laakhay-ta 0.2.9

Stateless Technical Analysis Library built with ♥︎ by Laakhay

Laakhay TA

A stateless technical analysis toolkit built on immutable data structures, explicit indicator metadata, and algebraic composition. Provides a domain-specific language (DSL) for expressing trading strategies with support for multi-source data (OHLCV, trades, orderbook, liquidations), filtering, aggregation, time-shifted queries, and explicit indicator input sources.

Core Principles

• Immutable & Stateless: All data structures (Bar, OHLCV, Series, Dataset) are immutable with timezone-aware timestamps and Decimal precision
• Registry-Driven: Indicators expose schemas, enforce parameters, and can be extended at runtime
• Algebraic Composition: Indicators, literals, and sources compose into expression DAGs with dependency inspection
• Multi-Source Support: Access data from OHLCV, trades, orderbook, and liquidation sources
• Explicit Input Sources: Indicators can operate on arbitrary series specified in expressions
• Requirement Planning: Expression planner computes data requirements, lookbacks, and serializes them for backend services

Installation

uv pip install laakhay-ta

Requirements: Python 3.12+

Quick Start

Basic Indicator Usage

from datetime import UTC, datetime
from decimal import Decimal

import laakhay.ta as ta
from laakhay.ta import dataset
from laakhay.ta.core import OHLCV, align_series

# Create OHLCV data
ohlcv = OHLCV(
    timestamps=(
        datetime(2024, 1, 1, tzinfo=UTC),
        datetime(2024, 1, 2, tzinfo=UTC),
        datetime(2024, 1, 3, tzinfo=UTC),
    ),
    opens=(Decimal("100"), Decimal("101"), Decimal("103")),
    highs=(Decimal("105"),) * 3,
    lows=(Decimal("99"),) * 3,
    closes=(Decimal("101"), Decimal("102"), Decimal("104")),
    volumes=(Decimal("1000"), Decimal("1100"), Decimal("1150")),
    is_closed=(True,) * 3,
    symbol="BTCUSDT",
    timeframe="1h",
)

market = dataset(ohlcv)

# Create indicator handles
sma_fast = ta.indicator("sma", period=2)
sma_slow = ta.indicator("sma", period=3)

# Evaluate on dataset
fast_series = sma_fast(market)
slow_series = sma_slow(market)

# Align and compute
fast, slow = align_series(fast_series, slow_series, how="inner", fill="none", 
                          symbol="BTCUSDT", timeframe="1h")
spread = fast - slow

print(spread.values)  # Decimal results

Expression Composition

# Compose indicators algebraically
signal = sma_fast - sma_slow
result = signal.run(market)

# Inspect requirements
print(signal.describe())
requirements = signal.requirements()
print(requirements.data_requirements)  # Required data sources and fields

Indicator Expression Inputs

New Feature: Indicators can now operate on explicit series specified in expressions, enabling operations on arbitrary data sources.

For details on expression syntax, aliases (mean, median), and lookback usage, see the Expression Language Guide.

Explicit Source Syntax

from laakhay.ta.expr.dsl import compile_expression

# OHLCV sources
expr = compile_expression("sma(BTC.price, period=20)")
expr = compile_expression("sma(BTC.volume, period=10)")

# Non-OHLCV sources (trades, orderbook, liquidations)
expr = compile_expression("sma(BTC.trades.volume, period=20)")
expr = compile_expression("sma(binance.BTC.orderbook.imbalance, period=10)")
expr = compile_expression("sma(BTC.liquidation.volume, period=5)")

# Nested expressions
expr = compile_expression("sma(BTC.high + BTC.low, period=5)")
expr = compile_expression("rsi(BTC.trades.avg_price, period=14)")

# Evaluate expressions
result = expr.run(dataset)

Programmatic API

from laakhay.ta.core import Series
from decimal import Decimal

# Create a custom series
custom_series = Series(
    timestamps=(datetime(2024, 1, 1, tzinfo=UTC),),
    values=(Decimal("100"),),
    symbol="BTCUSDT",
    timeframe="1h"
)

# Use as input_series parameter
sma_handle = ta.sma(input_series=custom_series, period=20)
result = sma_handle.run(market)

Backward Compatibility

Traditional syntax continues to work:

# These all work as before
expr = compile_expression("sma(20)")  # Uses default 'close' field
expr = compile_expression("sma(period=20)")  # Keyword arguments
expr = compile_expression("rsi(14)")  # RSI with default close

Multi-Source Expressions

Access data from multiple sources using attribute chains:

OHLCV Data

from laakhay.ta.expr.dsl import parse_expression_text, compile_expression

# Price and volume
expr = parse_expression_text("BTC/USDT.price > 50000")
expr = parse_expression_text("BTC/USDT.1h.volume > 1000000")

# Multiple timeframes
expr = parse_expression_text("BTC/USDT.1h.price > BTC/USDT.4h.price")

Trade Aggregations

# Volume and count
expr = parse_expression_text("BTC/USDT.trades.volume > 1000000")
expr = parse_expression_text("BTC/USDT.trades.count > 100")

# Filtered aggregations
expr = parse_expression_text("BTC/USDT.trades.filter(amount > 1000000).count > 10")
expr = parse_expression_text("BTC/USDT.trades.sum(amount) > 50000000")
expr = parse_expression_text("BTC/USDT.trades.avg(price) > 50000")

# Aggregation properties
expr = parse_expression_text("BTC/USDT.trades.count > 100")

Orderbook Data

# Imbalance and spread
expr = parse_expression_text("BTC/USDT.orderbook.imbalance > 0.5")
expr = parse_expression_text("binance.BTC.orderbook.spread_bps < 10")
expr = parse_expression_text("BTC/USDT.orderbook.pressure > 0.7")

# Depth analysis
expr = parse_expression_text("BTC/USDT.orderbook.bid_depth > BTC/USDT.orderbook.ask_depth")

Time-Shifted Queries

# Historical comparisons
expr = parse_expression_text("BTC/USDT.price.24h_ago < BTC/USDT.price")
expr = parse_expression_text("BTC/USDT.volume.change_pct_24h > 10")
expr = parse_expression_text("BTC/USDT.price.change_1h > 0")

Exchange and Timeframe Qualifiers

# Exchange-specific data
expr = parse_expression_text("binance.BTC.price > 50000")
expr = parse_expression_text("bybit.BTC.1h.trades.volume > 1000000")

# Timeframe specification
expr = parse_expression_text("BTC.1h.price > BTC.4h.price")
expr = parse_expression_text("binance.BTC.1h.orderbook.imbalance")

Expression Planning and Requirements

The planner computes data requirements, lookbacks, and dependencies:

from laakhay.ta.expr.planner import plan_expression
from laakhay.ta.expr.dsl import compile_expression

# Compile expression
expr = compile_expression("sma(BTC.trades.volume, period=20) > 1000000")
plan = plan_expression(expr._node)

# Access requirements (or use analyze() for derived views)
print(plan.requirements.data_requirements)  # Data sources and fields needed
from laakhay.ta.expr.runtime import analyze
result = analyze("sma(BTC.trades.volume, period=20) > 1000000", exchange="binance")
print(result.required_sources)    # ['trades']
print(result.required_exchanges)  # ['binance'] if specified

# Serialize for backend
plan_dict = plan.to_dict()

Capability Manifest

from laakhay.ta.expr.planner import generate_capability_manifest

manifest = generate_capability_manifest()
print(manifest["sources"])      # Available sources and fields
print(manifest["indicators"])   # Available indicators with metadata
print(manifest["operators"])    # Available operators

Indicator Registry

Inspecting Indicators

# Get indicator schema
schema = ta.describe_indicator("sma")
print(schema.params)           # Parameter definitions
print(schema.metadata)          # Metadata (lookback, fields, etc.)
print(schema.description)       # Documentation

# Check input field metadata
metadata = schema.metadata
print(metadata.input_field)           # Default input field ('close')
print(metadata.input_series_param)   # Parameter name for override ('input_series')

Registering Custom Indicators

from laakhay.ta import SeriesContext, register, Series, Price

@register("mid_price", description="Mid price indicator")
def mid_price(ctx: SeriesContext) -> Series[Price]:
    """Compute mid price from high and low."""
    return (ctx.high + ctx.low) / 2

# Use custom indicator
mid = ta.indicator("mid_price")
result = mid(market)

Indicator Metadata

Indicators declare their metadata including:

• Required fields: Fields needed from context (e.g., ('close',))
• Optional fields: Additional fields that may be used
• Lookback parameters: Parameters that affect lookback window
• Input field: Default input field (e.g., 'close')
• Input series parameter: Parameter name for explicit input override

Streaming and Real-Time Updates

from laakhay.ta.stream import Stream
from laakhay.ta.core.bar import Bar

# Create stream
stream = Stream()
stream.register("sma2", ta.indicator("sma", period=2)._to_expression())

# Update with new bars
base = datetime(2024, 1, 1, tzinfo=UTC)
stream.update_ohlcv("BTCUSDT", "1h", 
    Bar.from_raw(base, 100, 105, 99, 101, 1000, True))
    
update = stream.update_ohlcv("BTCUSDT", "1h",
    Bar.from_raw(base + timedelta(hours=1), 101, 106, 100, 102, 1100, True))

print(update.transitions[0].value)  # Updated indicator value

I/O and Data Loading

CSV Import/Export

# Load from CSV
ohlcv = ta.from_csv("btc_1h.csv", symbol="BTCUSDT", timeframe="1h")
market = dataset(ohlcv)

# Export to CSV
ta.to_csv(ohlcv, "btc_out.csv")

Dataset Construction

from laakhay.ta import dataset

# Single series
market = dataset(ohlcv)

# Multiple series
market = dataset(btc_ohlcv, eth_ohlcv)

# With trades/orderbook data
market = dataset(ohlcv, trades_series, orderbook_series)

Expression Validation and Preview

from laakhay.ta.expr.runtime import validate, preview

# Validate expression syntax and requirements
expr = compile_expression("sma(BTC.price, period=20) > sma(BTC.price, period=50)")
result = validate(expr)

if result.valid:
    print("Expression is valid")
    print(result.requirements)
else:
    print(result.errors)

# Preview expression execution
preview_result = preview(expr, bars=your_bars, symbol="BTC/USDT", timeframe="1h")
print(preview_result.triggers)
print(preview_result.values)

Advanced Features

Complex Expressions

# Multiple indicators with explicit sources
expr = compile_expression(
    "sma(BTC.price, period=20) > sma(BTC.volume, period=10) & "
    "rsi(BTC.trades.avg_price, period=14) < 30"
)

# Nested operations
expr = compile_expression(
    "sma(BTC.high + BTC.low, period=5) > "
    "sma(BTC.trades.volume, period=20)"
)

# Time-shifted comparisons
expr = compile_expression(
    "sma(BTC.price, period=20) > BTC.price.24h_ago"
)

Expression Serialization

from laakhay.ta.expr.dsl.nodes import expression_to_dict, expression_from_dict

# Serialize expression
expr = parse_expression_text("sma(BTC.price, period=20)")
serialized = expression_to_dict(expr)

# Deserialize
restored = expression_from_dict(serialized)

Architecture

Core Components

Component	Responsibility
Core Data	Immutable series (Bar, OHLCV, Series) with timezone-aware timestamps
Expression DSL	Parser and AST for strategy expressions
Indicator Registry	Metadata-driven indicator system with schema validation
Planner	Computes data requirements, lookbacks, and dependencies
Evaluator	Executes expression graphs on datasets
Streaming	Real-time update processing

Expression Graph

Expressions compile to a directed acyclic graph (DAG) where:

• Nodes represent operations (indicators, arithmetic, comparisons)
• Edges represent data dependencies
• Source nodes represent data requirements (OHLCV, trades, etc.)
• Indicator nodes can have explicit input expressions as dependencies

Data Flow

1. Parse: Expression text → AST nodes
2. Compile: AST nodes → Expression graph
3. Plan: Expression graph → Requirements and dependencies
4. Evaluate: Expression graph + Dataset → Results

Development

# Clone repository
git clone https://github.com/laakhay/ta
cd ta

# Setup environment
uv sync --extra dev

# Format code
uv run ruff format laakhay/

# Lint
uv run ruff check --fix laakhay/

# Run tests
PYTHONPATH=$PWD uv run pytest tests/ -v --tb=short

License

MIT License