Пример #1
0
    async def evaluate(self, cryptocurrency, symbol, time_frame, candle, high,
                       low, close):
        hl2 = EvaluatorUtil.CandlesUtil.HL2(high, low)[-1]
        atr = tulipy.atr(high, low, close, self.length)[-1]

        previous_value = self.get_previous_value(symbol, time_frame)

        upper_band = hl2 + self.factor * atr
        lower_band = hl2 - self.factor * atr
        prev_upper_band = previous_value.get(self.PREV_UPPER_BAND, 0)
        prev_lower_band = previous_value.get(self.PREV_LOWER_BAND, 0)

        lower_band = lower_band if (
            lower_band > prev_lower_band
            or close[-2] < prev_lower_band) else prev_lower_band
        upper_band = upper_band if (
            upper_band < prev_upper_band
            or close[-2] > prev_upper_band) else prev_upper_band

        prev_super_trend = previous_value.get(self.PREV_SUPERTREND, 0)

        if previous_value.get(self.PREV_ATR, None) is None:
            self.eval_note = -1
        elif prev_super_trend == prev_upper_band:
            self.eval_note = 1 if close[-1] > upper_band else -1
        else:
            self.eval_note = -1 if close[-1] < lower_band else 1

        previous_value[self.PREV_ATR] = atr
        previous_value[self.PREV_UPPER_BAND] = upper_band
        previous_value[self.PREV_LOWER_BAND] = lower_band
        previous_value[
            self.
            PREV_SUPERTREND] = lower_band if self.eval_note == 1 else upper_band
        return
Пример #2
0
 def _ATR(self, data, timeframe=None, symbol=None):
     timeframe = '1h'
     ohlcv_high = self.ohlcv[:, 1].copy(order='C')
     ohlcv_low = self.ohlcv[:, 2].copy(order='C')
     ohlcv_close = self.ohlcv[:, 3].copy(order='C')
     __atr = ti.atr(ohlcv_high, ohlcv_low, ohlcv_close, 14)
     self.ATR = __atr[-1]
def test_atr(data):
    arr_high = data["high"].to_numpy().astype(float)
    arr_low = data["low"].to_numpy().astype(float)
    arr_close = data["close"].to_numpy().astype(float)
    ti_atr = np.round(np.append([np.nan for i in range(13)],
                                ti.atr(arr_high, arr_low, arr_close,
                                       period=14)),
                      decimals=3)
    atr = indicator.Indicate(data)\
        .average_true_range()['atr']\
        .astype(float)
    assert np.allclose(ti_atr, atr, atol=1e-03, equal_nan=True)
Пример #4
0
    def calculate(self, candles):
        candles_len = len(candles)
        if candles_len < self.period + 1:
            return float(0)

        high_array = np.array(
            [float(x['ohlc'].high) for x in candles[-(self.period + 1):]])
        low_array = np.array(
            [float(x['ohlc'].low) for x in candles[-(self.period + 1):]])
        close_array = np.array(
            [float(x['ohlc'].close) for x in candles[-(self.period + 1):]])

        #calculate
        cur_atr = ti.atr(high_array,
                         low_array,
                         close_array,
                         period=self.period)

        return float(cur_atr[-1])
#     # positions = api.list_positions()
    
#     api.submit_order{
#         symbol = 'IWM',
#         side='sell',
#         qty=57,
#         time_in_force = 'day',
#         type = 'trailing_stop',
#         trail_price = '0.20'
#     }
    
#     api.submit_order{
#         symbol = 'DIA',
#         side='sell',
#         qty=5,
#         time_in_force = 'day',
#         type = 'trailing_stop',
#         trail_percent = '0.70'
#     }

daily_bars = api.polygon.historic_agg_v2('NIO',1,'day',_from='2021-01-20', to='2021-01-21').df

print(daily_bars)

atr = tulipy.atr(daily_bars.high.values, daily_bars.low.values, daily_bars. close.values, 14)

print(atr)



Пример #6
0
#     trail_price='0.20'
# )
#
# api.submit_order(
#     symbol='DIA',
#     side='sell',
#     qty=5,
#     time_in_force='day',
#     type='trailing_stop',
#     trail_percent='0.70'
# )

start_bar = "2020-10-01T09:30:00-05:00"
end_bar = "2020-11-13T10:00:00-05:00"

# print(start_bar)
# print(type(start_bar))
#
# current_date = date.today().isoformat()
# NY = 'America/New_York'
# end = pd.Timestamp(f"{current_date} 16:00", tz=NY).isoformat()
# print(end)
# print(type(end))

# get data
daily_bars = api.get_barset('NIO', 'day', start=start_bar, end=end_bar).df

atr = tulipy.atr(daily_bars['NIO']['high'].values,
                 daily_bars['NIO']['low'].values,
                 daily_bars['NIO']['close'].values, 14)
print(atr)
Пример #7
0
def add_atr(df, period=5):
    l = len(df.close.values)
    df[f'atr_{period}'] = pad_left(ti.atr(
        np.array(df.high),
        np.array(df.low),
        np.array(df.close), period), l)
Пример #8
0
    def compute(self, data_dict):
        high = data_dict.get('high')
        low = data_dict.get('low')
        close = data_dict.get('close')

        return ti.atr(high, low, close, self.per)