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AbsoluteReturn

The absolute return of a pair's closes over lagcandles candles (the lag, default 1): close − close N candles ago, i.e. the price difference in the pair's quote currency.

  • Indicator: lib's Returns.AbsoluteReturn over the closes (as double), wrapped in WarmUp.
  • Warm-up: until N + 1 candles are seen there is no return. The changed event carries { "value": null }, and the same is saved, instead of an error.
  • Value: { "value": 1.25 } — a price difference in quote currency (USDT for a _USDT pair); 1.25 means the close rose by 1.25.
  • Not the relative return: RelativeReturn publishes (close − close N candles ago) / close N candles ago (a unitless fraction); LogReturn publishes ln(close / close N candles ago).
Property Value
Project Virtufin.Worker.AbsoluteReturn
Base class Virtufin.Indicator.DevKit.IndicatorWorkerBase
Engine application/x-dotnet-dll
Input candle events, e.g. act.exchange.binance.candle.closed.BTC_USDT.1m
Output sc.<scenarioid>.indicator.<indicatorname>.changed.<PAIR>
State sc.<scenarioid>.indicator.<indicatorname>.<PAIR>

Config (CreateWorker config)

Key Required Meaning
scenarioid yes The scenario the indicator belongs to (topic and state key)
indicatorname yes Topic and state-key segment, e.g. absolutereturn
lagcandles no Lag in candles: how many candles back to compare against. Default: 1.

Other events on the subscribed topics are skipped. One indicator is kept per pair; deploy one worker per interval and parameter set.