Indicators

The indicator subpackage provides a set of efficient indicators and analyzers.

These are classes which can be used for signal discovery and filtering. The idea is to use the provided indicators as is, or as inspiration for a trader to implement their own proprietary indicator algorithms with the platform.

class AdaptiveMovingAverage ( int period_er , int period_alpha_fast , int period_alpha_slow , PriceType price_type=PriceType.LAST )

Bases: MovingAverage

An indicator which calculates an adaptive moving average (AMA) across a rolling window. Developed by Perry Kaufman, the AMA is a moving average designed to account for market noise and volatility. The AMA will closely follow prices when the price swings are relatively small and the noise is low. The AMA will increase lag when the price swings increase.

Parameters :

• period_er ( int ) – The period for the internal EfficiencyRatio indicator (> 0).

• period_alpha_fast ( int ) – The period for the fast smoothing constant (> 0).

• period_alpha_slow ( int ) – The period for the slow smoothing constant (> 0 < alpha_fast).

• price_type ( PriceType ) – The specified price type for extracting values from quote ticks.

alpha_diff

The alpha difference value.

Returns :

double

alpha_fast

The alpha fast value.

Returns :

double

alpha_slow

The alpha slow value.

Returns :

double

count

The count of inputs received by the indicator.

Returns :

int

handle_bar ( self , Bar bar ) → void

Update the indicator with the given bar.

Parameters :

bar ( Bar ) – The update bar to handle.

handle_quote_tick ( self , QuoteTick tick ) → void

Update the indicator with the given quote tick.

Parameters :

tick ( QuoteTick ) – The update tick to handle.

handle_trade_tick ( self , TradeTick tick ) → void

Update the indicator with the given trade tick.

Parameters :

tick ( TradeTick ) – The update tick to handle.

has_inputs

If the indicator has received inputs.

Returns :

bool

initialized

If the indicator is warmed up and initialized.

Returns :

bool

name

The name of the indicator.

Returns :

str

period

The moving average period.

Returns :

PriceType

period_alpha_fast

The period of the fast smoothing constant.

Returns :

double

period_alpha_slow

The period of the slow smoothing constant.

Returns :

double

period_er

The period of the internal EfficiencyRatio indicator.

Returns :

double

price_type

The specified price type for extracting values from quote ticks.

Returns :

PriceType

reset ( self ) → void

Reset the indicator.

All stateful fields are reset to their initial value.

update_raw ( self , double value ) → void

Update the indicator with the given raw value.

Parameters :

value ( double ) – The update value.

value

The current output value.

Returns :

double

class ExponentialMovingAverage ( int period , PriceType price_type=PriceType.LAST )

Bases: MovingAverage

An indicator which calculates an exponential moving average across a rolling window.

Parameters :

• period ( int ) – The rolling window period for the indicator (> 0).

• price_type ( PriceType ) – The specified price type for extracting values from quote ticks.

Raises :

ValueError – If period is not positive (> 0).

alpha

The moving average alpha value.

Returns :

double

count

The count of inputs received by the indicator.

Returns :

int

handle_bar ( self , Bar bar ) → void

Update the indicator with the given bar.

Parameters :

bar ( Bar ) – The update bar to handle.

handle_quote_tick ( self , QuoteTick tick ) → void

Update the indicator with the given quote tick.

Parameters :

tick ( QuoteTick ) – The update tick to handle.

handle_trade_tick ( self , TradeTick tick ) → void

Update the indicator with the given trade tick.

Parameters :

tick ( TradeTick ) – The update tick to handle.

has_inputs

If the indicator has received inputs.

Returns :

bool

initialized

If the indicator is warmed up and initialized.

Returns :

bool

name

The name of the indicator.

Returns :

str

period

The moving average period.

Returns :

PriceType

price_type

The specified price type for extracting values from quote ticks.

Returns :

PriceType

reset ( self ) → void

Reset the indicator.

All stateful fields are reset to their initial value.

update_raw ( self , double value ) → void

Update the indicator with the given raw value.

Parameters :

value ( double ) – The update value.

value

The current output value.

Returns :

double

class DonchianChannel ( int period )

Bases: Indicator

Donchian Channels are three lines generated by moving average calculations that comprise an indicator formed by upper and lower bands around a mid-range or median band. The upper band marks the highest price of a instrument_id over N periods while the lower band marks the lowest price of a instrument_id over N periods. The area between the upper and lower bands represents the Donchian Channel.

Parameters :

period ( int ) – The rolling window period for the indicator (> 0).

Raises :

ValueError – If period is not positive (> 0).

handle_bar ( self , Bar bar ) → void

Update the indicator with the given bar.

Parameters :

bar ( Bar ) – The update bar.

handle_quote_tick ( self , QuoteTick tick ) → void

Update the indicator with the given ticks high and low prices.

Parameters :

tick ( TradeTick ) – The tick for the update.

handle_trade_tick ( self , TradeTick tick ) → void

Update the indicator with the given ticks price.

Parameters :

tick ( TradeTick ) – The tick for the update.

has_inputs

If the indicator has received inputs.

Returns :

bool

initialized

If the indicator is warmed up and initialized.

Returns :

bool

lower

The current value of the lower band.

Returns :

double

middle

The current value of the middle band.

Returns :

double

name

The name of the indicator.

Returns :

str

period

The period for the moving average.

Returns :

int

reset ( self ) → void

Reset the indicator.

All stateful fields are reset to their initial value.

update_raw ( self , double high , double low ) → void

Update the indicator with the given prices.

Parameters :

• high ( double ) – The price for the upper channel.

• low ( double ) – The price for the lower channel.

upper

The current value of the upper band.

Returns :

double

class HullMovingAverage ( int period , PriceType price_type=PriceType.LAST )

Bases: MovingAverage

An indicator which calculates a Hull Moving Average (HMA) across a rolling window. The HMA, developed by Alan Hull, is an extremely fast and smooth moving average.

Parameters :

• period ( int ) – The rolling window period for the indicator (> 0).

• price_type ( PriceType ) – The specified price type for extracting values from quote ticks.

Raises :

ValueError – If period is not positive (> 0).

count

The count of inputs received by the indicator.

Returns :

int

handle_bar ( self , Bar bar ) → void

Update the indicator with the given bar.

Parameters :

bar ( Bar ) – The update bar to handle.

handle_quote_tick ( self , QuoteTick tick ) → void

Update the indicator with the given quote tick.

Parameters :

tick ( QuoteTick ) – The update tick to handle.

handle_trade_tick ( self , TradeTick tick ) → void

Update the indicator with the given trade tick.

Parameters :

tick ( TradeTick ) – The update tick to handle.

has_inputs

If the indicator has received inputs.

Returns :

bool

initialized

If the indicator is warmed up and initialized.

Returns :

bool

name

The name of the indicator.

Returns :

str

period

The moving average period.

Returns :

PriceType

price_type

The specified price type for extracting values from quote ticks.

Returns :

PriceType

reset ( self ) → void

Reset the indicator.

All stateful fields are reset to their initial value.

update_raw ( self , double value ) → void

Update the indicator with the given raw value.

Parameters :

value ( double ) – The update value.

value

The current output value.

Returns :

double

class MovingAverageFactory

Bases: object

Provides a factory to construct different moving average indicators.

static create ( int period , ma_type: MovingAverageType , **kwargs ) → MovingAverage

Create a moving average indicator corresponding to the given ma_type.

Parameters :

• period ( int ) – The period of the moving average (> 0).

• ma_type ( MovingAverageType ) – The moving average type.

Returns :

MovingAverage

Raises :

ValueError – If period is not positive (> 0).

class SimpleMovingAverage ( int period , PriceType price_type=PriceType.LAST )

Bases: MovingAverage

An indicator which calculates a simple moving average across a rolling window.

Parameters :

• period ( int ) – The rolling window period for the indicator (> 0).

• price_type ( PriceType ) – The specified price type for extracting values from quote ticks.

Raises :

ValueError – If period is not positive (> 0).

count

The count of inputs received by the indicator.

Returns :

int

handle_bar ( self , Bar bar ) → void

Update the indicator with the given bar.

Parameters :

bar ( Bar ) – The update bar to handle.

handle_quote_tick ( self , QuoteTick tick ) → void

Update the indicator with the given quote tick.

Parameters :

tick ( QuoteTick ) – The update tick to handle.

handle_trade_tick ( self , TradeTick tick ) → void

Update the indicator with the given trade tick.

Parameters :

tick ( TradeTick ) – The update tick to handle.

has_inputs

If the indicator has received inputs.

Returns :

bool

initialized

If the indicator is warmed up and initialized.

Returns :

bool

name

The name of the indicator.

Returns :

str

period

The moving average period.

Returns :

PriceType

price_type

The specified price type for extracting values from quote ticks.

Returns :

PriceType

reset ( self ) → void

Reset the indicator.

All stateful fields are reset to their initial value.

update_raw ( self , double value ) → void

Update the indicator with the given raw value.

Parameters :

value ( double ) – The update value.

value

The current output value.

Returns :

double

class WeightedMovingAverage ( int period , weights=None , PriceType price_type=PriceType.LAST )

Bases: MovingAverage

An indicator which calculates a weighted moving average across a rolling window.

Parameters :

• period ( int ) – The rolling window period for the indicator (> 0).

• weights ( iterable ) – The weights for the moving average calculation (if not None then = period).

• price_type ( PriceType ) – The specified price type for extracting values from quote ticks.

Raises :

ValueError – If period is not positive (> 0).

count

The count of inputs received by the indicator.

Returns :

int

handle_bar ( self , Bar bar ) → void

Update the indicator with the given bar.

Parameters :

bar ( Bar ) – The update bar to handle.

handle_quote_tick ( self , QuoteTick tick ) → void

Update the indicator with the given quote tick.

Parameters :

tick ( QuoteTick ) – The update tick to handle.

handle_trade_tick ( self , TradeTick tick ) → void

Update the indicator with the given trade tick.

Parameters :

tick ( TradeTick ) – The update tick to handle.

has_inputs

If the indicator has received inputs.

Returns :

bool

initialized

If the indicator is warmed up and initialized.

Returns :

bool

name

The name of the indicator.

Returns :

str

period

The moving average period.

Returns :

PriceType

price_type

The specified price type for extracting values from quote ticks.

Returns :

PriceType

reset ( self ) → void

Reset the indicator.

All stateful fields are reset to their initial value.

update_raw ( self , double value ) → void

Update the indicator with the given raw value.

Parameters :

value ( double ) – The update value.

value

The current output value.

Returns :

double

weights

The weights for the moving average calculation.

Returns :

np.ndarray[float64]

class AverageTrueRange ( int period , ma_type: MovingAverageType = MovingAverageType.SIMPLE , bool use_previous=True , double value_floor=0 )

Bases: Indicator

An indicator which calculates the average true range across a rolling window. Different moving average types can be selected for the inner calculation.

Parameters :

• period ( int ) – The rolling window period for the indicator (> 0).

• ma_type ( MovingAverageType ) – The moving average type for the indicator (cannot be None).

• use_previous ( bool ) – The boolean flag indicating whether previous price values should be used. (note: only applicable for update() . update_mid() will need to use previous price.

• value_floor ( double ) – The floor (minimum) output value for the indicator (>= 0).

handle_bar ( self , Bar bar ) → void

Update the indicator with the given bar.

Parameters :

bar ( Bar ) – The update bar.

handle_quote_tick ( self , QuoteTick tick ) → void

Abstract method (implement in subclass).

handle_trade_tick ( self , TradeTick tick ) → void

Abstract method (implement in subclass).

has_inputs

If the indicator has received inputs.

Returns :

bool

initialized

If the indicator is warmed up and initialized.

Returns :

bool

name

The name of the indicator.

Returns :

str

period

The window period.

Returns :

int

reset ( self ) → void

Reset the indicator.

All stateful fields are reset to their initial value.

update_raw ( self , double high , double low , double close ) → void

Update the indicator with the given raw values.

Parameters :

• high ( double ) – The high price.

• low ( double ) – The low price.

• close ( double ) – The close price.

value

The current value.

Returns :

double

class BollingerBands ( int period , double k , ma_type: MovingAverageType = MovingAverageType.SIMPLE )

Bases: Indicator

A Bollinger Band® is a technical analysis tool defined by a set of trend lines plotted two standard deviations (positively and negatively) away from a simple moving average (SMA) of an instruments price, which can be adjusted to user preferences.

Parameters :

• period ( int ) – The rolling window period for the indicator (> 0).

• k ( double ) – The standard deviation multiple for the indicator (> 0).

• ma_type ( MovingAverageType ) – The moving average type for the indicator.

Raises :

• ValueError – If period is not positive (> 0).

• ValueError – If k is not positive (> 0).

handle_bar ( self , Bar bar ) → void

Update the indicator with the given bar.

Parameters :

bar ( Bar ) – The update bar.

handle_quote_tick ( self , QuoteTick tick ) → void

Update the indicator with the given tick.

Parameters :

tick ( TradeTick ) – The tick for the update.

handle_trade_tick ( self , TradeTick tick ) → void

Update the indicator with the given tick.

Parameters :

tick ( TradeTick ) – The tick for the update.

has_inputs

If the indicator has received inputs.

Returns :

bool

initialized

If the indicator is warmed up and initialized.

Returns :

bool

k

The standard deviation multiple.

Returns :

double

lower

The current value of the lower band.

Returns :

double

middle

The current value of the middle band.

Returns :

double

name

The name of the indicator.

Returns :

str

period

The period for the moving average.

Returns :

int

reset ( self ) → void

Reset the indicator.

All stateful fields are reset to their initial value.

update_raw ( self , double high , double low , double close ) → void

Update the indicator with the given prices.

Parameters :

• high ( double ) – The high price for calculations.

• low ( double ) – The low price for calculations.

• close ( double ) – The closing price for calculations

upper

The current value of the upper band.

Returns :

double

class EfficiencyRatio ( int period )

Bases: Indicator

An indicator which calculates the efficiency ratio across a rolling window. The Kaufman Efficiency measures the ratio of the relative market speed in relation to the volatility, this could be thought of as a proxy for noise.

Parameters :

period ( int ) – The rolling window period for the indicator (>= 2).

Raises :

ValueError – If period is not >= 2.

handle_bar ( self , Bar bar ) → void

Update the indicator with the given bar.

Parameters :

bar ( Bar ) – The update bar.

handle_quote_tick ( self , QuoteTick tick ) → void

Abstract method (implement in subclass).

handle_trade_tick ( self , TradeTick tick ) → void

Abstract method (implement in subclass).

has_inputs

If the indicator has received inputs.

Returns :

bool

initialized

If the indicator is warmed up and initialized.

Returns :

bool

name

The name of the indicator.

Returns :

str

period

The window period.

Returns :

int

reset ( self ) → void

Reset the indicator.

All stateful fields are reset to their initial value.

update_raw ( self , double price ) → void

Update the indicator with the given price.

Parameters :

price ( double ) – The update price.

value

The current value.

Returns :

double

class FuzzyCandle ( CandleDirection direction , CandleSize size , CandleBodySize body_size , CandleWickSize upper_wick_size , CandleWickSize lower_wick_size )

Bases: object

Represents a fuzzy candle.

Parameters :

• direction ( CandleDirection ) – The candle direction.

• size ( CandleSize ) – The candle fuzzy size.

• body_size ( CandleBodySize ) – The candle fuzzy body size.

• upper_wick_size ( CandleWickSize ) – The candle fuzzy upper wick size.

• lower_wick_size ( CandleWickSize ) – The candle fuzzy lower wick size.

body_size

The candles fuzzy body size.

Returns :

CandleBodySize

direction

The candles close direction.

Returns :

CandleDirection

lower_wick_size

The candles fuzzy lower wick size.

Returns :

CandleWickSize

size

The candles fuzzy overall size.

Returns :

CandleSize

upper_wick_size

The candles fuzzy upper wick size.

Returns :

CandleWickSize

class FuzzyCandlesticks ( int period , double threshold1=0.5 , double threshold2=1.0 , double threshold3=2.0 , double threshold4=3.0 )

Bases: Indicator

An indicator which fuzzifies bar data to produce fuzzy candlesticks. Bar data is dimensionally reduced via fuzzy feature extraction.

Parameters :

• period ( int ) – The rolling window period for the indicator (> 0).

• threshold1 ( float ) – The membership function x threshold1 (>= 0).

• threshold2 ( float ) – The membership function x threshold2 (> threshold1).

• threshold3 ( float ) – The membership function x threshold3 (> threshold2).

• threshold4 ( float ) – The membership function x threshold4 (> threshold3).

handle_bar ( self , Bar bar ) → void

Update the indicator with the given bar.

Parameters :

bar. ( The update ) –

handle_quote_tick ( self , QuoteTick tick ) → void

Abstract method (implement in subclass).

handle_trade_tick ( self , TradeTick tick ) → void

Abstract method (implement in subclass).

has_inputs

If the indicator has received inputs.

Returns :

bool

initialized

If the indicator is warmed up and initialized.

Returns :

bool

name

The name of the indicator.

Returns :

str

period

The window period.

Returns :

int

reset ( self ) → void

Reset the indicator.

All stateful fields are reset to their initial value.

update_raw ( self , double open , double high , double low , double close ) → void

Update the indicator with the given raw values.

Parameters :

• open ( double ) – The open price.

• high ( double ) – The high price.

• low ( double ) – The low price.

• close ( double ) – The close price.

value

The last fuzzy candle.

Returns :

FuzzyCandle

vector

The fuzzy candle represented as a vector of ints.

Returns :

list[int]

class KeltnerChannel ( int period , double k_multiplier , ma_type: MovingAverageType = MovingAverageType.EXPONENTIAL , ma_type_atr: MovingAverageType = MovingAverageType.SIMPLE , bool use_previous=True , double atr_floor=0 )

Bases: Indicator

The Keltner channel is a volatility based envelope set above and below a central moving average. Traditionally the middle band is an EMA based on the typical price (high + low + close) / 3, the upper band is the middle band plus the ATR. The lower band is the middle band minus the ATR.

Parameters :

• period ( int ) – The rolling window period for the indicator (> 0).

• k_multiplier ( double ) – The multiplier for the ATR (> 0).

• ma_type ( MovingAverageType ) – The moving average type for the middle band (cannot be None).

• ma_type_atr ( MovingAverageType ) – The moving average type for the internal ATR (cannot be None).

• use_previous ( bool ) – The boolean flag indicating whether previous price values should be used.

• atr_floor ( double ) – The ATR floor (minimum) output value for the indicator (>= 0).

handle_bar ( self , Bar bar ) → void

Update the indicator with the given bar.

Parameters :

bar ( Bar ) – The update bar.

handle_quote_tick ( self , QuoteTick tick ) → void

Abstract method (implement in subclass).

handle_trade_tick ( self , TradeTick tick ) → void

Abstract method (implement in subclass).

has_inputs

If the indicator has received inputs.

Returns :

bool

initialized

If the indicator is warmed up and initialized.

Returns :

bool

k_multiplier

The k multiplier.

Returns :

double

lower

The current value of the lower channel.

Returns :

double

middle

The current value of the middle channel.

Returns :

double

name

The name of the indicator.

Returns :

str

period

The window period.

Returns :

int

reset ( self ) → void

Reset the indicator.

All stateful fields are reset to their initial value.

update_raw ( self , double high , double low , double close ) → void

Update the indicator with the given raw values.

Parameters :

• high ( double ) – The high price.

• low ( double ) – The low price.

• close ( double ) – The close price.

upper

The current value of the upper channel.

Returns :

double

class KeltnerPosition ( int period , double k_multiplier , ma_type: MovingAverageType = MovingAverageType.EXPONENTIAL , ma_type_atr: MovingAverageType = MovingAverageType.SIMPLE , bool use_previous=True , double atr_floor=0 )

Bases: Indicator

An indicator which calculates the relative position of the given price within a defined Keltner channel. This provides a measure of the relative ‘extension’ of a market from the mean, as a multiple of volatility.

Parameters :

• period ( int ) – The rolling window period for the indicator (> 0).

• k_multiplier ( double ) – The multiplier for the ATR (> 0).

• ma_type ( MovingAverageType ) – The moving average type for the middle band (cannot be None).

• ma_type_atr ( MovingAverageType ) – The moving average type for the internal ATR (cannot be None).

• use_previous ( bool ) – The boolean flag indicating whether previous price values should be used.

• atr_floor ( double ) – The ATR floor (minimum) output value for the indicator (>= 0).

handle_bar ( self , Bar bar ) → void

Update the indicator with the given bar.

Parameters :

bar ( Bar ) – The update bar.

handle_quote_tick ( self , QuoteTick tick ) → void

Abstract method (implement in subclass).

handle_trade_tick ( self , TradeTick tick ) → void

Abstract method (implement in subclass).

has_inputs

If the indicator has received inputs.

Returns :

bool

initialized

If the indicator is warmed up and initialized.

Returns :

bool

k_multiplier

The K multiplier.

Returns :

double

name

The name of the indicator.

Returns :

str

period

The window period.

Returns :

int

reset ( self ) → void

Reset the indicator.

All stateful fields are reset to their initial value.

update_raw ( self , double high , double low , double close ) → void

Update the indicator with the given raw value.

Parameters :

• high ( double ) – The high price.

• low ( double ) – The low price.

• close ( double ) – The close price.

value

The current value.

Returns :

double

class MovingAverageConvergenceDivergence ( int fast_period , int slow_period , ma_type: MovingAverageType = MovingAverageType.EXPONENTIAL , PriceType price_type=PriceType.LAST )

Bases: Indicator

An indicator which calculates the difference between two moving averages. Different moving average types can be selected for the inner calculation.

Parameters :

• fast_period ( int ) – The period for the fast moving average (> 0).

• slow_period ( int ) – The period for the slow moving average (> 0 & > fast_sma).

• ma_type ( MovingAverageType ) – The moving average type for the calculations.

• price_type ( PriceType ) – The specified price type for extracting values from quote ticks.

Raises :

• ValueError – If fast_period is not positive (> 0).

• ValueError – If slow_period is not positive (> 0).

• ValueError – If fast_period is not < slow_period .

fast_period

The fast moving average window period.

Returns :

int

handle_bar ( self , Bar bar ) → void

Update the indicator with the given bar.

Parameters :

bar ( Bar ) – The update bar.

handle_quote_tick ( self , QuoteTick tick ) → void

Update the indicator with the given quote tick.

Parameters :

tick ( QuoteTick ) – The update tick to handle.

handle_trade_tick ( self , TradeTick tick ) → void

Update the indicator with the given trade tick.

Parameters :

tick ( TradeTick ) – The update tick to handle.

has_inputs

If the indicator has received inputs.

Returns :

bool

initialized

If the indicator is warmed up and initialized.

Returns :

bool

name

The name of the indicator.

Returns :

str

price_type

The specified price type for extracting values from quote ticks.

Returns :

PriceType

reset ( self ) → void

Reset the indicator.

All stateful fields are reset to their initial value.

slow_period

The slow moving average window period.

Returns :

int

update_raw ( self , double close ) → void

Update the indicator with the given close price.

Parameters :

close ( double ) – The close price.

value

The current value.

Returns :

double

class OnBalanceVolume ( int period=0 )

Bases: Indicator

An indicator which calculates the momentum of relative positive or negative volume.

Parameters :

period ( int ) – The period for the indicator, zero indicates no window (>= 0).

Raises :

ValueError – If period is negative (< 0).

handle_bar ( self , Bar bar ) → void

Update the indicator with the given bar.

Parameters :

bar ( Bar ) – The update bar.

handle_quote_tick ( self , QuoteTick tick ) → void

Abstract method (implement in subclass).

handle_trade_tick ( self , TradeTick tick ) → void

Abstract method (implement in subclass).

has_inputs

If the indicator has received inputs.

Returns :

bool

initialized

If the indicator is warmed up and initialized.

Returns :

bool

name

The name of the indicator.

Returns :

str

period

The window period.

Returns :

int

reset ( self ) → void

Reset the indicator.

All stateful fields are reset to their initial value.

update_raw ( self , double open , double close , double volume ) → void

Update the indicator with the given raw values.

Parameters :

• open ( double ) – The high price.

• close ( double ) – The low price.

• volume ( double ) – The close price.

value

The current value.

Returns :

double

class Pressure ( int period , ma_type: MovingAverageType = MovingAverageType.EXPONENTIAL , double atr_floor=0 )

Bases: Indicator

An indicator which calculates the relative volume (multiple of average volume) to move the market across a relative range (multiple of ATR).

Parameters :

• period ( int ) – The period for the indicator (> 0).

• ma_type ( MovingAverageType ) – The moving average type for the calculations.

• atr_floor ( double ) – The ATR floor (minimum) output value for the indicator (>= 0.).

Raises :

• ValueError – If period is not positive (> 0).

• ValueError – If atr_floor is negative (< 0).

handle_bar ( self , Bar bar ) → void

Update the indicator with the given bar.

Parameters :

bar ( Bar ) – The update bar.

handle_quote_tick ( self , QuoteTick tick ) → void

Abstract method (implement in subclass).

handle_trade_tick ( self , TradeTick tick ) → void

Abstract method (implement in subclass).

has_inputs

If the indicator has received inputs.

Returns :

bool

initialized

If the indicator is warmed up and initialized.

Returns :

bool

name

The name of the indicator.

Returns :

str

period

The window period.

Returns :

int

reset ( self ) → void

Reset the indicator.

All stateful fields are reset to their initial value.

update_raw ( self , double high , double low , double close , double volume ) → void

Update the indicator with the given raw values.

Parameters :

• high ( double ) – The high price.

• low ( double ) – The low price.

• close ( double ) – The close price.

• volume ( double ) – The volume.

value

The current value.

Returns :

int

value_cumulative

The cumulative value.

Returns :

int

class RateOfChange ( int period , bool use_log=False )

Bases: Indicator

An indicator which calculates the rate of change of price over a defined period. The return output can be simple or log.

Parameters :

• period ( int ) – The period for the indicator.

• use_log ( bool ) – Use log returns for value calculation.

Raises :

ValueError – If period is not > 1.

handle_bar ( self , Bar bar ) → void

Update the indicator with the given bar.

Parameters :

bar ( Bar ) – The update bar.

handle_quote_tick ( self , QuoteTick tick ) → void

Abstract method (implement in subclass).

handle_trade_tick ( self , TradeTick tick ) → void

Abstract method (implement in subclass).

has_inputs

If the indicator has received inputs.

Returns :

bool

initialized

If the indicator is warmed up and initialized.

Returns :

bool

name

The name of the indicator.

Returns :

str

period

The window period.

Returns :

int

reset ( self ) → void

Reset the indicator.

All stateful fields are reset to their initial value.

update_raw ( self , double price ) → void

Update the indicator with the given price.

Parameters :

price ( double ) – The update price.

value

The current value.

Returns :

double

class RelativeStrengthIndex ( int period , ma_type: MovingAverageType = MovingAverageType.EXPONENTIAL )

Bases: Indicator

An indicator which calculates a relative strength index (RSI) across a rolling window.

Parameters :

• ma_type ( int ) – The moving average type for average gain/loss.

• period ( MovingAverageType ) – The rolling window period for the indicator.

Raises :

ValueError – If period is not positive (> 0).

handle_bar ( self , Bar bar ) → void

Update the indicator with the given bar.

Parameters :

bar ( Bar ) – The update bar.

handle_quote_tick ( self , QuoteTick tick ) → void

Abstract method (implement in subclass).

handle_trade_tick ( self , TradeTick tick ) → void

Abstract method (implement in subclass).

has_inputs

If the indicator has received inputs.

Returns :

bool

initialized

If the indicator is warmed up and initialized.

Returns :

bool

name

The name of the indicator.

Returns :

str

period

The window period.

Returns :

int

reset ( self ) → void

Reset the indicator.

All stateful fields are reset to their initial value.

update_raw ( self , double value ) → void

Update the indicator with the given value.

Parameters :

value ( double ) – The update value.

value

The current value.

Returns :

double

class SpreadAnalyzer ( InstrumentId instrument_id , int capacity )

Bases: Indicator

Provides various spread analysis metrics.

Parameters :

• instrument_id ( InstrumentId ) – The instrument ID for the tick updates.

• capacity ( int ) – The max length for the internal QuoteTick deque (determines averages).

Raises :

ValueError – If capacity is not positive (> 0).

average

The current average spread.

Returns :

double

capacity

The indicators spread capacity.

Returns :

int

current

The current spread.

Returns :

double

handle_bar ( self , Bar bar ) → void

Abstract method (implement in subclass).

handle_quote_tick ( self , QuoteTick tick ) → void

Update the analyzer with the given quote tick.

Parameters :

tick ( QuoteTick ) – The tick for the update.

Raises :

ValueError – If tick.instrument_id does not equal the analyzers instrument ID.

handle_trade_tick ( self , TradeTick tick ) → void

Abstract method (implement in subclass).

has_inputs

If the indicator has received inputs.

Returns :

bool

initialized

If the indicator is warmed up and initialized.

Returns :

bool

instrument_id

The indicators instrument ID.

Returns :

InstrumentId

name

The name of the indicator.

Returns :

str

reset ( self ) → void

Reset the indicator.

All stateful fields are reset to their initial value.

class Stochastics ( int period_k , int period_d )

Bases: Indicator

An oscillator which can indicate when an asset may be over bought or over sold.

Parameters :

• period_k ( int ) – The period for the K line.

• period_d ( int ) – The period for the D line.

Raises :

• ValueError – If period_k is not positive (> 0).

• ValueError – If period_d is not positive (> 0).

References

https://www.forextraders.com/forex-education/forex-indicators/stochastics-indicator-explained/

handle_bar ( self , Bar bar ) → void

Update the indicator with the given bar.

Parameters :

bar ( Bar ) – The update bar.

handle_quote_tick ( self , QuoteTick tick ) → void

Abstract method (implement in subclass).

handle_trade_tick ( self , TradeTick tick ) → void

Abstract method (implement in subclass).

has_inputs

If the indicator has received inputs.

Returns :

bool

initialized

If the indicator is warmed up and initialized.

Returns :

bool

name

The name of the indicator.

Returns :

str

period_d

The D window period.

Returns :

int

period_k

The K window period.

Returns :

int

reset ( self ) → void

Reset the indicator.

All stateful fields are reset to their initial value.

update_raw ( self , double high , double low , double close ) → void

Update the indicator with the given raw values.

Parameters :

• high ( double ) – The high price.

• low ( double ) – The low price.

• close ( double ) – The close price.

value_d

The current D line value.

Returns :

double

value_k

The current K line value..

Returns :

double

class Swings ( int period )

Bases: Indicator

A swing indicator which calculates and stores various swing metrics.

Parameters :

period ( int ) – The rolling window period for the indicator (> 0).

changed

If the swing direction changed at the last bar.

Returns :

bool

direction

The current swing direction.

Returns :

int

duration

The current swing duration.

Returns :

int

handle_bar ( self , Bar bar ) → void

Update the indicator with the given bar.

Parameters :

bar ( Bar ) – The update bar.

handle_quote_tick ( self , QuoteTick tick ) → void

Abstract method (implement in subclass).

handle_trade_tick ( self , TradeTick tick ) → void

Abstract method (implement in subclass).

has_inputs

If the indicator has received inputs.

Returns :

bool

high_datetime

The last swing high time.

Returns :

datetime

high_price

The last swing high price.

Returns :

double

initialized

If the indicator is warmed up and initialized.

Returns :

bool

length

The length of the current swing.

Returns :

double

low_datetime

The last swing low time.

Returns :

datetime

low_price

The last swing low price.

Returns :

double

name

The name of the indicator.

Returns :

str

period

The window period.

Returns :

int

reset ( self ) → void

Reset the indicator.

All stateful fields are reset to their initial value.

since_high

The bars since the last swing high.

Returns :

int

since_low

The bars since the last swing low.

Returns :

int

update_raw ( self , double high , double low , datetime timestamp ) → void

Update the indicator with the given raw values.

Parameters :

• high ( double ) – The high price.

• low ( double ) – The low price.

• timestamp ( datetime ) – The current timestamp.

class VolatilityRatio ( int fast_period , int slow_period , ma_type: MovingAverageType = MovingAverageType.SIMPLE , bool use_previous=True , double value_floor=0 )

Bases: Indicator

An indicator which calculates the ratio of different ranges of volatility. Different moving average types can be selected for the inner ATR calculations.

Parameters :

• fast_period ( int ) – The period for the fast ATR (> 0).

• slow_period ( int ) – The period for the slow ATR (> 0 & > fast_period).

• ma_type ( MovingAverageType ) – The moving average type for the ATR calculations.

• use_previous ( bool ) – The boolean flag indicating whether previous price values should be used.

• value_floor ( double ) – The floor (minimum) output value for the indicator (>= 0).

Raises :

• ValueError – If fast_period is not positive (> 0).

• ValueError – If slow_period is not positive (> 0).

• ValueError – If fast_period is not < slow_period .

• ValueError – If value_floor is negative (< 0).

fast_period

The period of the fast ATR.

Returns :

int

handle_bar ( self , Bar bar ) → void

Update the indicator with the given bar.

Parameters :

bar ( Bar ) – The update bar.

handle_quote_tick ( self , QuoteTick tick ) → void

Abstract method (implement in subclass).

handle_trade_tick ( self , TradeTick tick ) → void

Abstract method (implement in subclass).

has_inputs

If the indicator has received inputs.

Returns :

bool

initialized

If the indicator is warmed up and initialized.

Returns :

bool

name

The name of the indicator.

Returns :

str

reset ( self ) → void

Reset the indicator.

All stateful fields are reset to their initial value.

slow_period

The period of the slow ATR.

Returns :

int

update_raw ( self , double high , double low , double close ) → void

Update the indicator with the given raw value.

Parameters :

• high ( double ) – The high price.

• low ( double ) – The low price.

• close ( double ) – The close price.

value

The current value.

Returns :

double

class VolumeWeightedAveragePrice

Bases: Indicator

An indicator which calculates the volume weighted average price for the day.

handle_bar ( self , Bar bar ) → void

Update the indicator with the given bar.

Parameters :

bar ( Bar ) – The update bar.

handle_quote_tick ( self , QuoteTick tick ) → void

Abstract method (implement in subclass).

handle_trade_tick ( self , TradeTick tick ) → void

Abstract method (implement in subclass).

has_inputs

If the indicator has received inputs.

Returns :

bool

initialized

If the indicator is warmed up and initialized.

Returns :

bool

name

The name of the indicator.

Returns :

str

reset ( self ) → void

Reset the indicator.

All stateful fields are reset to their initial value.

update_raw ( self , double price , double volume , datetime timestamp ) → void

Update the indicator with the given raw values.

Parameters :

• price ( double ) – The update price.

• volume ( double ) – The update volume.

• timestamp ( datetime ) – The current timestamp.

value

The current value.

Returns :

double

class MovingAverage ( int period , list params , PriceType price_type )

Bases: Indicator

The base class for all moving average type indicators.

Parameters :

• period ( int ) – The rolling window period for the indicator (> 0).

• params ( list ) – The initialization parameters for the indicator.

• price_type ( PriceType , optional ) – The specified price type for extracting values from quote ticks.

Warning

This class should not be used directly, but through a concrete subclass.

count

The count of inputs received by the indicator.

Returns :

int

handle_bar ( self , Bar bar ) → void

Abstract method (implement in subclass).

handle_quote_tick ( self , QuoteTick tick ) → void

Abstract method (implement in subclass).

handle_trade_tick ( self , TradeTick tick ) → void

Abstract method (implement in subclass).

has_inputs

If the indicator has received inputs.

Returns :

bool

initialized

If the indicator is warmed up and initialized.

Returns :

bool

name

The name of the indicator.

Returns :

str

period

The moving average period.

Returns :

PriceType

price_type

The specified price type for extracting values from quote ticks.

Returns :

PriceType

reset ( self ) → void

Reset the indicator.

All stateful fields are reset to their initial value.

update_raw ( self , double value ) → void

Update the indicator with the given raw value.

Parameters :

value ( double ) – The update value.

value

The current output value.

Returns :

double

class MovingAverageType ( value , names = None , * , module = None , qualname = None , type = None , start = 1 , boundary = None )

Bases: Enum

Represents the type of moving average.

class Indicator ( list params )

Bases: object

The base class for all indicators.

Parameters :

params ( list ) – The initialization parameters for the indicator.

Warning

This class should not be used directly, but through a concrete subclass.

handle_bar ( self , Bar bar ) → void

Abstract method (implement in subclass).

handle_quote_tick ( self , QuoteTick tick ) → void

Abstract method (implement in subclass).

handle_trade_tick ( self , TradeTick tick ) → void

Abstract method (implement in subclass).

has_inputs

If the indicator has received inputs.

Returns :

bool

initialized

If the indicator is warmed up and initialized.

Returns :

bool

name

The name of the indicator.

Returns :

str

reset ( self ) → void

Reset the indicator.

All stateful fields are reset to their initial value.