modular_trader.indicator.technical.base#

Classes#

BaseIndicator

Base class for all indicators.

MultipleInputMixin

Mixin for indicators that ingest multiple values at once.

SingleInputMixin

Mixin for indicators that ingest a single value.

Module Contents#

class modular_trader.indicator.technical.base.BaseIndicator(cache_size: int, sampling_period: talipp.input.SamplingPeriodType | None = None, input_indicator: BaseIndicator | None = None, name: str | None = None)#

Bases: abc.ABC

Inheritance diagram of modular_trader.indicator.technical.base.BaseIndicator

Base class for all indicators.

Attributes:

cache_size (int): The number of last values to keep in memory. sampler (Sampler | None): The sampler used to sample the input data. input_indicator (BaseIndicator | None): The input indicator. previous_time (datetime | None): The time of the last value. name (str | None): The name of the indicator.

Parameters:

  • cache_size (int)

  • sampling_period (talipp.input.SamplingPeriodType | None)

  • input_indicator (BaseIndicator | None)

  • name (str | None)

__repr__() → str#

Return a string representation of the indicator.

The string representation of the indicator is of the form “<IndicatorName>(name=<name>, value=<value>)” where <IndicatorName> is the name of the indicator class, <name> is the name of the indicator, and <value> is the current value of the indicator.

Returns:

str: The string representation of the indicator.

Return type:

str

__str__() → str#

Return a string representation of the indicator.

The string representation of the indicator is of the form “<IndicatorName>(name=<name>, value=<value>)” where <IndicatorName> is the name of the indicator class, <name> is the name of the indicator, and <value> is the current value of the indicator.

Returns:

str: The string representation of the indicator.

Return type:

str

calibrate_cache_size(input_indicator)#

Calibrate the cache size of the input indicator.

If the input indicator is not None, the cache size of the input indicator is set to the maximum of the cache size of the indicator and the cache size of the input indicator. This ensures that the input indicator has enough cache size to be used by the indicator.

Args:

input_indicator (BaseIndicator | None): The input indicator.

clean_cache() → None#

Clean the cache by purging the oldest values.

If the cache size is set, the method purges the oldest values from the cache until the cache size is reached. This ensures that the cache does not grow indefinitely.

Note:

This method is called automatically by the framework when the indicator is updated.

Return type:

None

copy()#

Create a deep copy of the indicator.

Returns a deep copy of the indicator, which is a new indicator instance with the same configuration and values as the original indicator.

Returns:

BaseIndicator: A deep copy of the indicator.

ingest(open: modular_trader.common.type_aliases.RealNumber | Iterable[modular_trader.common.type_aliases.RealNumber] | None, high: modular_trader.common.type_aliases.RealNumber | Iterable[modular_trader.common.type_aliases.RealNumber] | None, low: modular_trader.common.type_aliases.RealNumber | Iterable[modular_trader.common.type_aliases.RealNumber] | None, close: modular_trader.common.type_aliases.RealNumber | Iterable[modular_trader.common.type_aliases.RealNumber] | None, volume: modular_trader.common.type_aliases.RealNumber | Iterable[modular_trader.common.type_aliases.RealNumber] | None = None, timestamp: modular_trader.common.type_aliases.RealNumber | Iterable[modular_trader.common.type_aliases.DateOrDatetime] | None = None)#

Ingest values into the indicator.

If an input indicator is set, the values will be ingested into the input indicator. Otherwise, the values will be ingested into this indicator.

Args:

open: The open prices. high: The high prices. low: The low prices. close: The close prices. volume: The volumes. timestamp: The timestamps.

Parameters:

  • open (modular_trader.common.type_aliases.RealNumber | Iterable[modular_trader.common.type_aliases.RealNumber] | None)

  • high (modular_trader.common.type_aliases.RealNumber | Iterable[modular_trader.common.type_aliases.RealNumber] | None)

  • low (modular_trader.common.type_aliases.RealNumber | Iterable[modular_trader.common.type_aliases.RealNumber] | None)

  • close (modular_trader.common.type_aliases.RealNumber | Iterable[modular_trader.common.type_aliases.RealNumber] | None)

  • volume (modular_trader.common.type_aliases.RealNumber | Iterable[modular_trader.common.type_aliases.RealNumber] | None)

  • timestamp (modular_trader.common.type_aliases.RealNumber | Iterable[modular_trader.common.type_aliases.DateOrDatetime] | None)

is_same_period(timestamp: modular_trader.common.type_aliases.DateOrDatetime | None) → bool#

Check if the timestamp is in the same period as the previous time.

Args:

timestamp (DateOrDatetime | None): The timestamp to check.

Returns:

bool: True if the timestamp is in the same period as the previous time, False otherwise.

Note:

This method is used to determine if the indicator should recalculate its value when new data is available. If the timestamp is in the same period as the previous time, the indicator will not recalculate its value.

Parameters:

timestamp (modular_trader.common.type_aliases.DateOrDatetime | None)

Return type:

bool

make_ohlcv(open: Iterable[modular_trader.common.type_aliases.RealNumber] | None = None, high: Iterable[modular_trader.common.type_aliases.RealNumber] | None = None, low: Iterable[modular_trader.common.type_aliases.RealNumber] | None = None, close: Iterable[modular_trader.common.type_aliases.RealNumber] | None = None, volume: Iterable[modular_trader.common.type_aliases.RealNumber] | None = None, timestamp: Iterable[modular_trader.common.type_aliases.DateOrDatetime] | None = None) → talipp.ohlcv.OHLCV#

Create an OHLCV object from the given values.

Args:

open: The open prices. high: The high prices. low: The low prices. close: The close prices. volume: The volumes. timestamp: The timestamps.

Returns:

OHLCV: The created OHLCV object.

Parameters:

  • open (Iterable[modular_trader.common.type_aliases.RealNumber] | None)

  • high (Iterable[modular_trader.common.type_aliases.RealNumber] | None)

  • low (Iterable[modular_trader.common.type_aliases.RealNumber] | None)

  • close (Iterable[modular_trader.common.type_aliases.RealNumber] | None)

  • volume (Iterable[modular_trader.common.type_aliases.RealNumber] | None)

  • timestamp (Iterable[modular_trader.common.type_aliases.DateOrDatetime] | None)

Return type:

talipp.ohlcv.OHLCV

_cache_size#
_input_indicator = None#
_name = 'BaseIndicator'#
_previous_time#
_sampler = None#
cache_size#
property is_ready: bool#

Check if the indicator has calculated a valid value.

The indicator is considered ready when it has calculated a valid value. This is useful for checking if the indicator has finished its warmup period.

Returns:

bool: True if the indicator has calculated a valid value, False otherwise.

Return type:

bool

name#
previous_time#
sampler#
property time: datetime.datetime#
Return type:

datetime.datetime

property value: modular_trader.common.type_aliases.RealNumber | None#

Get the current value of the indicator.

The current value of the indicator is the last value calculated by the indicator. If the indicator has not finished its warmup period, None is returned.

Returns:

RealNumber | None: The current value of the indicator, or None if the indicator has not finished its warmup period.

Return type:

modular_trader.common.type_aliases.RealNumber | None

class modular_trader.indicator.technical.base.MultipleInputMixin#

Mixin for indicators that ingest multiple values at once.

The _ingest method is called by the ingest method of the indicator, and is responsible for updating the indicator with the ingested values.

The default implementation of _ingest takes an iterable of values and ingests each of them one by one into the indicator. The clean_cache method of the indicator is called at the end to purge the oldest values from the cache.

The default implementation of _ingest also handles the case where the values are passed as separate arguments instead of an iterable.

_(open: modular_trader.common.type_aliases.RealNumber | None, high: modular_trader.common.type_aliases.RealNumber | None, low: modular_trader.common.type_aliases.RealNumber | None, close: modular_trader.common.type_aliases.RealNumber | None, volume: modular_trader.common.type_aliases.RealNumber | None = None, timestamp: modular_trader.common.type_aliases.DateOrDatetime | None = None) → None#

Ingests a single value into the indicator.

Args:

open (RealNumber | None): The open price. high (RealNumber | None): The high price. low (RealNumber | None): The low price. close (RealNumber | None): The close price. volume (RealNumber | None): The volume.

Defaults to None.

timestamp (DateOrDatetime | None): The timestamp.

Defaults to None.

Returns:

None

Parameters:

  • open (modular_trader.common.type_aliases.RealNumber | None)

  • high (modular_trader.common.type_aliases.RealNumber | None)

  • low (modular_trader.common.type_aliases.RealNumber | None)

  • close (modular_trader.common.type_aliases.RealNumber | None)

  • volume (modular_trader.common.type_aliases.RealNumber | None)

  • timestamp (modular_trader.common.type_aliases.DateOrDatetime | None)

Return type:

None

_ingest(open: Iterable[modular_trader.common.type_aliases.RealNumber] | None, high: Iterable[modular_trader.common.type_aliases.RealNumber] | None, low: Iterable[modular_trader.common.type_aliases.RealNumber] | None, close: Iterable[modular_trader.common.type_aliases.RealNumber] | None, volume: Iterable[modular_trader.common.type_aliases.RealNumber] | None = None, timestamp: Iterable[modular_trader.common.type_aliases.DateOrDatetime] | None = None) → None#

Ingests a single value into the indicator.

Args:

open (Iterable[RealNumber] | None): The open prices. high (Iterable[RealNumber] | None): The high prices. low (Iterable[RealNumber] | None): The low prices. close (Iterable[RealNumber] | None): The close prices. volume (Iterable[RealNumber] | None): The volumes.

Defaults to None.

timestamp (Iterable[DateOrDatetime] | None): The timestamps.

Defaults to None.

Returns:

None

Parameters:

  • open (Iterable[modular_trader.common.type_aliases.RealNumber] | None)

  • high (Iterable[modular_trader.common.type_aliases.RealNumber] | None)

  • low (Iterable[modular_trader.common.type_aliases.RealNumber] | None)

  • close (Iterable[modular_trader.common.type_aliases.RealNumber] | None)

  • volume (Iterable[modular_trader.common.type_aliases.RealNumber] | None)

  • timestamp (Iterable[modular_trader.common.type_aliases.DateOrDatetime] | None)

Return type:

None

class modular_trader.indicator.technical.base.SingleInputMixin#

Mixin for indicators that ingest a single value.

Provides a default implementation for the _ingest method that handles ingesting a single value into the indicator.

The _ingest method is called by the ingest method of the indicator, and is responsible for updating the indicator with the ingested value.

The default implementation of _ingest checks if the timestamp of the ingested value is in the same period as the previous time, and if so, updates the indicator with the new value. If the timestamp is not in the same period, the indicator is reset with the new value.

The default implementation of _ingest also calls the clean_cache method of the indicator to purge the oldest values from the cache.

Attributes:

None

Methods:

_ingest: Ingests a single value into the indicator.

_(close: Iterable[modular_trader.common.type_aliases.RealNumber], *args, **kwargs)#

Ingests an iterable of values into the indicator.

Args:

close (Iterable[RealNumber]): The values to ingest. *args: Additional positional arguments. **kwargs: Additional keyword arguments.

Returns:

None

Parameters:

close (Iterable[modular_trader.common.type_aliases.RealNumber])

_ingest(close: modular_trader.common.type_aliases.RealNumber, timestamp: modular_trader.common.type_aliases.DateOrDatetime | None = None, *args, **kwargs) → None#

Ingests a single value into the indicator.

Args:

close (RealNumber): The value to ingest. timestamp (DateOrDatetime | None): The timestamp of the value.

Defaults to None.

*args: Additional positional arguments. **kwargs: Additional keyword arguments.

Returns:

None

Parameters:

  • close (modular_trader.common.type_aliases.RealNumber)

  • timestamp (modular_trader.common.type_aliases.DateOrDatetime | None)

Return type:

None