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

vwap_fsp
Tyler Goodlet 2020-12-01 17:14:28 -05:00
parent 7c7b31ebbe
commit e89d3f9560
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.
""" """