Volumes in indexes. Trading from index.

This article mainly concerns the procedure for selecting securities for an index. Because, having an auto-assembled index and having read in this series of articles about how fun it is, many will not bother with volumes at all, including everything in the index indiscriminately, mindlessly pressing buttons...

Therefore:

1. It makes no sense to add securities without volumes to the index. Because they do not represent any "average" market. They are not traded, so such a candidate for the index is not included and will spoil it.

2. If there are no volumes for a security, there may be gaps in the candles. This guarantees you problems with generating the index, because it is as dense as its most sparse participant.

3. If a security has no volumes, it lacks liquidity, and trading it will not be possible. This applies to one-legged arbitrages that trade the index components.

1. The index is as dense as its most sparse participant.

And even worse. There will not be enough candles for all instruments in the raw data:

As a result, trying to get an index from sparse candle data inside OsEngine will give you a very sparse result that you cannot rely on.

You can of course accumulate candles by collecting them from order book centers, as the exchange does, but 99.99% of users will not wait for several years to accumulate a sufficient number of such dense candles. Therefore, we use what we have.

And we discard from the original data sets series of candles without volumes and gaps.

2. No volumes - no representation.

And here we are returning to the essence of building indexes.

Because a consolidated index geographically or sectorally should show us the dynamics of market movement.

And even if the candles for a security are dense, but a disappearingly small volume passes through it, such a security should not be included in the index. Few people look at it. Few people analyze it. This security will not show us the dynamics.

If you have any difficulties or questions, please write to the support chat. Link

OsEngine: https://github.com/AlexWan/OsEngine