147 lines
4.5 KiB
Python
147 lines
4.5 KiB
Python
"""Base classes."""
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from enum import Enum, auto
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import numpy as np
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import pandas as pd
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from .const import ChartType, TimeFrame
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__all__ = ('Indicator', 'Symbol', 'Quotes')
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# I actually can't think of a worse reason to override an array than
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# this:
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# - a method .new() that mutates the data from an input data frame
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# - mutating the time column wholesale based on a setting
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# - enforcing certain fields / columns
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# - zero overriding of any of the array interface for the purposes of
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# a different underlying implementation.
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# Literally all this can be done in a simple function with way less
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# confusion for the reader.
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class BaseQuotes(np.recarray):
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def __new__(cls, shape=None, dtype=None, order='C'):
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dt = np.dtype(
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[
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('id', int),
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('time', float),
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('open', float),
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('high', float),
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('low', float),
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('close', float),
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('volume', int),
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]
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)
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shape = shape or (1,)
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return np.ndarray.__new__(cls, shape, (np.record, dt), order=order)
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def _nan_to_closest_num(self):
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"""Return interpolated values instead of NaN."""
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for col in ['open', 'high', 'low', 'close']:
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mask = np.isnan(self[col])
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if not mask.size:
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continue
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self[col][mask] = np.interp(
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np.flatnonzero(mask), np.flatnonzero(~mask), self[col][~mask]
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)
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def _set_time_frame(self, default_tf):
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tf = {
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1: TimeFrame.M1,
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5: TimeFrame.M5,
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15: TimeFrame.M15,
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30: TimeFrame.M30,
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60: TimeFrame.H1,
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240: TimeFrame.H4,
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1440: TimeFrame.D1,
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}
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minutes = int(np.diff(self.time[-10:]).min() / 60)
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self.timeframe = tf.get(minutes) or tf[default_tf]
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# bruh this isn't creating anything it's copying data in
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# from a data frame...
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def new(self, data, source=None, default_tf=None):
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shape = (len(data),)
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self.resize(shape, refcheck=False)
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if isinstance(data, pd.DataFrame):
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data.reset_index(inplace=True)
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data.insert(0, 'id', data.index)
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data.Date = self.convert_dates(data.Date)
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data = data.rename(
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columns={
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'Date': 'time',
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'Open': 'open',
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'High': 'high',
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'Low': 'low',
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'Close': 'close',
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'Volume': 'volume',
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}
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)
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for name in self.dtype.names:
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self[name] = data[name]
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elif isinstance(data, (np.recarray, BaseQuotes)):
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self[:] = data[:]
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self._nan_to_closest_num()
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self._set_time_frame(default_tf)
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return self
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def convert_dates(self, dates):
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return np.array([d.timestamp().time for d in dates])
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class SymbolType(Enum):
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FOREX = auto()
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CFD = auto()
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FUTURES = auto()
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SHARES = auto()
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class Symbol:
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FOREX = SymbolType.FOREX
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CFD = SymbolType.CFD
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FUTURES = SymbolType.FUTURES
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SHARES = SymbolType.SHARES
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def __init__(self, ticker, mode, tick_size=0, tick_value=None):
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self.ticker = ticker
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self.mode = mode
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if self.mode in [self.FOREX, self.CFD]:
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# number of units of the commodity, currency
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# or financial asset in one lot
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self.contract_size = 100_000 # (100000 == 1 Lot)
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elif self.mode == self.FUTURES:
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# cost of a single price change point ($10) /
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# one minimum price movement
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self.tick_value = tick_value
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# minimum price change step (0.0001)
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self.tick_size = tick_size
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if isinstance(tick_size, float):
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self.digits = len(str(tick_size).split('.')[1])
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else:
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self.digits = 0
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def __repr__(self):
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return 'Symbol (%s | %s)' % (self.ticker, self.mode)
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class Indicator:
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def __init__(
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self, label=None, window=None, data=None, tp=None, base=None, **kwargs
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):
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self.label = label
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self.window = window
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self.data = data or [0]
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self.type = tp or ChartType.LINE
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self.base = base or {'linewidth': 0.5, 'color': 'black'}
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self.lineStyle = {'linestyle': '-', 'linewidth': 0.5, 'color': 'blue'}
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self.lineStyle.update(kwargs)
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# This creates a global array that seems to be shared between all
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# charting UI components
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Quotes = BaseQuotes()
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