RollVolumeProfile

indicator period in seconds, when to apply alpha correction

timeFrame

step

multiplication coefficient must be between (0,1]

alpha

threshold volume when to delete bar

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Stanislav Kovalevsky

QuantTools

Enhanced Quantitative Trading Modelling

RollVolumeProfile function

<code>RollVolumeProfile( int timeFrame, double step, double alpha, double cut )</code>

Usage

<table><tr><td>
Name </td>
<td> Return Type </td>
<td> Description </td>
</tr><tr><td>
<code>Add( <a rd-options="" href="/link/Tick?package=QuantTools&version=0.5.7.1" data-mini-rdoc="QuantTools::Tick">Tick</a> tick )</code></td>
<td> <code>void</code> </td>
<td> update indicator </td>
</tr><tr><td>
<code>Reset()</code> </td>
<td> <code>void</code> </td>
<td> reset to initial state </td>
</tr><tr><td>
<code>IsFormed()</code> </td>
<td> <code>bool</code> </td>
<td> is indicator value valid? </td>
</tr><tr><td>
<code>GetValue()</code> </td>
<td> <code>std::map&lt;double,double&gt;</code></td>
<td> histogram where first is price and second is volume </td>
</tr></table>

Name	Return Type	Description
`Add( Tick tick )`	`void`	update indicator
`Reset()`	`void`	reset to initial state
`IsFormed()`	`bool`	is indicator value valid?
`GetValue()`	`std::map<double,double>`	histogram where first is price and second is volume

RollVolumeProfile: C++ Rolling Volume Profile class

Description

Arguments

Usage

Public Members and Methods

Details

See Also