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fawce
53 lines
1.8 KiB
Python
53 lines
1.8 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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import qsim.util as qutil
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from 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 filter.
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"""
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def __init__(self, feed, props, result_address):
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BaseTransform.__init__(self, feed, props, result_address)
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self.events = []
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self.window = datetime.timedelta(days = self.config.get_integer('days'),
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seconds = self.config.get_integer('seconds'),
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microseconds = self.config.get_integer('microseconds'),
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milliseconds = self.config.get_integer('milliseconds'),
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minutes = self.config.get_integer('minutes'),
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hours = self.config.get_integer('hours'),
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weeks = self.config.get_integer('weeks'))
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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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return self.state
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