fintech-algorithms

Tick-Run Bars

Install and import

bash
npm install fintech-algorithms
ts
import { constructBars } from "fintech-algorithms/market-data-engineering/bar-construction/tick-run-bars";

Signature

constructBars(trades, config)

Closes a bar when a run of same-signed trades exceeds what the recent buy probability makes plausible. Where imbalance bars react to net one-sidedness, run bars react to *persistence*.

Parameters

NameTypeNotes
tradesTrade[]The raw tape in chronological order. Each trade carries tradeId, timestamp, session, symbol, price, volume and currency.
config{ initialTickSign: number; initialExpectedTicks: number; initialBuyProbability: number; alphaTicks: number; alphaBuyProbability: number; thresholdFloorTicks: number; thresholdMultiplier: number; closePartial?: boolean }initialBuyProbability seeds the estimate of how often trades arrive buyer-initiated, updated by alphaBuyProbability. The threshold is bounded below by thresholdFloorTicks.

Returns

Bar[] · length fewer

One bar per run event.

Errors

  • When any alpha or probability falls outside 0…1 — throws

Complexity: time O(n), space O(bars).

Worked example

executed Captured by running this function on the input its own test provides. Real output of real code — but not asserted against a published figure.

Input

trades
[
  {
    "tradeId": "T0001",
    "timestamp": "2026-01-05T14:30:00.000Z",
    "session": "2026-01-05",
    "symbol": "SYNTH",
    "price": 99.99,
    "volume": 36,
    "currency": "USD"
  },
  {
    "tradeId": "T0002",
    "timestamp": "2026-01-05T14:30:04.000Z",
    "session": "2026-01-05",
    "symbol": "SYNTH",
    "price": 99.99,
    "volume": 73,
    "currency": "USD"
  },
  {
    "tradeId": "T0003",
    "timestamp": "2026-01-05T14:30:07.000Z",
    "session": "2026-01-05",
    "symbol": "SYNTH",
    "price": 100,
    "volume": 110,
    "currency": "USD"
  }
]

Showing 3 of 240 elements.

config
{
  "closePartial": true,
  "initialTickSign": 1,
  "initialExpectedTicks": 20,
  "initialBuyProbability": 0.6,
  "alphaTicks": 0.2,
  "alphaBuyProbability": 0.2,
  "thresholdFloorTicks": 4,
  "thresholdMultiplier": 1
}

Call

constructBars(trades, config)

Returns

array of 14 objects

[
  {
    "barIndex": 0,
    "session": "2026-01-05",
    "startTime": "2026-01-05T14:30:00.000Z",
    "endTime": "2026-01-05T14:31:22.000Z",
    "lastTradeTime": "2026-01-05T14:31:22.000Z",
    "open": 99.99,
    "high": 100.09,
    "low": 99.98,
    "close": 100.09,
    "volume": 2406,
    "dollarValue": 240695.03,
    "tickCount": 21,
    "firstTradeId": "T0001",
    "lastTradeId": "T0021"
  },
  {
    "barIndex": 1,
    "session": "2026-01-05",
    "startTime": "2026-01-05T14:31:30.000Z",
    "endTime": "2026-01-05T14:33:10.000Z",
    "lastTradeTime": "2026-01-05T14:33:10.000Z",
    "open": 100.07,
    "high": 100.21,
    "low": 100.07,
    "close": 100.21,
    "volume": 3074,
    "dollarValue": 307851.32,
    "tickCount": 24,
    "firstTradeId": "T0022",
    "lastTradeId": "T0045"
  },
  {
    "barIndex": 2,
    "session": "2026-01-05",
    "startTime": "2026-01-05T14:33:18.000Z",
    "endTime": "2026-01-05T14:34:22.000Z",
    "lastTradeTime": "2026-01-05T14:34:22.000Z",
    "open": 100.23,
    "high": 100.41,
    "low": 100.22,
    "close": 100.41,
    "volume": 2306,
    "dollarValue": 231336.47,
    "tickCount": 16,
    "firstTradeId": "T0046",
    "lastTradeId": "T0061"
  }
]

Showing 3 of 14 elements.

Diagrams

Tick-Run Bars — article hero
Tick-Run Bars — boundary and state
Tick-Run Bars — construction anatomy

Calculation flow

Causal construction flow — Tick-Run Bars 
flowchart TD
    A["Receive cleaned chronological trade"] --> B{"New session?"}
    B -->|Yes| C["Emit or drop partial; reset price, sign, expectations, and bar state"]
    B -->|No| D["Keep session state"]
    C --> E["Assign tick sign; flat carries prior sign"]
    D --> E
    E --> F["Update OHLCV, N+, and N−"]
    F --> G{"max(N+, N−) >= frozen h?"}
    G -->|No| A
    G -->|Yes| H["Emit complete bar with lineage and diagnostics"]
    H --> I["Update E[T] and p+ from the completed bar"]
    I --> J["Freeze the next threshold"]
    J --> A

How it works

This page states the contract — how to call it correctly. The article explains the concept: why it works, and where it breaks.

Read the article →

References