fintech-algorithms

Bulk Volume Classification

Install and import

bash
npm install fintech-algorithms
ts
import { bulkVolumeClassification } from "fintech-algorithms/market-microstructure/trade-classification/bulk-volume-classification";

Signature

bulkVolumeClassification(data, config)

Assigns a *fraction* of each volume bar to buyers rather than signing individual trades. Designed for aggregated data where trade-level signing is impossible, and the input to VPIN.

Parameters

NameTypeNotes
dataClassificationInputTrades with prices, and where the rule needs them, the prevailing quotes.
configClassificationConfigTolerances and tie-breaking rules. Trades exactly at a quote or unchanged in price are the cases where classifiers differ, so the tie rule is part of the contract.

Returns

{ classifications, summary, diagnostics }

Per-trade sign with the rule that produced it, plus counts of the unclassifiable cases. Bulk volume classification disagrees with its siblings on exactly those, and hiding them would hide the disagreement.

Errors

  • When required quote data is absent for a rule that needs it — reported per trade rather than thrown

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

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

data
{
  "starting_price": 100,
  "bars": [
    {
      "id": "B001",
      "sequence": 1,
      "event_time_ms": 1000,
      "close": 100.05,
      "volume": 1000,
      "status": "valid"
    },
    {
      "id": "B002",
      "sequence": 2,
      "event_time_ms": 61000,
      "close": 100.05,
      "volume": 1125,
      "status": "valid"
    },
    {
      "id": "B003",
      "sequence": 3,
      "event_time_ms": 121000,
      "close": 100.025,
      "volume": 1250,
      "status": "valid"
    }
  ]
}
config
{
  "sigma": 0.05,
  "degrees_of_freedom": 1
}

Call

bulkVolumeClassification(data, config)

Returns

object with 17 fields: state, method, trace, total_valid, classified_count, unknown_count, buy_count, sell_count, …

{
  "state": "ok",
  "method": "bulk-volume-classification",
  "trace": [
    {
      "id": "B001",
      "sequence": 1,
      "event_time_ms": 1000,
      "price": 100.05,
      "volume": 1000,
      "sign": 1,
      "side": "buy-leaning",
      "reason": "student-t-volume-split",
      "price_change": 0.05,
      "z_score": 1,
      "buy_fraction": 0.75,
      "buy_volume": 750,
      "sell_volume": 250,
      "cumulative_signed_volume": 500
    },
    {
      "id": "B002",
      "sequence": 2,
      "event_time_ms": 61000,
      "price": 100.05,
      "volume": 1125,
      "sign": 0,
      "side": "balanced",
      "reason": "student-t-volume-split",
      "price_change": 0,
      "z_score": 0,
      "buy_fraction": 0.5,
      "buy_volume": 562.5,
      "sell_volume": 562.5,
      "cumulative_signed_volume": 500
    },
    {
      "id": "B003",
      "sequence": 3,
      "event_time_ms": 121000,
      "price": 100.025,
      "volume": 1250,
      "sign": -1,
      "side": "sell-leaning",
      "reason": "student-t-volume-split",
      "price_change": -0.025,
      "z_score": -0.5,
      "buy_fraction": 0.3524163823,
      "buy_volume": 440.520477937,
      "sell_volume": 809.479522063,
      "cumulative_signed_volume": 131.040955874
    }
  ],
  "total_valid": 60,
  "classified_count": 60,
  "unknown_count": 0,
  "buy_count": 24,
  "sell_count": 24,
  "buy_volume": 47435.5504890151,
  "sell_volume": 41439.4495109849,
  "unknown_volume": 0,
  "signed_volume": 5996.1009780303,
  "total_volume": 88875,
  "coverage": 1
}

Showing 14 of 17 fields.

Other exports

This module also exports tickTest, quoteTest, leeReady, studentTCdf, runTopic. Every module additionally exports run as an alias of its primary function, and a meta object carrying its catalog id, domain, family, shape and article URL.

Diagrams

Bulk Volume Classification — calculation map
Bulk Volume Classification — decision boundary
Bulk Volume Classification — failure boundary
Bulk Volume Classification — scenario matrix
Bulk Volume Classification — worked example

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