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Use `numpy.divide()` to avoid divide-by-zero

tina_free_vwap
Tyler Goodlet 2020-12-01 17:14:28 -05:00
parent 599429e54b
commit 36445363a0
1 changed files with 14 additions and 2 deletions
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16
piker/fsp/_volume.py
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@ -30,7 +30,20 @@ def wap(
""" """
cum_weights = np.cumsum(weights) cum_weights = np.cumsum(weights)
cum_weighted_input = np.cumsum(signal * weights) cum_weighted_input = np.cumsum(signal * weights)
return cum_weighted_input / cum_weights, cum_weighted_input, cum_weights
# cum_weighted_input / cum_weights
# but, avoid divide by zero errors
avg = np.divide(
cum_weighted_input,
cum_weights,
where=cum_weights != 0
)
return (
avg,
cum_weighted_input,
cum_weights,
)
async def _tina_vwap( async def _tina_vwap(
@ -40,7 +53,6 @@ async def _tina_vwap(
) -> AsyncIterator[np.ndarray]: # maybe something like like FspStream? ) -> AsyncIterator[np.ndarray]: # maybe something like like FspStream?
"""Streaming volume weighted moving average. """Streaming volume weighted moving average.
Calling this "tina" for now since we're using HLC3 instead of tick. Calling this "tina" for now since we're using HLC3 instead of tick.
""" """