AI4Finance-Foundation / FinRL-Meta

FinRL­-Meta: Dynamic datasets and market environments for FinRL.
https://ai4finance.org
MIT License
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[Suggestion] Tick bars, dollar bars, volume bars, and imbalance bars #159

Open cryptocoinserver opened 2 years ago

cryptocoinserver commented 2 years ago

"Traditional time-based candlesticks are an inefficient method to aggregate price data, especially under two situations: (a) highly volatile markets such as cryptocurrencies and (b) when using algorithmic or automatic trading."

This might be interesting features to test, as alternative to classical OHLCV data.

http://www.sefidian.com/2021/06/12/introduction-to-advanced-candlesticks-in-finance-tick-bars-dollar-bars-volume-bars-and-imbalance-bars/

https://davidzhao12.medium.com/advances-in-financial-machine-learning-for-dummies-part-1-7913aa7226f5