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https://github.com/wassname/catalyst.git
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Stephen Diehl
55 lines
1.3 KiB
Python
55 lines
1.3 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 zipline.messaging import BaseTransform
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import zipline.util as qutil
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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.window = datetime.timedelta(days = days)
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self.init()
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def init(self):
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self.events = []
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self.current_total = 0
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def transform(self, event):
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"""
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Update the moving average with the latest data point.
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"""
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self.events.append(event)
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self.current_total += event.price
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event_date = event.dt
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index = 0
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for cur_event in self.events:
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cur_date = cur_event.dt
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if(cur_date - event_date) >= self.window:
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self.events.pop(index)
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self.current_total -= cur_event.price
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index += 1
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else:
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break
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if len(self.events) == 0:
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return 0.0
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self.average = self.current_total/len(self.events)
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self.state['value'] = self.average
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return self.state
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