Building Time Bars and Rolling Technical Indicators from Market Data
Summary
The document explains utilities for turning incoming trades into one-minute OHLCV bars and combining minute bars into larger time windows. It tracks price extremes, closing price, volume changes, and open interest, then sends completed bars through callbacks. It also provides a rolling bar history that exposes open, high, low, close, and volume series for indicator calculations.
The indicator methods cover moving averages, standard deviation, CCI, ATR, RSI, MACD, ADX, Bollinger-style bands, Keltner-style bands, Donchian ranges, and Aroon values. Callers can request either the latest result or the full calculated series. The material describes implementation mechanics rather than a trading signal, tested strategy, or performance evidence. Its bar construction has practical limits: minute grouping compares the minute component, and larger-window completion depends on incoming bars and interval settings. Users should validate timestamps, session boundaries, missing data, and indicator warm-up behavior for their own market data before relying on the outputs.
Key ideas
- Tick updates can be consolidated into minute bars containing price and activity fields.
- Minute bars can be aggregated into configured minute or hour windows and emitted through callbacks.
- A fixed-size rolling history supplies recent OHLCV series for indicator calculations.
- Indicator methods return either the latest value or a time series, depending on the requested output.
- The utilities describe data handling and calculations but provide no evidence of trading profitability.
Tags
From a private course collection; the original is not published.