def calc_trades(self):
ma = self._prices.copy()
ma = ma.sort_values(by=['TIMESTAMP'])
ma['SLOW'] = ma.PRICE.rolling(window=self._slow,
center=False).mean().round(2)
ma['FAST'] = ma.PRICE.rolling(window=self._fast,
center=False).mean().round(2)
ma['DIFF'] = ma.FAST - ma.SLOW
ma['MOVE'] = (ma.FAST - ma.SLOW) / ma.SLOW
ma['REGIME'] = np.where(ma.MOVE - self._threshold > 0, 1, 0)
ma['REGIME'] = np.where(ma.MOVE + self._threshold < 0, -1, ma.REGIME)
sign_list = []
last_sign = 0
last_r = 0
for r in ma.REGIME:
sign = np.sign(r - last_r)
if sign == last_sign:
sign = 0
if r == 0:
sign = 0
if sign != 0:
last_sign = sign
sign_list.append(sign)
last_r = r
ma['SIGN'] = sign_list
ma['ID'] = np.zeros(len(ma.index))
ma.index = range(len(ma.index))
idx = next(i for i in ma.index if ma.SIGN[i] == 1)
ma = ma.drop(ma.index[[range(0, idx)]])
ma.index = range(len(ma.index))
last = 0
for i in ma.index:
if ma.SIGN[i] == 0:
ma.at[i, 'ID'] = 0
else:
if ma.SIGN[i] == -1:
ma.at[i, 'ID'] = last
else:
ma.at[i, 'ID'] = last + 1
last = last + 1
trades = pd.concat([
pd.DataFrame({
'PRICE': ma.loc[ma.SIGN == 1, 'PRICE'],
'ID': ma.loc[ma.SIGN == 1, 'ID'],
'TIMESTAMP': ma.loc[ma.SIGN == 1, 'TIMESTAMP'],
'SIGN': 1
}),
pd.DataFrame({
'PRICE': ma.loc[ma.SIGN == -1, 'PRICE'],
'ID': ma.loc[ma.SIGN == -1, 'ID'],
'TIMESTAMP': ma.loc[ma.SIGN == -1, 'TIMESTAMP'],
'SIGN': -1
}),
])
trades = trades.sort_values(by=['TIMESTAMP'])
trades.index = range(len(trades.index))
self._trades = trades
self._ma = ma
Strategy.add_dates_to_df(self._ma)
Strategy.add_dates_to_df(self._trades)
def refresh_heikin_prices(self):
ha_close_list = self._heikin_prices.CLOSE
ha_open_list = self._heikin_prices.OPEN
ha_high_list = self._heikin_prices.HIGH
ha_low_list = self._heikin_prices.LOW
ha_color_list = self._heikin_prices.COLOR
ha_close_list_temp = []
ha_open_list_temp = []
ha_high_list_temp = []
ha_low_list_temp = []
ha_color_list_temp = []
oldO, oldC = (-1, -1)
if len(self._heikin_prices) > 0:
oldO = self._heikin_prices.OPEN.iloc[-1]
oldC = self._heikin_prices.CLOSE.iloc[-1]
for i in xrange(len(self._heikin_prices), len(self._prices_step)):
if oldO == -1:
oldC = (
self._prices_step.OPEN[i] + self._prices_step.CLOSE[i] +
self._prices_step.HIGH[i] + self._prices_step.LOW[i]) / 4
oldO = (self._prices_step.CLOSE[i] +
self._prices_step.OPEN[i]) / 2
heikin = StrategyHEIKINClassic.calc_heikin(
self._prices_step.OPEN[i], self._prices_step.HIGH[i],
self._prices_step.LOW[i], self._prices_step.CLOSE[i], oldO,
oldC)
oldO, _, _, oldC = heikin
ha_close_list_temp.append(heikin[3])
ha_open_list_temp.append(heikin[0])
ha_high_list_temp.append(heikin[1])
ha_low_list_temp.append(heikin[2])
ha_color_list_temp.append(
np.where(
StrategyHEIKINClassic.is_bearish(heikin), 'RED',
np.where(StrategyHEIKINClassic.is_bullish(heikin), 'GREEN',
'WHITE')))
ha_close_list = pd.concat(
[ha_close_list, pd.Series(ha_close_list_temp)], ignore_index=True)
ha_open_list = pd.concat(
[ha_open_list, pd.Series(ha_open_list_temp)], ignore_index=True)
ha_high_list = pd.concat(
[ha_high_list, pd.Series(ha_high_list_temp)], ignore_index=True)
ha_low_list = pd.concat(
[ha_low_list, pd.Series(ha_low_list_temp)], ignore_index=True)
ha_color_list = pd.concat(
[ha_color_list, pd.Series(ha_color_list_temp)], ignore_index=True)
self._heikin_prices = pd.DataFrame({
'OPEN':
ha_open_list,
'HIGH':
ha_high_list,
'LOW':
ha_low_list,
'CLOSE':
ha_close_list,
'COLOR':
ha_color_list,
'PRICE':
[] if not len(self._prices_step) else self._prices_step.CLOSE,
'TIMESTAMP':
[] if not len(self._prices_step) else self._prices_step.TIMESTAMP
})
Strategy.add_dates_to_df(self._heikin_prices)
