update

.gitignore

@@ -25,6 +25,7 @@ share/python-wheels/
 .installed.cfg
 *.egg
 MANIFEST
+.vscode
 
 # PyInstaller
 #  Usually these files are written by a python script from a template

setup.py

@@ -2,7 +2,7 @@ from setuptools import setup, find_packages
 
 setup(
     name='ttools',
-    version='0.2.8',
+    version='0.2.9',
     packages=find_packages(),
     install_requires=[
         'vectorbtpro',

tests/cuvwap.ipynb

@@ -0,0 +1,76 @@
+{
+ "cells": [
+  {
+   "cell_type": "code",
+   "execution_count": 4,
+   "metadata": {},
+   "outputs": [
+    {
+     "name": "stdout",
+     "output_type": "stream",
+     "text": [
+      "The autoreload extension is already loaded. To reload it, use:\n",
+      "  %reload_ext autoreload\n"
+     ]
+    },
+    {
+     "ename": "ModuleNotFoundError",
+     "evalue": "No module named 'indicators'",
+     "output_type": "error",
+     "traceback": [
+      "\u001b[0;31m---------------------------------------------------------------------------\u001b[0m",
+      "\u001b[0;31mModuleNotFoundError\u001b[0m                       Traceback (most recent call last)",
+      "Cell \u001b[0;32mIn[4], line 5\u001b[0m\n\u001b[1;32m      3\u001b[0m \u001b[38;5;28;01mimport\u001b[39;00m \u001b[38;5;21;01mvectorbtpro\u001b[39;00m \u001b[38;5;28;01mas\u001b[39;00m \u001b[38;5;21;01mvbt\u001b[39;00m\n\u001b[1;32m      4\u001b[0m \u001b[38;5;28;01mfrom\u001b[39;00m \u001b[38;5;21;01mttools\u001b[39;00m\u001b[38;5;21;01m.\u001b[39;00m\u001b[38;5;21;01mvbtindicators\u001b[39;00m \u001b[38;5;28;01mimport\u001b[39;00m register_custom_inds\n\u001b[0;32m----> 5\u001b[0m \u001b[43mregister_custom_inds\u001b[49m\u001b[43m(\u001b[49m\u001b[38;5;28;43;01mNone\u001b[39;49;00m\u001b[43m,\u001b[49m\u001b[43m \u001b[49m\u001b[38;5;124;43m\"\u001b[39;49m\u001b[38;5;124;43moverride\u001b[39;49m\u001b[38;5;124;43m\"\u001b[39;49m\u001b[43m)\u001b[49m\n\u001b[1;32m      6\u001b[0m \u001b[38;5;66;03m#chopiness = vbt.indicator(\"technical:CHOPINESS\").run(s12_data.open, s12_data.high, s12_data.low, s12_data.close, s12_data.volume, window = 100)\u001b[39;00m\n\u001b[1;32m      7\u001b[0m \u001b[38;5;66;03m#vwap_cum_roll = vbt.indicator(\"technical:ROLLING_VWAP\").run(s12_data.open, s12_data.high, s12_data.low, s12_data.close, s12_data.volume, window = 100, min_periods = 5)\u001b[39;00m\n\u001b[1;32m      8\u001b[0m \u001b[38;5;66;03m#vwap_cum_d = vbt.indicator(\"ttools:CUVWAP\").run(s12_data.high, s12_data.low, s12_data.close, s12_data.volume, anchor=\"D\", drag=50)\u001b[39;00m\n\u001b[1;32m      9\u001b[0m \u001b[38;5;66;03m#vwap_lin_angle = vbt.indicator(\"talib:LINEARREG_ANGLE\").run(vwap_cum_d.vwap, timeperiod=2)\u001b[39;00m\n\u001b[1;32m     11\u001b[0m vbt\u001b[38;5;241m.\u001b[39mIF\u001b[38;5;241m.\u001b[39mlist_indicators(\u001b[38;5;124m\"\u001b[39m\u001b[38;5;124mttools\u001b[39m\u001b[38;5;124m\"\u001b[39m)\n",
+      "File \u001b[0;32m~/Documents/Development/python/ttools/ttools/vbtindicators.py:28\u001b[0m, in \u001b[0;36mregister_custom_inds\u001b[0;34m(indicator_name, if_exists)\u001b[0m\n\u001b[1;32m     26\u001b[0m \u001b[38;5;28;01mif\u001b[39;00m file_name\u001b[38;5;241m.\u001b[39mendswith(\u001b[38;5;124m\"\u001b[39m\u001b[38;5;124m.py\u001b[39m\u001b[38;5;124m\"\u001b[39m) \u001b[38;5;129;01mand\u001b[39;00m \u001b[38;5;129;01mnot\u001b[39;00m file_name\u001b[38;5;241m.\u001b[39mstartswith(\u001b[38;5;124m\"\u001b[39m\u001b[38;5;124m_\u001b[39m\u001b[38;5;124m\"\u001b[39m):\n\u001b[1;32m     27\u001b[0m     module_name \u001b[38;5;241m=\u001b[39m file_name[:\u001b[38;5;241m-\u001b[39m\u001b[38;5;241m3\u001b[39m]\n\u001b[0;32m---> 28\u001b[0m     module \u001b[38;5;241m=\u001b[39m \u001b[43mimportlib\u001b[49m\u001b[38;5;241;43m.\u001b[39;49m\u001b[43mimport_module\u001b[49m\u001b[43m(\u001b[49m\u001b[38;5;124;43mf\u001b[39;49m\u001b[38;5;124;43m\"\u001b[39;49m\u001b[38;5;124;43mindicators.\u001b[39;49m\u001b[38;5;132;43;01m{\u001b[39;49;00m\u001b[43mfile_name\u001b[49m\u001b[43m[\u001b[49m\u001b[43m:\u001b[49m\u001b[38;5;241;43m-\u001b[39;49m\u001b[38;5;241;43m3\u001b[39;49m\u001b[43m]\u001b[49m\u001b[38;5;132;43;01m}\u001b[39;49;00m\u001b[38;5;124;43m\"\u001b[39;49m\u001b[43m)\u001b[49m\n\u001b[1;32m     29\u001b[0m     \u001b[38;5;28;01mfor\u001b[39;00m var_name, var_value \u001b[38;5;129;01min\u001b[39;00m \u001b[38;5;28mvars\u001b[39m(module)\u001b[38;5;241m.\u001b[39mitems():\n\u001b[1;32m     30\u001b[0m         \u001b[38;5;28;01mif\u001b[39;00m var_name\u001b[38;5;241m.\u001b[39mstartswith(\u001b[38;5;124m\"\u001b[39m\u001b[38;5;124mIND_\u001b[39m\u001b[38;5;124m\"\u001b[39m) \u001b[38;5;129;01mand\u001b[39;00m \u001b[38;5;28misinstance\u001b[39m(var_value, vbt\u001b[38;5;241m.\u001b[39mIndicatorFactory):\n",
+      "File \u001b[0;32m/Library/Frameworks/Python.framework/Versions/3.10/lib/python3.10/importlib/__init__.py:126\u001b[0m, in \u001b[0;36mimport_module\u001b[0;34m(name, package)\u001b[0m\n\u001b[1;32m    124\u001b[0m             \u001b[38;5;28;01mbreak\u001b[39;00m\n\u001b[1;32m    125\u001b[0m         level \u001b[38;5;241m+\u001b[39m\u001b[38;5;241m=\u001b[39m \u001b[38;5;241m1\u001b[39m\n\u001b[0;32m--> 126\u001b[0m \u001b[38;5;28;01mreturn\u001b[39;00m \u001b[43m_bootstrap\u001b[49m\u001b[38;5;241;43m.\u001b[39;49m\u001b[43m_gcd_import\u001b[49m\u001b[43m(\u001b[49m\u001b[43mname\u001b[49m\u001b[43m[\u001b[49m\u001b[43mlevel\u001b[49m\u001b[43m:\u001b[49m\u001b[43m]\u001b[49m\u001b[43m,\u001b[49m\u001b[43m \u001b[49m\u001b[43mpackage\u001b[49m\u001b[43m,\u001b[49m\u001b[43m \u001b[49m\u001b[43mlevel\u001b[49m\u001b[43m)\u001b[49m\n",
+      "File \u001b[0;32m<frozen importlib._bootstrap>:1050\u001b[0m, in \u001b[0;36m_gcd_import\u001b[0;34m(name, package, level)\u001b[0m\n",
+      "File \u001b[0;32m<frozen importlib._bootstrap>:1027\u001b[0m, in \u001b[0;36m_find_and_load\u001b[0;34m(name, import_)\u001b[0m\n",
+      "File \u001b[0;32m<frozen importlib._bootstrap>:992\u001b[0m, in \u001b[0;36m_find_and_load_unlocked\u001b[0;34m(name, import_)\u001b[0m\n",
+      "File \u001b[0;32m<frozen importlib._bootstrap>:241\u001b[0m, in \u001b[0;36m_call_with_frames_removed\u001b[0;34m(f, *args, **kwds)\u001b[0m\n",
+      "File \u001b[0;32m<frozen importlib._bootstrap>:1050\u001b[0m, in \u001b[0;36m_gcd_import\u001b[0;34m(name, package, level)\u001b[0m\n",
+      "File \u001b[0;32m<frozen importlib._bootstrap>:1027\u001b[0m, in \u001b[0;36m_find_and_load\u001b[0;34m(name, import_)\u001b[0m\n",
+      "File \u001b[0;32m<frozen importlib._bootstrap>:1004\u001b[0m, in \u001b[0;36m_find_and_load_unlocked\u001b[0;34m(name, import_)\u001b[0m\n",
+      "\u001b[0;31mModuleNotFoundError\u001b[0m: No module named 'indicators'"
+     ]
+    }
+   ],
+   "source": [
+    "%load_ext autoreload\n",
+    "%autoreload 2\n",
+    "import vectorbtpro as vbt\n",
+    "from ttools.vbtindicators import register_custom_inds\n",
+    "from ttools.indicators import CUVWAP\n",
+    "\n",
+    "\n",
+    "register_custom_inds(None, \"override\")\n",
+    "#chopiness = vbt.indicator(\"technical:CHOPINESS\").run(s12_data.open, s12_data.high, s12_data.low, s12_data.close, s12_data.volume, window = 100)\n",
+    "#vwap_cum_roll = vbt.indicator(\"technical:ROLLING_VWAP\").run(s12_data.open, s12_data.high, s12_data.low, s12_data.close, s12_data.volume, window = 100, min_periods = 5)\n",
+    "#vwap_cum_d = vbt.indicator(\"ttools:CUVWAP\").run(s12_data.high, s12_data.low, s12_data.close, s12_data.volume, anchor=\"D\", drag=50)\n",
+    "#vwap_lin_angle = vbt.indicator(\"talib:LINEARREG_ANGLE\").run(vwap_cum_d.vwap, timeperiod=2)\n",
+    "\n",
+    "vbt.IF.list_indicators(\"ttools\")\n"
+   ]
+  }
+ ],
+ "metadata": {
+  "kernelspec": {
+   "display_name": ".venv",
+   "language": "python",
+   "name": "python3"
+  },
+  "language_info": {
+   "codemirror_mode": {
+    "name": "ipython",
+    "version": 3
+   },
+   "file_extension": ".py",
+   "mimetype": "text/x-python",
+   "name": "python",
+   "nbconvert_exporter": "python",
+   "pygments_lexer": "ipython3",
+   "version": "3.10.11"
+  }
+ },
+ "nbformat": 4,
+ "nbformat_minor": 2
+}

ttools/indicators/CUVWAP.py

@@ -0,0 +1,68 @@
+import numpy as np
+from numba import jit
+import vectorbtpro as vbt
+from vectorbtpro import _typing as tp
+from vectorbtpro.base.wrapping import ArrayWrapper
+from vectorbtpro.utils.template import RepFunc
+
+"""
+Contains custom indicators for vectorbtpro.
+
+import and run register_custom_inds() to register all custom indicators.
+
+They are available under `vbt.IF.list_indicators("ttols")`
+"""
+
+def substitute_anchor(wrapper: ArrayWrapper, anchor: tp.Optional[tp.FrequencyLike]) -> tp.Array1d:
+    """Substitute reset frequency by group lens. It is array of number of elements of each group."""
+    if anchor is None:
+        return np.array([wrapper.shape[0]])
+    return wrapper.get_index_grouper(anchor).get_group_lens()
+
+@jit(nopython=True)
+def vwap_cum(high, low, close, volume, group_lens, drag):
+    #anchor based grouping - prepare group indexes
+    group_end_idxs = np.cumsum(group_lens)
+    group_start_idxs = group_end_idxs - group_lens
+
+    #prepare output
+    out = np.full(volume.shape, np.nan, dtype=np.float_)
+
+    hlcc4 = (high + low + close + close) / 4
+
+    #iterate over groups
+    for group in range(len(group_lens)):
+        from_i = group_start_idxs[group]
+        from_i = max(0, from_i - drag)
+        to_i = group_end_idxs[group]
+        nom_cumsum = 0
+        denum_cumsum = 0
+        #for each group do this (it is just np.cumsum(hlcc4 * volume) / np.sum(volume) iteratively)
+        for i in range(from_i, to_i):
+            nom_cumsum += volume[i] * hlcc4[i]
+            denum_cumsum += volume[i]
+            if denum_cumsum == 0:
+                out[i] = np.nan
+            else:
+                out[i] = nom_cumsum / denum_cumsum
+    return out
+
+"""
+cumulative anchored vwap indicator on HLCC4 price, anchor = "D", "h", or "min" ...
+drag = 0 - overlap with previous group. takes into account last N elements from previous group
+when calculating (simulating v2realbot logic)
+"""
+IND_CUVWAP = vbt.IF(
+    class_name='CUVWAP',
+    module_name='ttools',
+    input_names=['high', 'low', 'close', 'volume'],
+    param_names=['anchor', "drag"],
+    output_names=['vwap']
+).with_apply_func(vwap_cum,
+                takes_1d=True,
+                param_settings=dict(
+                    anchor=dict(template=RepFunc(substitute_anchor)),
+                ),
+                anchor="D",
+                drag=0
+                )

ttools/vbtindicators.py

@@ -1,91 +1,38 @@
-import numpy as np
+
-from numba import jit
 import vectorbtpro as vbt
-from vectorbtpro import _typing as tp
+import importlib
-from vectorbtpro.base.wrapping import ArrayWrapper
+import os
-from vectorbtpro.utils.template import RepFunc
-
-"""
-Contains custom indicators for vectorbtpro.
-
-import and run register_custom_inds() to register all custom indicators.
-
-They are available under `vbt.IF.list_indicators("ttols")`
-"""
-
-def substitute_anchor(wrapper: ArrayWrapper, anchor: tp.Optional[tp.FrequencyLike]) -> tp.Array1d:
-    """Substitute reset frequency by group lens. It is array of number of elements of each group."""
-    if anchor is None:
-        return np.array([wrapper.shape[0]])
-    return wrapper.get_index_grouper(anchor).get_group_lens()
-
-@jit(nopython=True)
-def vwap_cum(high, low, close, volume, group_lens, drag):
-    #anchor based grouping - prepare group indexes
-    group_end_idxs = np.cumsum(group_lens)
-    group_start_idxs = group_end_idxs - group_lens
-
-    #prepare output
-    out = np.full(volume.shape, np.nan, dtype=np.float_)
-
-    hlcc4 = (high + low + close + close) / 4
-
-    #iterate over groups
-    for group in range(len(group_lens)):
-        from_i = group_start_idxs[group]
-        from_i = max(0, from_i - drag)
-        to_i = group_end_idxs[group]
-        nom_cumsum = 0
-        denum_cumsum = 0
-        #for each group do this (it is just np.cumsum(hlcc4 * volume) / np.sum(volume) iteratively)
-        for i in range(from_i, to_i):
-            nom_cumsum += volume[i] * hlcc4[i]
-            denum_cumsum += volume[i]
-            if denum_cumsum == 0:
-                out[i] = np.nan
-            else:
-                out[i] = nom_cumsum / denum_cumsum
-    return out
-
-"""
-cumulative anchored vwap indicator on HLCC4 price, anchor = "D", "h", or "min" ...
-drag = 0 - overlap with previous group. takes into account last N elements from previous group
-when calculating (simulating v2realbot logic)
-"""
-IND_CUVWAP = vbt.IF(
-    class_name='CUVWAP',
-    module_name='ttools',
-    input_names=['high', 'low', 'close', 'volume'],
-    param_names=['anchor', "drag"],
-    output_names=['vwap']
-).with_apply_func(vwap_cum,
-                takes_1d=True,
-                param_settings=dict(
-                    anchor=dict(template=RepFunc(substitute_anchor)),
-                ),
-                anchor="D",
-                drag=0
-                )
 
 def register_custom_inds(indicator_name: str = None, if_exists: str ="skip"):
     """Register a custom indicator or all custom indicators.
 
+    Each indicator is as NAME.py file in the `ttools.indicators` directory. It should
+    contain variable IND_{NAME} with the indicator factory object.
+
     If `indicator_name` is provided, only the indicator with that name is registered.
-    Otherwise, all indicators are registered - they are the ones starting with "IND_" .
+    Otherwise, all indicators found in the directory are registered - in each file
+    variable with name starting with "IND_" .
 
     Argument `if_exists` can be "raise", "skip", or "override".
     """
+    indicators_dir = os.path.join(os.path.dirname(__file__), "indicators")
     if indicator_name is not None:
-        var_name = f"IND_{indicator_name}"
+        module_name = indicator_name
-        var_value = globals().get(var_name)
+        file_path = os.path.join(indicators_dir, f"{module_name}.py")
-        if var_value is not None and isinstance(var_value, vbt.IndicatorFactory):
+        if os.path.exists(file_path):
-            vbt.IF.register_custom_indicator(var_value, location="ttools", if_exists=if_exists)
+            module = importlib.import_module(f"ttools.indicators.{module_name}")
-        else:
+            var_name = f"IND_{indicator_name}"
-            raise ValueError(f"Indicator '{indicator_name}' not found")
+            var_value = getattr(module, var_name, None)
-    else:
+            if var_value is not None:
-        for var_name, var_value in globals().items():
-            if var_name.startswith("IND_"):
                 vbt.IF.register_custom_indicator(var_value, location="ttools", if_exists=if_exists)
+    else:
+        for file_name in os.listdir(indicators_dir):
+            if file_name.endswith(".py") and not file_name.startswith("_"):
+                module_name = file_name[:-3]
+                module = importlib.import_module(f"ttools.indicators.{module_name}")
+                for var_name, var_value in vars(module).items():
+                    if var_name.startswith("IND_"):
+                        vbt.IF.register_custom_indicator(var_value, location="ttools", if_exists=if_exists)
 
 def deregister_custom_inds(indicator_name: str = None):
     """Deregister a custom indicator or all custom indicators.