dollar-bars

Here are 3 public repositories matching this topic...

High-frequency market microstructure and volume-synchronized dollar bars engine with VPIN flow toxicity and Lee-Ready aggressor classification

Tick, volume, dollar, and imbalance bars for financial time series, plus strictly causal cross-instrument normalization. NumPy only.

algorithm fintech market-data ohlcv bar-construction dollar-bars

To associate your repository with the dollar-bars topic, visit your repo's landing page and select "manage topics."