volumeBar

Syntax

volumeBar(X, interval, [label='seq'])

Details

This function sequentially accumulates the elements in X, and then groups them based on the specified threshold. Once a group is determined, the accumulation starts from the next element and data grouping is performed in the same logic. It returns a vector of the same size as X containing the corresponding group number for each element.

Elements are divided into groups based on the threshold specified by interval.

• If interval is positive, elements are labeled into groups when the cumulative sum is no smaller than the threshold;

  • If interval is in (0, 1), the threshold is sum(X) * interval. Note that the threshold is converted to the same data type as X for comparison. For example, if X is an integer, then the threshold will be set at floor(sum(X) * interval).

  • Otherwise, the threshold takes the value of interval.

• If interval is negative, the threshold takes the value of interval. Elements are labeled into groups when the cumulative sum is no greater than the threshold.

Parameters

X is a numeric vector.

interval is a non-zero number that represents a constant value or percentage that determines the threshold for data grouping.

label (optional) is a string used to label the groups. It can be:

• 'seq'(default): label the groups with a sequence of 0, 1, 2, 3...

• 'left': label each group with the sum of all elements before the first element in the group. The first group is labeled with 0.

• 'right': label each group with the sum of all elements up to and including the last element in the group.

Returns

A LONG/INT vector.

Examples

X =  1 3 4 2 2 1 1 1 1 6 8
volumeBar(X, 4)
// output: [0,0,1,2,2,3,3,3,3,4,5]

volumeBar(X, 4, 'left')
// output: [0,0,4,8,8,12,12,12,12,16,22]

volumeBar(X, 4, 'right')
// output: [4,4,8,12,12,16,16,16,16,22,30]

volumeBar(X, 0.3)
// output: [0,0,0,0,1,1,1,1,1,1,2]

X = -6 2 -4 -5 -1 3 -2 -1
volumeBar(X, -2)
// output: [0,1,1,2,3,3,3,3]
 
volumeBar(X, -2, 'left')
// output: [0,-6,-6,-8,-13,-13,-13,-13]

volumeBar(X, -2, 'right')
// output: [-6,-8,-8,-13,-14,-14,-14,-14]

time = [09:30:00, 09:32:15, 09:35:00, 09:37:30, 09:40:00, 09:45:00, 09:47:30, 09:50:00, 09:55:00, 10:00:00]
price = [100.0, 100.1, 100.05, 99.9, 100.2, 100.15, 100.1, 100.05, 100.0, 99.95]
volume = [200, 800, 250, 300, 1200, 250, 180, 400, 600, 350]
t = table(time, price, volume)

select 
    first(time) as barStartTime,
    first(price) as open,
    max(price) as high,
    min(price) as low,
    last(price) as close,
    sum(volume) as totalVolume
from t 
group by volumeBar(tradeVolume, 1500) as volumeBarNo