SignedVolume

Description

SignedVolume multiplies a trade sign by volume to give aggressor-signed order flow. Pair a sign source (TickRuleSign, or an aggressor flag) with volume, then feed the result to RollingKyleLambda for price impact.

Examples

Usage plot

import numpy as np
import plotly.graph_objects as go
from plotly.subplots import make_subplots
from screamer import SignedVolume

rng = np.random.default_rng(2)
n = 120
sign = rng.choice([-1.0, 1.0], size=n)
size = rng.exponential(1.0, size=n)
flow = SignedVolume()(sign, size)

colors = np.where(flow >= 0, 'seagreen', 'crimson')
fig = go.Figure(go.Bar(y=flow, marker_color=colors, name='signed volume'))
fig.update_layout(title='SignedVolume: buyer-initiated (+) and seller-initiated (-) flow',
                  xaxis_title='trade', yaxis_title='signed volume',
                  margin=dict(l=20, r=20, t=60, b=20))
fig.show()