TickRuleSign

Description

TickRuleSign classifies each trade as buyer-initiated (+1) or seller-initiated (-1) by the tick rule: a trade above the previous price is a buy, below is a sell, and an unchanged price carries the previous sign. It is the simplest trade-sign classifier and needs only the price series. References: the tick rule, and Lee, Ready (1991), "Inferring Trade Direction from Intraday Data".

The output stays NaN until the first price change: the initial bar is always NaN (no prior price), and if subsequent prices are all unchanged there is no directional tick yet and no sign to carry forward.

Examples

Usage plot

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

rng = np.random.default_rng(0)
price = 100 + np.cumsum(rng.standard_normal(200) * 0.05)
sign = TickRuleSign()(price)

fig = make_subplots(rows=2, cols=1, shared_xaxes=True, row_heights=[0.7, 0.3],
                    vertical_spacing=0.08)
fig.add_trace(go.Scatter(y=price, mode='lines', name='price',
                         line=dict(color='steelblue')), row=1, col=1)
fig.add_trace(go.Scatter(y=sign, mode='lines', line_shape='hv', name='tick sign',
                         line=dict(color='crimson')), row=2, col=1)
fig.update_layout(title='TickRuleSign: +1 on an up-tick, -1 on a down-tick',
                  yaxis=dict(title='price'), yaxis2=dict(title='sign', dtick=1),
                  margin=dict(l=20, r=20, t=60, b=20), legend=dict(orientation='h', yanchor='bottom', y=1.02, xanchor='right', x=1))
fig.show()