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This commit is contained in:
David Brazda
2024-10-18 14:14:49 +02:00
parent 953bea03cd
commit 879437bc42
6 changed files with 170 additions and 78 deletions
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1
.gitignore vendored
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@ -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

2
setup.py
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@ -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',

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tests/cuvwap.ipynb Normal file
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@ -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
}

68
ttools/indicators/CUVWAP.py Normal file
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@ -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
)

0
ttools/indicators/__init__.py Normal file
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101
ttools/vbtindicators.py
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@ -1,91 +1,38 @@
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
)
import importlib
import os
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}"
var_value = globals().get(var_name)
if var_value is not None and isinstance(var_value, vbt.IndicatorFactory):
vbt.IF.register_custom_indicator(var_value, location="ttools", if_exists=if_exists)
else:
raise ValueError(f"Indicator '{indicator_name}' not found")
else:
for var_name, var_value in globals().items():
if var_name.startswith("IND_"):
module_name = indicator_name
file_path = os.path.join(indicators_dir, f"{module_name}.py")
if os.path.exists(file_path):
module = importlib.import_module(f"ttools.indicators.{module_name}")
var_name = f"IND_{indicator_name}"
var_value = getattr(module, var_name, None)
if var_value is not None:
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.