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Lee-Ready method updated - trades_buy_count and trades_sell_count added

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This commit is contained in:
David Brazda
2024-11-19 10:24:31 +01:00
parent 169f07563e
commit 25b5a53774
2 changed files with 63 additions and 10 deletions
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2
setup.py
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@ -2,7 +2,7 @@ from setuptools import setup, find_packages
setup( setup(
name='ttools', name='ttools',
version='0.7.4', version='0.7.5',
packages=find_packages(), packages=find_packages(),
install_requires=[ install_requires=[
# list your dependencies here # list your dependencies here

71
ttools/aggregator_vectorized.py
View File

@ -50,11 +50,11 @@ def aggregate_trades_optimized(symbol: str, trades_df: pd.DataFrame, resolution:
case AggType.OHLCV: case AggType.OHLCV:
ohlcv_bars = generate_time_bars_nb(ticks, resolution) ohlcv_bars = generate_time_bars_nb(ticks, resolution)
columns = ['time', 'open', 'high', 'low', 'close', 'volume', 'trades', columns = ['time', 'open', 'high', 'low', 'close', 'volume', 'trades',
'updated', 'vwap', 'buyvolume', 'sellvolume'] 'updated', 'vwap', 'buyvolume', 'sellvolume', 'buytrades', 'selltrades']
case AggType.OHLCV_VOL: case AggType.OHLCV_VOL:
ohlcv_bars = generate_volume_bars_nb(ticks, resolution) ohlcv_bars = generate_volume_bars_nb(ticks, resolution)
columns = ['time', 'open', 'high', 'low', 'close', 'volume', 'trades', columns = ['time', 'open', 'high', 'low', 'close', 'volume', 'trades',
'updated', 'buyvolume', 'sellvolume'] 'updated', 'buyvolume', 'sellvolume', 'buytrades', 'selltrades']
case AggType.OHLCV_DOL: case AggType.OHLCV_DOL:
ohlcv_bars = generate_dollar_bars_nb(ticks, resolution) ohlcv_bars = generate_dollar_bars_nb(ticks, resolution)
columns = ['time', 'open', 'high', 'low', 'close', 'volume', 'trades', columns = ['time', 'open', 'high', 'low', 'close', 'volume', 'trades',
@ -116,9 +116,13 @@ def aggregate_trades(symbol: str, trades_df: pd.DataFrame, resolution: int, type
columns.append('vwap') columns.append('vwap')
columns.append('buyvolume') columns.append('buyvolume')
columns.append('sellvolume') columns.append('sellvolume')
columns.append('buytrades')
columns.append('selltrades')
if type == AggType.OHLCV_VOL: if type == AggType.OHLCV_VOL:
columns.append('buyvolume') columns.append('buyvolume')
columns.append('sellvolume') columns.append('sellvolume')
columns.append('buytrades')
columns.append('selltrades')
ohlcv_df = pd.DataFrame(ohlcv_bars, columns=columns) ohlcv_df = pd.DataFrame(ohlcv_bars, columns=columns)
ohlcv_df['time'] = pd.to_datetime(ohlcv_df['time'], unit='s').dt.tz_localize('UTC').dt.tz_convert(zoneNY) ohlcv_df['time'] = pd.to_datetime(ohlcv_df['time'], unit='s').dt.tz_localize('UTC').dt.tz_convert(zoneNY)
#print(ohlcv_df['updated']) #print(ohlcv_df['updated'])
@ -246,12 +250,14 @@ def generate_volume_bars_nb(ticks, volume_per_bar):
close_price = ticks[0, 1] close_price = ticks[0, 1]
volume = 0 volume = 0
trades_count = 0 trades_count = 0
trades_buy_count = 0
trades_sell_count = 0
current_day = np.floor(ticks[0, 0] / 86400) # Calculate the initial day from the first tick timestamp current_day = np.floor(ticks[0, 0] / 86400) # Calculate the initial day from the first tick timestamp
bar_time = ticks[0, 0] # Initialize bar time with the time of the first tick bar_time = ticks[0, 0] # Initialize bar time with the time of the first tick
buy_volume = 0 # Volume of buy trades buy_volume = 0 # Volume of buy trades
sell_volume = 0 # Volume of sell trades sell_volume = 0 # Volume of sell trades
prev_price = ticks[0, 1] # Initialize previous price for the first tick prev_price = ticks[0, 1] # Initialize previous price for the first tick
last_tick_up = None
for tick in ticks: for tick in ticks:
tick_time = tick[0] tick_time = tick[0]
price = tick[1] price = tick[1]
@ -261,7 +267,7 @@ def generate_volume_bars_nb(ticks, volume_per_bar):
# Check if the new tick is from a different day, then close the current bar # Check if the new tick is from a different day, then close the current bar
if tick_day != current_day: if tick_day != current_day:
if trades_count > 0: if trades_count > 0:
ohlcv_bars.append([bar_time, open_price, high_price, low_price, close_price, volume, trades_count, tick_time, buy_volume, sell_volume]) ohlcv_bars.append([bar_time, open_price, high_price, low_price, close_price, volume, trades_count, tick_time, buy_volume, sell_volume, trades_buy_count, trades_sell_count])
# Reset for the new day using the current tick data # Reset for the new day using the current tick data
open_price = price open_price = price
high_price = price high_price = price
@ -269,6 +275,8 @@ def generate_volume_bars_nb(ticks, volume_per_bar):
close_price = price close_price = price
volume = 0 volume = 0
trades_count = 0 trades_count = 0
trades_buy_count = 0
trades_sell_count = 0
remaining_volume = volume_per_bar remaining_volume = volume_per_bar
current_day = tick_day current_day = tick_day
bar_time = tick_time # Update bar time to the current tick time bar_time = tick_time # Update bar time to the current tick time
@ -291,8 +299,21 @@ def generate_volume_bars_nb(ticks, volume_per_bar):
# Update buy and sell volumes # Update buy and sell volumes
if price > prev_price: if price > prev_price:
buy_volume += tick_volume buy_volume += tick_volume
trades_buy_count += 1
last_tick_up = True
elif price < prev_price: elif price < prev_price:
sell_volume += tick_volume sell_volume += tick_volume
trades_sell_count += 1
last_tick_up = False
else: #same price, use last direction
if last_tick_up is None:
pass
elif last_tick_up:
buy_volume += tick_volume
trades_buy_count += 1
else:
sell_volume += tick_volume
trades_sell_count += 1
tick_volume = 0 tick_volume = 0
else: else:
@ -305,11 +326,24 @@ def generate_volume_bars_nb(ticks, volume_per_bar):
# Update buy and sell volumes # Update buy and sell volumes
if price > prev_price: if price > prev_price:
buy_volume += volume_to_add buy_volume += volume_to_add
trades_buy_count += 1
last_tick_up = True
elif price < prev_price: elif price < prev_price:
sell_volume += volume_to_add sell_volume += volume_to_add
trades_sell_count += 1
last_tick_up = False
else: #same price, use last direction
if last_tick_up is None:
pass
elif last_tick_up:
buy_volume += volume_to_add
trades_buy_count += 1
else:
sell_volume += volume_to_add
trades_sell_count += 1
# Append the completed bar to the list # Append the completed bar to the list
ohlcv_bars.append([bar_time, open_price, high_price, low_price, close_price, volume, trades_count, tick_time, buy_volume, sell_volume]) ohlcv_bars.append([bar_time, open_price, high_price, low_price, close_price, volume, trades_count, tick_time, buy_volume, sell_volume, trades_buy_count, trades_sell_count])
# Reset bar values for the new bar using the current tick data # Reset bar values for the new bar using the current tick data
open_price = price open_price = price
@ -318,6 +352,8 @@ def generate_volume_bars_nb(ticks, volume_per_bar):
close_price = price close_price = price
volume = 0 volume = 0
trades_count = 0 trades_count = 0
trades_buy_count = 0
trades_sell_count = 0
remaining_volume = volume_per_bar remaining_volume = volume_per_bar
buy_volume = 0 buy_volume = 0
sell_volume = 0 sell_volume = 0
@ -335,7 +371,7 @@ def generate_volume_bars_nb(ticks, volume_per_bar):
# Add the last bar if it contains any trades # Add the last bar if it contains any trades
if trades_count > 0: if trades_count > 0:
ohlcv_bars.append([bar_time, open_price, high_price, low_price, close_price, volume, trades_count, tick_time, buy_volume, sell_volume]) ohlcv_bars.append([bar_time, open_price, high_price, low_price, close_price, volume, trades_count, tick_time, buy_volume, sell_volume, trades_buy_count, trades_sell_count])
return np.array(ohlcv_bars) return np.array(ohlcv_bars)
@ -359,13 +395,15 @@ def generate_time_bars_nb(ticks, resolution):
close_price = 0 close_price = 0
volume = 0 volume = 0
trades_count = 0 trades_count = 0
trades_buy_count = 0
trades_sell_count = 0
vwap_cum_volume_price = 0 # Cumulative volume * price vwap_cum_volume_price = 0 # Cumulative volume * price
cum_volume = 0 # Cumulative volume for VWAP cum_volume = 0 # Cumulative volume for VWAP
buy_volume = 0 # Volume of buy trades buy_volume = 0 # Volume of buy trades
sell_volume = 0 # Volume of sell trades sell_volume = 0 # Volume of sell trades
prev_price = ticks[0, 1] # Initialize previous price for the first tick prev_price = ticks[0, 1] # Initialize previous price for the first tick
prev_day = np.floor(ticks[0, 0] / 86400) # Calculate the initial day from the first tick timestamp prev_day = np.floor(ticks[0, 0] / 86400) # Calculate the initial day from the first tick timestamp
last_tick_up = None
for tick in ticks: for tick in ticks:
curr_time = tick[0] #updated time curr_time = tick[0] #updated time
tick_time = np.floor(tick[0] / resolution) * resolution tick_time = np.floor(tick[0] / resolution) * resolution
@ -382,7 +420,7 @@ def generate_time_bars_nb(ticks, resolution):
if tick_time != start_time + current_bar_index * resolution: if tick_time != start_time + current_bar_index * resolution:
if current_bar_index >= 0 and trades_count > 0: # Save the previous bar if trades happened if current_bar_index >= 0 and trades_count > 0: # Save the previous bar if trades happened
vwap = vwap_cum_volume_price / cum_volume if cum_volume > 0 else 0 vwap = vwap_cum_volume_price / cum_volume if cum_volume > 0 else 0
ohlcv_bars.append([start_time + current_bar_index * resolution, open_price, high_price, low_price, close_price, volume, trades_count, curr_time, vwap, buy_volume, sell_volume]) ohlcv_bars.append([start_time + current_bar_index * resolution, open_price, high_price, low_price, close_price, volume, trades_count, curr_time, vwap, buy_volume, sell_volume, trades_buy_count, trades_sell_count])
# Reset bar values # Reset bar values
current_bar_index = int((tick_time - start_time) / resolution) current_bar_index = int((tick_time - start_time) / resolution)
@ -391,6 +429,8 @@ def generate_time_bars_nb(ticks, resolution):
low_price = price low_price = price
volume = 0 volume = 0
trades_count = 0 trades_count = 0
trades_buy_count = 0
trades_sell_count = 0
vwap_cum_volume_price = 0 vwap_cum_volume_price = 0
cum_volume = 0 cum_volume = 0
buy_volume = 0 buy_volume = 0
@ -408,15 +448,28 @@ def generate_time_bars_nb(ticks, resolution):
# Update buy and sell volumes # Update buy and sell volumes
if price > prev_price: if price > prev_price:
buy_volume += tick_volume buy_volume += tick_volume
trades_buy_count += 1
last_tick_up = True
elif price < prev_price: elif price < prev_price:
sell_volume += tick_volume sell_volume += tick_volume
trades_sell_count += 1
last_tick_up = False
else: #same price, use last direction
if last_tick_up is None:
pass
elif last_tick_up:
buy_volume += tick_volume
trades_buy_count += 1
else:
sell_volume += tick_volume
trades_sell_count += 1
prev_price = price prev_price = price
# Save the last processed bar # Save the last processed bar
if trades_count > 0: if trades_count > 0:
vwap = vwap_cum_volume_price / cum_volume if cum_volume > 0 else 0 vwap = vwap_cum_volume_price / cum_volume if cum_volume > 0 else 0
ohlcv_bars.append([start_time + current_bar_index * resolution, open_price, high_price, low_price, close_price, volume, trades_count, curr_time, vwap, buy_volume, sell_volume]) ohlcv_bars.append([start_time + current_bar_index * resolution, open_price, high_price, low_price, close_price, volume, trades_count, curr_time, vwap, buy_volume, sell_volume, trades_buy_count, trades_sell_count])
return np.array(ohlcv_bars) return np.array(ohlcv_bars)