Imbalance bars with sampling on volume and dollar bars

Algo Trading Business
1

Course Name: Data & Feature Engineering for Trading, Section No: 14, Unit No: 5, Unit type: Notebook



What changes do we need to make in the imbalance bar functions in order to sample for volume and dollar bars?

2

Hi Anthony,



Change the occurrences of 'prices' to 'volumes' or 'times' for obtaining imbalance results on volume or rime bars.



Hope this helps!