def generateTechIndObjects(self, histDF, indicators):
from realtime_talib import Indicator
return [Indicator(histDF, ind, *args) for ind, args in indicators]
def calculate_indicators(ohlcv_df):
ohlcv_df = ohlcv_df.drop(["Volume (BTC)", "Weighted Price"], axis=1)
ohlcv_df.columns = ["Date", "Open", "High", "Low", "Close", "Volume"]
temp_ohlcv_df = ohlcv_df.copy()
# Converts ISO 8601 timestamps to UNIX
unix_times = [
int(dp.parse(temp_ohlcv_df.iloc[index]["Date"]).strftime('%s'))
for index in range(temp_ohlcv_df.shape[0])
]
temp_ohlcv_df["Date"] = pd.Series(unix_times).values
# Converts column headers to lowercase and sorts rows in chronological order
temp_ohlcv_df.columns = ["date", "open", "high", "low", "close", "volume"]
temp_ohlcv_df = temp_ohlcv_df.iloc[::-1]
# Rate of Change Ratio
rocr3 = Indicator(temp_ohlcv_df, "ROCR", 3).getHistorical()[::-1]
rocr6 = Indicator(temp_ohlcv_df, "ROCR", 6).getHistorical()[::-1]
# Average True Range
atr = Indicator(temp_ohlcv_df, "ATR", 14).getHistorical()[::-1]
# On-Balance Volume
obv = Indicator(temp_ohlcv_df, "OBV").getHistorical()[::-1]
# Triple Exponential Moving Average
trix = Indicator(temp_ohlcv_df, "TRIX", 20).getHistorical()[::-1]
# Momentum
mom1 = Indicator(temp_ohlcv_df, "MOM", 1).getHistorical()[::-1]
mom3 = Indicator(temp_ohlcv_df, "MOM", 3).getHistorical()[::-1]
# Average Directional Index
adx14 = Indicator(temp_ohlcv_df, "ADX", 14).getHistorical()[::-1]
adx20 = Indicator(temp_ohlcv_df, "ADX", 20).getHistorical()[::-1]
# Williams %R
willr = Indicator(temp_ohlcv_df, "WILLR", 14).getHistorical()[::-1]
# Relative Strength Index
rsi6 = Indicator(temp_ohlcv_df, "RSI", 6).getHistorical()[::-1]
rsi12 = Indicator(temp_ohlcv_df, "RSI", 12).getHistorical()[::-1]
# Moving Average Convergence Divergence
macd, macd_signal, macd_hist = Indicator(temp_ohlcv_df, "MACD", 12, 26,
9).getHistorical()
macd, macd_signal, macd_hist = macd[::-1], macd_signal[::-1], macd_hist[::
-1]
# Exponential Moving Average
ema6 = Indicator(temp_ohlcv_df, "MA", 6, 1).getHistorical()[::-1]
ema12 = Indicator(temp_ohlcv_df, "MA", 12, 1).getHistorical()[::-1]
# Append indicators to the input datasets
min_length = min(len(mom1), len(mom3), len(adx14), len(adx20), len(willr),
len(rsi6), len(rsi12), len(macd), len(macd_signal),
len(macd_hist), len(ema6), len(ema12), len(rocr3),
len(rocr6), len(atr), len(obv), len(trix))
ohlcv_df = ohlcv_df[:min_length].drop(["Open", "High", "Low"], axis=1)
ohlcv_df["MOM (1)"] = pd.Series(mom1[:min_length]).values
ohlcv_df["MOM (3)"] = pd.Series(mom3[:min_length]).values
ohlcv_df["ADX (14)"] = pd.Series(adx14[:min_length]).values
ohlcv_df["ADX (20)"] = pd.Series(adx20[:min_length]).values
ohlcv_df["WILLR"] = pd.Series(willr[:min_length]).values
ohlcv_df["RSI (6)"] = pd.Series(rsi6[:min_length]).values
ohlcv_df["RSI (12)"] = pd.Series(rsi12[:min_length]).values
ohlcv_df["MACD"] = pd.Series(macd[:min_length]).values
ohlcv_df["MACD (Signal)"] = pd.Series(macd_signal[:min_length]).values
ohlcv_df["MACD (Historical)"] = pd.Series(macd_hist[:min_length]).values
ohlcv_df["EMA (6)"] = pd.Series(ema6[:min_length]).values
ohlcv_df["EMA (12)"] = pd.Series(ema12[:min_length]).values
ohlcv_df["ROCR (3)"] = pd.Series(rocr3[:min_length]).values
ohlcv_df["ROCR (6)"] = pd.Series(rocr6[:min_length]).values
ohlcv_df["ATR (14)"] = pd.Series(atr[:min_length]).values
ohlcv_df["OBV"] = pd.Series(obv[:min_length]).values
ohlcv_df["TRIX (20)"] = pd.Series(trix[:min_length]).values
return ohlcv_df
def generateTechIndObjects(self, histDF):
if (self.techInds != {}):
from realtime_talib import Indicator
self.techInds = [Indicator(histDF,k,*v) for k,v in self.techInds.items()]
def generateIndicators(self, indicators):
if (indicators != {}):
from realtime_talib import Indicator
self.techInds = [Indicator(histDF,k,*v) for k,v in self.techInds.items()]
def calculate_indicators(ohlcv):
"""Extracts technical indicators from OHLCV data."""
print("\tCalculating technical indicators")
ohlcv = ohlcv.drop(["Volume (BTC)", "Weighted Price"], axis=1)
ohlcv.columns = ["Date", "Open", "High", "Low", "Close", "Volume"]
temp_ohlcv = ohlcv.copy()
# Converts ISO 8601 timestamps to UNIX
unix_times = [
int((dp.parse(temp_ohlcv.iloc[index]["Date"])).strftime("%s"))
for index in range(temp_ohlcv.shape[0])
]
temp_ohlcv["Date"] = (pd.Series(unix_times)).values
# Converts column headers to lowercase and sorts rows in chronological order
temp_ohlcv.columns = ["date", "open", "high", "low", "close", "volume"]
temp_ohlcv = temp_ohlcv.iloc[::-1]
# Rate of Change Ratio
# roc3 = ((Indicator(temp_ohlcv, "ROCR", 3)).getHistorical(lag=1))[::-1]
# roc6 = ((Indicator(temp_ohlcv, "ROCR", 6)).getHistorical(lag=1))[::-1]
# Average True Range
# atr = ((Indicator(temp_ohlcv, "ATR", 14)).getHistorical(lag=1))[::-1]
# On-Balance Volume
# obv = ((Indicator(temp_ohlcv, "OBV", 6)).getHistorical(lag=1))[::-1]
# Triple Exponential Moving Average
# trix = ((Indicator(temp_ohlcv, "TRIX", 30)).getHistorical(lag=1))[::-1]
# Momentum
mom1 = ((Indicator(temp_ohlcv, "MOM", 1)).getHistorical(lag=1))[::-1]
mom3 = ((Indicator(temp_ohlcv, "MOM", 3)).getHistorical(lag=1))[::-1]
# Average Directional Index
adx14 = ((Indicator(temp_ohlcv, "ADX", 14)).getHistorical(lag=1))[::-1]
adx20 = ((Indicator(temp_ohlcv, "ADX", 20)).getHistorical(lag=1))[::-1]
# Williams %R
willr = ((Indicator(temp_ohlcv, "WILLR", 14)).getHistorical(lag=1))[::-1]
# Relative Strength Index
rsi6 = ((Indicator(temp_ohlcv, "RSI", 6)).getHistorical(lag=1))[::-1]
rsi12 = ((Indicator(temp_ohlcv, "RSI", 12)).getHistorical(lag=1))[::-1]
# Moving Average Convergence Divergence
macd, macd_signal, macd_hist = (Indicator(temp_ohlcv, "MACD", 12, 26,
9)).getHistorical(lag=1)
macd, macd_signal, macd_hist = macd[::-1], macd_signal[::-1], macd_hist[::
-1]
# Exponential Moving Average
ema6 = ((Indicator(temp_ohlcv, "MA", 6, 1)).getHistorical(lag=1))[::-1]
ema12 = ((Indicator(temp_ohlcv, "MA", 12, 1)).getHistorical(lag=1))[::-1]
# Append indicators to the input datasets
min_length = min(len(mom1), len(mom3), len(adx14), len(adx20), len(willr),
len(rsi6), len(rsi12), len(macd), len(macd_signal),
len(macd_hist), len(ema6), len(ema12))
ohlcv = ohlcv[:min_length].drop(["Open", "High", "Low"], axis=1)
ohlcv["MOM (1)"], ohlcv["MOM (3)"], ohlcv["ADX (14)"] = (pd.Series(
mom1[:min_length])).values, (pd.Series(
mom3[:min_length])).values, (pd.Series(adx14[:min_length])).values
ohlcv["ADX (20)"], ohlcv["WILLR"], ohlcv["RSI (6)"] = (pd.Series(
adx20[:min_length])).values, (pd.Series(
willr[:min_length])).values, (pd.Series(rsi6[:min_length])).values
ohlcv["RSI (12)"], ohlcv["MACD"], ohlcv["MACD (Signal)"] = (pd.Series(
rsi12[:min_length])).values, (pd.Series(
macd[:min_length])).values, (pd.Series(
macd_signal[:min_length])).values
ohlcv["MACD (Historical)"], ohlcv["EMA (6)"], ohlcv["EMA (12)"] = (
pd.Series(macd_hist[:min_length])).values, (pd.Series(
ema6[:min_length])).values, (pd.Series(ema12[:min_length])).values
return ohlcv
def generateTechIndObjects(self, histDF):
if (self.techInds != {}):
self.techInds = [
Indicator(histDF, k, *v) for k, v in self.techInds.items()
]
def dateToUNIX(self, date): #format: "YYYYMMDD hhmmss"
ts = ciso8601.parse_datetime(date)
return time.mktime(ts.timetuple())
def getCryptoHistoricalData(self, currencyPair, startDate, endDate):
stDateUNIX = self.dateToUNIX(startDate)
eDateUNIX = self.dateToUNIX(endDate)
poloniexJsonURL = self.POLO_HIST_DATA.format(currencyPair, stDateUNIX,
eDateUNIX, self.interval)
poloniexJson = requests.get(poloniexJsonURL).json()
histDataframe = pd.DataFrame.from_records(poloniexJson)
histDataframe.drop('quoteVolume', axis=1, inplace=True)
histDataframe.drop('weightedAverage', axis=1, inplace=True)
histDataframe['date'] = histDataframe['date'].astype(float)
return histDataframe[[
"date", "open", "high", "low", "close", "volume"
]]
newPL = Pipeline(300)
OHLCV = newPL.getCryptoHistoricalData('USDT_BTC', '20170122', '20170823')
BBANDS = Indicator(OHLCV, 'BBANDS', 10, 2, 2, 1)
upper, ema, lower = BBANDS.getHistorical(lag=150)
print(len(upper), len(ema), len(lower))
price, date = OHLCV['open'], OHLCV['date']
plt.plot(price[61331], upper[9198449:9198599], ema[9198449:9198599],
lower[9198449:9198599])