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Originally was going to introduce this as part of #260 but I think smaller patches in compact easy to understand PRs is a better approach for these things 😉
Lurkerz have expressed much interest in the following built-in volume related rate metrics for evaluating HFT activity:
$vlm rates over multiple time frames
unit vlm rates for the same (which we'll need to compute the above)
any rate calcs that brokers/data providers offer for comparison
Originally was going to introduce this as part of #260 but I think smaller patches in compact easy to understand PRs is a better approach for these things 😉
Lurkerz have expressed much interest in the following built-in volume related rate metrics for evaluating HFT activity:
ib
has the294
(trade count) and295
(volume / m) tick types: https://interactivebrokers.github.io/tws-api/tick_types.htmlThe text was updated successfully, but these errors were encountered: