def get_atr(input_df, params=None):
n = params["n"]
# Set temp dataframe keys
h_l_key = Ct.get_key("H-L")
h_pc_key = Ct.get_key("H-PC")
l_pc_key = Ct.get_key("L-PC")
tr_key = Ct.get_key("TR")
df_data = input_df.copy()
df_data.columns = df_data.columns.droplevel(1)
df_data[h_l_key] = abs(df_data[Ct.high_key()] - df_data[Ct.low_key()])
df_data[h_pc_key] = abs(df_data[Ct.high_key()] -
df_data[Ct.prices_key()].shift(1))
df_data[l_pc_key] = abs(df_data[Ct.low_key()] -
df_data[Ct.prices_key()].shift(1))
df_data[tr_key] = df_data[[h_l_key, h_pc_key,
l_pc_key]].max(axis=1, skipna=False)
df_data[Ct.atr_key()] = df_data[tr_key].rolling(n).mean()
# df[Ct.atr_key()] = df[tr_key].ewm(span=n,adjust=False,min_periods=n).mean()
# df_data.dropna(inplace=True, axis=0)
df_data.drop([h_l_key, h_pc_key, l_pc_key], axis=1, inplace=True)
result_df = pd.DataFrame()
result_df.append(df_data.loc[:, [Ct.atr_key(), tr_key]])
return result_df
def get_prices_data(self, keys=None):
if keys is None or len(keys) == 0:
print("No keys has been specified. All keys were selected. ")
keys = {
Ct.high_key(): True,
Ct.low_key(): True,
Ct.open_key(): True,
Ct.close_key(): True,
Ct.adj_close_key(): True,
Ct.volume_key(): True
}
method_tag = "get_prices_data"
if self.data_source_historical is not None:
if self.data_source_historical.prices is None or self.data_source_historical.prices.empty is True:
raise ValueError(
"No historical data available, call method self.get_historical_data() first"
)
key_titles = self.get_key_titles(keys)
if len(key_titles) > 0:
prices = self.data_source_historical.get_prices(
self.tickers, key_titles)
else:
print("{} - There are no prices information, for ticker:{}".
format(method_tag, self.tickers))
raise ValueError
else:
print("There has been an error in {}".format(method_tag))
raise ValueError
# Validate Price dataframe
if prices.empty == True:
print("There has been an error in {}".format(method_tag))
raise ValueError
self.price_info = prices
return prices
