alternative aggregation/representation of tick_data - Githubissues

drew2323 / v2trading

V2Trading platform - live trading engine, backtesting and research tool.

https://trading.mujdenik.eu

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alternative aggregation/representation of tick_data #210

Open drew2323 opened 3 months ago

drew2323 commented 3 months ago

For various high-frequency strategies, the aggregator will provide raw output data with configurable basic filtering and aggregation options.

Example of outputs:

footprint chart (price vs volume binning reset after certain time, etc.)

Examples of configurable options include:

Triggering only when the price changes (True/False)
Setting a minimum trade size
Defining a minimum time offset between trades to treat trades occurring in quick succession as a single event

Support on GUI.

Scope

aggregator for v2trading platform (live/backtest)
vectorized aggregator for research