def test_money_flow_index_invalid_period(self):
period = 128
with self.assertRaises(Exception) as cm:
money_flow_index.money_flow_index(self.close_data, self.high_data,
self.low_data, self.volume,
period)
expected = "Error: data_len < period"
self.assertEqual(str(cm.exception), expected)
def test_money_flow_index_invalid_data(self):
period = 6
self.close_data.append(0)
with self.assertRaises(Exception) as cm:
money_flow_index.money_flow_index(self.close_data, self.high_data,
self.low_data, self.volume,
period)
expected = (
"Error: mismatched data lengths, check to ensure that all input data is the same length and valid"
)
self.assertEqual(str(cm.exception), expected)
def preProcessCalculation(df, limit):
df = df.reset_index()
adx = np.array(
average_directional_index(df['close'], df['high'], df['low'], limit))
mfi = np.array(
money_flow_index(df['close'], df['high'], df['low'], df['volume'],
limit - 1))
atr = np.array(average_true_range(df['close'], limit))
obv = np.array(on_balance_volume(df['close'], df['volume']))
rocr = np.array(rate_of_change(df['close'], limit))
mom = np.array(momentum(df['close'], limit))
return adx, mfi, atr, obv, rocr, mom
def update_indicator(csv_filename, periods, timeframe, datetimeformat_string):
""" Update the given csv_file with new column values for corr rows """
df_csv = pd.read_csv(csv_filename, index_col=None, dayfirst=True)
df_csv.drop_duplicates(subset=['coin', 'exchange', 'unix_timestamp'],
inplace=True)
for indicator in indicator_list:
if indicator not in df_csv.columns and indicator not in df_csv.index:
df_csv[indicator] = np.nan
df_csv = df_csv.set_index(['coin', 'exchange', 'unix_timestamp'])
data = list(df_csv.index.get_level_values(0).unique())
i = 0
j = 0
for coin_name in data:
coin_df = df_csv[df_csv.index.get_level_values(0) == coin_name]
coin_df = coin_df.reset_index()
coin_df = coin_df.sort_values(
by=['exchange', 'unix_timestamp']).set_index(
['coin', 'exchange', 'unix_timestamp'])
df_by_exchange = coin_df.groupby(['exchange'], group_keys=False)
for key, item in df_by_exchange:
req_data = df_by_exchange.get_group(key)
req_data2 = req_data.iloc[-periods:]
start_date = req_data2.index.get_level_values(2)[0]
end_date = req_data2.index.get_level_values(2)[req_data2.shape[0] -
1]
req_data2 = req_data[
(req_data.index.get_level_values(2) >= start_date)
& (req_data.index.get_level_values(2) <= end_date)]
np_volumeto = np.array(req_data2.volumeto.values, dtype='f8')
if len(np_volumeto) < 20:
j = j + 1
print(coin_name, j, " Not Updated")
continue
req_data2[
'BBANDS_BANDWIDTH_PERCENT'] = pyti.bollinger_bands.percent_b(
req_data2.close.values, 20)
req_data2['MONEY_FLOW_INDEX'] = money_flow_index.money_flow_index(
req_data2.close.values, req_data2.high.values,
req_data2.low.values, np_volumeto, 14)
req_data2[
'STOCH_PERCENT_K_MONEY_FLOW_INDEX'] = pyti.stochastic.percent_k(
req_data2.MONEY_FLOW_INDEX.values, 14) * 100
req_data2[
'STOCH_PERCENT_D_MONEY_FLOW_INDEX'] = pyti.simple_moving_average.simple_moving_average(
req_data2.STOCH_PERCENT_K_MONEY_FLOW_INDEX.values, 3)
req_data2['RSI'] = talib.func.RSI(req_data2.close.values,
timeperiod=configParser.getint(
'technical_settings',
'rsi_period'))
req_data2['RSI_OVER_BOUGHT'] = np.where(
(req_data2.RSI >= configParser.getint('technical_settings',
'rsi_over_bought')) &
(req_data2.RSI <= req_data2.RSI.shift(1)), 1, 0)
req_data2['RSI_OVER_SOLD'] = np.where(
(req_data2.RSI <= configParser.getint('technical_settings',
'rsi_over_sold')) &
(req_data2.RSI >= req_data2.RSI.shift(1)), 1, 0)
req_data2['STOCHRSI_K'] = pyti.stochrsi.stochrsi(
req_data2.close.values, 14)
req_data2[
'STOCHRSI_D'] = pyti.simple_moving_average.simple_moving_average(
req_data2.STOCHRSI_K.values, 3)
req_data2['STOCH_PERCENT_K'] = pyti.stochastic.percent_k(
req_data2.high.values, 14) * 100
req_data2[
'STOCH_PERCENT_D'] = pyti.simple_moving_average.simple_moving_average(
req_data2.STOCH_PERCENT_K.values, 3)
req_data2['STOCH_OVER_BOUGHT'] = np.where(
(req_data2.STOCH_PERCENT_K >= configParser.getint(
'technical_settings', 'stoch_over_bought')) &
(req_data2.STOCH_PERCENT_K <=
req_data2.STOCH_PERCENT_K.shift(1)), 1, 0)
req_data2['STOCH_OVER_SOLD'] = np.where(
(req_data2.STOCH_PERCENT_K <= configParser.getint(
'technical_settings', 'stoch_over_sold')) &
(req_data2.STOCH_PERCENT_K >=
req_data2.STOCH_PERCENT_K.shift(1)), 1, 0)
req_data2['SMA_FAST'] = talib.func.SMA(req_data2.close.values, 7)
req_data2['SMA_SLOW'] = talib.func.SMA(req_data2.close.values, 21)
req_data2['SMA_TEST'] = np.where(
req_data2.SMA_FAST > req_data2.SMA_SLOW, 1, 0)
req_data2[
'ON_BALANCE_VOLUME'] = on_balance_volume.on_balance_volume(
req_data2.close.values, np_volumeto)
req_data2['ON_BALANCE_VOLUME_TEST'] = np.where(
req_data2.ON_BALANCE_VOLUME >
req_data2.ON_BALANCE_VOLUME.shift(1), 1, 0)
req_data2['MACD'], req_data2[
'MACD_SIGNAL'], MACD_HISTOGRAM = talib.func.MACD(
req_data2.close.values,
fastperiod=configParser.getint('technical_settings',
'macd_fast'),
slowperiod=configParser.getint('technical_settings',
'macd_slow'),
signalperiod=configParser.getint('technical_settings',
'macd_signal'))
req_data2['MACD_TEST'] = np.where(
req_data2.MACD > req_data2.MACD_SIGNAL, 1, 0)
df_csv.update(req_data2)
i = i + 1
df_csv.to_csv(csv_filename, date_format=datetimeStringformat_to_csv)
df_csv = pd.read_csv(csv_filename)
dbClient.save_to_db(df_csv, 'technical data')
def test_money_flow_index_period_10(self):
period = 10
mfi = money_flow_index.money_flow_index(self.close_data,
self.high_data, self.low_data,
self.volume, period)
np.testing.assert_array_equal(mfi, self.mfi_period_10_expected)
def _get_ta_features(high, low, close, volume, desc):
"""
Returns a dict containing the technical analysis indicators calculated on the given
high, low, close and volumes.
"""
ta = {}
# Set numpy to ignore division error and invalid values (since not all features are complete)
old_settings = np.seterr(divide='ignore', invalid='ignore')
record_count = len(close)
# Determine relative moving averages
for _short, _long in desc['rsma']:
if record_count < _short or record_count < _long:
logging.error(
"get_ta_features: not enough records for rsma (short={}, long={}, records={})"
.format(_short, _long, record_count))
continue
ta['rsma_{}_{}'.format(_short,
_long)] = relative_sma(close, _short, _long)
for _short, _long in desc['rema']:
if record_count < _short or record_count < _long:
logging.error(
"get_ta_features: not enough records for rema (short={}, long={}, records={})"
.format(_short, _long, record_count))
continue
ta['rema_{}_{}'.format(_short,
_long)] = relative_ema(close, _short, _long)
# MACD Indicator
if 'macd' in desc:
for _short, _long in desc['macd']:
if record_count < _short or record_count < _long:
logging.error(
"get_ta_features: not enough records for rema (short={}, long={}, records={})"
.format(_short, _long, record_count))
continue
ta['macd_{}_{}'.format(
_short, _long)] = moving_average_convergence_divergence(
close, _short, _long)
# Aroon Indicator
if 'ao' in desc:
for _period in desc['ao']:
if record_count < _period:
logging.error(
"get_ta_features: not enough records for ao (period={}, records={})"
.format(_period, record_count))
continue
ta['ao_{}'.format(_period)] = aroon_oscillator(close, _period)
# Average Directional Movement Index (ADX)
if 'adx' in desc:
for _period in desc['adx']:
if record_count < _period:
logging.error(
"get_ta_features: not enough records for adx (period={}, records={})"
.format(_period, record_count))
continue
ta['adx_{}'.format(_period)] = average_directional_index(
close, high, low, _period)
# Difference between Positive Directional Index(DI+) and Negative Directional Index(DI-)
if 'wd' in desc:
for _period in desc['wd']:
if record_count < _period:
logging.error(
"get_ta_features: not enough records for wd (period={}, records={})"
.format(_period, record_count))
continue
ta['wd_{}'.format(_period)] = \
positive_directional_index(close, high, low, _period) \
- negative_directional_index(close, high, low, _period)
# Percentage Price Oscillator
if 'ppo' in desc:
for _short, _long in desc['ppo']:
if record_count < _short or record_count < _long:
logging.error(
"get_ta_features: not enough records for ppo (short={}, long={}, records={})"
.format(_short, _long, record_count))
continue
ta['ppo_{}_{}'.format(_short, _long)] = price_oscillator(
close, _short, _long)
# Relative Strength Index
if 'rsi' in desc:
for _period in desc['rsi']:
if record_count < _period:
logging.error(
"get_ta_features: not enough records for rsi (period={}, records={})"
.format(_period, record_count))
continue
ta['rsi_{}'.format(_period)] = relative_strength_index(
close, _period)
# Money Flow Index
if 'mfi' in desc:
for _period in desc['mfi']:
if record_count < _period:
logging.error(
"get_ta_features: not enough records for mfi (period={}, records={})"
.format(_period, record_count))
continue
ta['mfi_{}'.format(_period)] = money_flow_index(
close, high, low, volume, _period)
# True Strength Index
if 'tsi' in desc and len(close) >= 40:
if record_count < 40:
logging.error(
"get_ta_features: not enough records for tsi (period={}, records={})"
.format(40, record_count))
else:
ta['tsi'] = true_strength_index(close)
if 'boll' in desc:
for _period in desc['stoch']:
if record_count < _period:
logging.error(
"get_ta_features: not enough records for boll (period={}, records={})"
.format(_period, record_count))
continue
ta['boll_{}'.format(_period)] = percent_b(close, _period)
# Stochastic Oscillator
if 'stoch' in desc:
for _period in desc['stoch']:
if record_count < _period:
logging.error(
"get_ta_features: not enough records for stoch (period={}, records={})"
.format(_period, record_count))
continue
ta['stoch_{}'.format(_period)] = percent_k(close, _period)
# ta.py['stoch'] = percent_k(high, low, close, 14)
# Chande Momentum Oscillator
## Not available in ta.py
if 'cmo' in desc:
for _period in desc['cmo']:
if record_count < _period:
logging.error(
"get_ta_features: not enough records for cmo (period={}, records={})"
.format(_period, record_count))
continue
ta['cmo_{}'.format(_period)] = chande_momentum_oscillator(
close, _period)
# Average True Range Percentage
if 'atrp' in desc:
for _period in desc['atrp']:
if record_count < _period:
logging.error(
"get_ta_features: not enough records for atrp (period={}, records={})"
.format(_period, record_count))
continue
ta['atrp_{}'.format(_period)] = average_true_range_percent(
close, _period)
# Percentage Volume Oscillator
if 'pvo' in desc:
for _short, _long in desc['pvo']:
if record_count < _short or record_count < _long:
logging.error(
"get_ta_features: not enough records for pvo (short={}, long={}, records={})"
.format(_short, _long, record_count))
continue
ta['pvo_{}_{}'.format(_short, _long)] = volume_oscillator(
volume, _short, _long)
# Force Index
if 'fi' in desc:
fi = force_index(close, volume)
for _period in desc['fi']:
if record_count < _period:
logging.error(
"get_ta_features: not enough records for atrp (period={}, records={})"
.format(_period, record_count))
continue
ta['fi_{}'.format(_period)] = exponential_moving_average(
fi, _period)
# Accumulation Distribution Line
if 'adi' in desc:
ta['adi'] = accumulation_distribution(close, high, low, volume)
# On Balance Volume
if 'obv' in desc:
ta['obv'] = on_balance_volume(close, volume)
# Restore numpy error settings
np.seterr(**old_settings)
return ta
