is used to move the price (by clearing on the ask vs. bid) and then use that to drive a curve over the price chart.

goodboy avatar Jan 30 '22 18:01 goodboy