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fawce
45 lines
1.2 KiB
Python
45 lines
1.2 KiB
Python
"""
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Transformations for common technical indicators.
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TODO: add MACD transform
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TODO: add trailing stop
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"""
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import datetime
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from qsim.core import BaseTransform
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class MovingAverage(BaseTransform):
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"""
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Calculate a unweighted moving average for props['sid'] security
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TODO: add sid -> mvavg dict.
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"""
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def __init__(self, name, days):
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BaseTransform.__init__(self, name)
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self.events = []
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self.window = datetime.timedelta(days = days)
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def transform(self, event):
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"""Update the moving average with the latest data point."""
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#self.events.append(event)
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#filter the event list to the window length.
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#self.events = [x for x in self.events if (qutil.parse_date(x['dt']) - qutil.parse_date(event['dt'])) <= self.window]
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#if(len(self.events) == 0):
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# return 0.0
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#total = 0.0
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#for event in self.events:
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# total += event['price']
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#self.average = total/len(self.events)
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#self.state['value'] = self.average
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self.state['value'] = 10
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return self.state
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