def __dollar_bars(data, units):
# Dollar metric
data['CumDollars'] = data['Transaction'].cumsum()
col_names = data.columns
# Set the relevant group for each row
data = cython_loops.set_row_groups(units, np.array(data))
data = pd.DataFrame(data, columns=col_names)
data = __extract_data(data)
return data
def __volume_bars(data, units):
# Volume metric
data['CumVol'] = data['Volume'].cumsum()
col_names = data.columns
# Set the relevant group for each row
data = cython_loops.set_row_groups(units, np.array(data))
data = pd.DataFrame(data, columns=col_names)
data = __extract_data(data)
# Todo: Add 1/50 of the daily traded volume
return data