Apama Capital Markets Foundation Documentation : Capital Markets Foundation : Finance Smart Blocks for Developing Scenarios : CMF financial analytic smart blocks : OBV Calculator v2.0
OBV Calculator v2.0
The OBV Calculator block calculates the On Balance Volume, which increases by the volume of a trade if the trade is at a higher price than the previous trade, and decreases by the volume of a trade if the trade is at a lower price than the previous trade. The OBV is calculated for a set of data up to a maximum age, or for all data if the period parameter is set to 0.
Description
To make this block available to your scenario, you must add the Analytic APIs bundle to your project.
Parameters
Parameter
Description
period
Period in seconds over which to accumulate volume, or 0 for no limit.
Operations
Operation
Description
start
Starts the calculation of OBV. Must be called before the calculator will generate any statistics.
stop
Stops the calculation of further OBV. Any subsequent input feeds are ignored.
clear
Clears the current data set.
Input feeds
Feed
Fields
Description
data
price
The price at which a trade occurred.
volume
The volume of the trade.
Output feeds
Feed
Fields
Description
obv
value
The on balance volume.
Note that the on balance volume is only generated after the second trade input.
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