class ATR(Indicator):
__slots__ = (
'length',
'__prev_close',
'__value',
'__average',
)
def __init__(self, input=None, length=14, desc="Average True Range"):
self.length = int(length)
self.__prev_close = None
self.__value = None
self.__average = SMA(input, self.length)
super(ATR,
self).__init__(Indicator.get_name(ATR.__name__, input, length),
input, ['high', 'low', 'close'], desc)
def on_update(self, data):
sma_input = {}
sma_input['timestamp'] = data['timestamp']
high = data['high']
low = data['low']
close = data['close']
if self.__prev_close is None:
tr = high - low
else:
tr1 = high - low
tr2 = abs(high - self.__prev_close)
tr3 = abs(low - self.__prev_close)
tr = max(max(tr1, tr2), tr3)
self.__prev_close = close
sma_input[Indicator.VALUE] = tr
self.__average.add(sma_input)
result = {}
result['timestamp'] = data['timestamp']
result[Indicator.VALUE] = self.__average.now(Indicator.VALUE)
self.add(result)
class ATR(Indicator):
__slots__ = (
'length',
'__prev_close',
'__value',
'__average',
)
def __init__(self, input=None, length=14, desc="Average True Range"):
self.length = int(length)
self.__prev_close = None
self.__value = None
self.__average = SMA(input, self.length)
super(ATR, self).__init__(Indicator.get_name(ATR.__name__, input, length), input, ['high', 'low', 'close'],
desc)
def on_update(self, data):
sma_input = {}
sma_input['timestamp'] = data['timestamp']
high = data['high']
low = data['low']
close = data['close']
if self.__prev_close is None:
tr = high - low
else:
tr1 = high - low
tr2 = abs(high - self.__prev_close)
tr3 = abs(low - self.__prev_close)
tr = max(max(tr1, tr2), tr3)
self.__prev_close = close
sma_input[Indicator.VALUE] = tr
self.__average.add(sma_input)
result = {}
result['timestamp'] = data['timestamp']
result[Indicator.VALUE] = self.__average.now(Indicator.VALUE)
self.add(result)
class ATR(Indicator):
__slots__ = (
'length',
'__prev_close',
'__value',
'__average',
)
def __init__(self, time_series=None, inputs=None, input_keys=['high', 'low', 'close'], desc="Average True Range",
length=14):
super(ATR, self).__init__(time_series=time_series, inputs=inputs, input_keys=input_keys, desc=desc,
length=length)
self.length = self.get_int_config("length", 14)
self.__prev_close = None
self.__value = None
self.__average = SMA(inputs=inputs, length=self.length)
def _process_update(self, source: str, timestamp: int, data: Dict[str, float]):
sma_input = {}
high = data['high']
low = data['low']
close = data['close']
if self.__prev_close is None:
tr = high - low
else:
tr1 = high - low
tr2 = abs(high - self.__prev_close)
tr3 = abs(low - self.__prev_close)
tr = max(max(tr1, tr2), tr3)
self.__prev_close = close
sma_input[Indicator.VALUE] = tr
self.__average.add(timestamp=timestamp, data=sma_input)
result = {}
# result['timestamp'] = data['timestamp']
result[Indicator.VALUE] = self.__average.now(Indicator.VALUE)
self.add(timestamp=timestamp, data=result)
