3. Adding money flow field to data series / resampling
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Adding money flow field to data series / resampling

  • A

    I have tick data and would like to include the money flow information I can gather in resampled data, e.g. +/- for buy/sell side ticks and accumulate to a money flow total for the resample period.

    In order to do this I have done something very ugly and modified dataseries.py to += instead of = the openinterest in the bupdate method. This works but is not sustainable, and I may want to do similar things in the future.

    Is there a better way to get this behavior? I'm not clear on the implications of adding a new field.

    0
  • B
    administrators

    You can either add a filter Docs - Filters and manipulate the field in the way you want (record previous values and add them)

    You can create an Indicator and keep the money flow in it - Docs - Indicator Development

    Or you can extend any data feed with new fields with no implications: Docs - Extending a data feed

    Any of the 3 approaches is generic.

    0
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