live-trading-indicators 0.3.2

A package for obtaining quotation data from various online and offline sources and calculating the values of technical indicators based on these quotations.

live_trading_indicators

A package for obtaining quotation data from various online and offline sources and calculating the values of technical indicators based on these quotations. Data from online sources is received automatically. It is possible to receive data in real time. The received data is stored in a file cache with the possibility of quick use. Data integrity is carefully monitored.

As a source of quotes, you can use DataFrame Pandas and also receive data from the exchange online. The current version allows you to receive exchange data Binance (spot, futures USD-M, futures COIN-M).

The data can be obtained in numpy ndarray and Dataframe Pandas..

Package data from online sources is stored by default in the .lti folder of the user's home directory. A significant amount of data can be created in this folder, depending on the number of instruments and their timeframes. Only data received from online sources is saved.

Version 0.3.2

what's new

0.3.2

• New indicator - OHLCVM (quotes with the price of the maximum volume of the bar)
• New indicator - VolumeClusters (OHLCVM and volume clusters is determined by the lower timeframe)
• New indicator - ROC
• New indicator - TEMA
• New indicator - TRIX
• New indicator - ADX
• New indicator - VWMA

0.3.1

• New indicator - Parabolic SAR.

0.3.0

• Can use Pandas Dataframe as a source.
• New indicator - BollingerBands.
• New indicator - CCI.
• New indicator - Supertrend.
• New types of moving averages, now the moving average can be 'sma', 'ema', 'ema0', 'mma', 'mma0' (types of move average).
• Indicators can have nan values.

Installing

pip install live_trading_indicators

Feedback

• Discussions
• Issues

Quick start

Getting quotes online

import live_trading_indicators as lti

indicators = lti.Indicators('binance')
ohlcv = indicators.OHLCV('ethusdt', '4h', '2022-07-01', '2022-07-01')
print(ohlcv)

Result:

<OHLCV data> symbol: ethusdt, timeframe: 4h
date: 2022-07-01T00:00 - 2022-07-01T20:00 (length: 6) 
empty bars: count 0 (0.00 %), max consecutive 0
Values: time, open, high, low, close, volume

Now ohlcv contains quotes in numpy array (ohlcv.time, ohlcv.open, ohlcv.high, ohlcv.low, ohlcv.close, ohlcv.volume).

Export in pandas dataframe

dataframe = ohlcv.pandas()
print(dataframe.head())

Result:

                 time     open     high      low    close       volume
0 2022-07-01 00:00:00  1071.02  1117.00  1050.46  1054.52  430646.8720
1 2022-07-01 04:00:00  1054.52  1076.43  1045.41  1066.81  275557.9328
2 2022-07-01 08:00:00  1066.81  1086.44  1033.44  1050.22  252105.5665
3 2022-07-01 12:00:00  1050.21  1074.23  1043.00  1056.86  298465.0695
4 2022-07-01 16:00:00  1056.86  1083.10  1054.82  1067.91  158796.2248

Example of getting indicator data from binance quotes online

import live_trading_indicators as lti

indicators = lti.Indicators('binance')
macd = indicators.MACD('ethusdt', '1h', '2022-07-01', '2022-07-30', period_short=15, period_long=26, period_signal=9)
print(macd[40:].pandas().head())

Result:

                 time      macd    signal      hist
0 2022-07-02 16:00:00 -1.659356 -3.498261  1.838905
1 2022-07-02 17:00:00 -0.981187 -3.111405  2.130218
2 2022-07-02 18:00:00 -0.072798 -2.604397  2.531599
3 2022-07-02 19:00:00  0.456062 -2.055381  2.511443
4 2022-07-02 20:00:00  0.797304 -1.474812  2.272116

Example of getting indicator data from Pandas quotes

import pandas
import live_trading_indicators as lti

dataframe = pandas.read_csv('tests/data/ETHUSDT-1m-2022-08-15.zip', header=None)
dataframe.rename(columns={0: 'time', 1: 'open', 2: 'high', 3: 'low', 4: 'close', 5: 'volume', }, inplace=True)
indicators = lti.Indicators(dataframe)
macd = indicators.MACD(period_short=15, period_long=26, period_signal=9)
print(macd[40:].pandas().head())

Result:

                 time      macd    signal      hist
0 2022-08-15 00:40:00  3.403958  2.320975  1.082984
1 2022-08-15 00:41:00  3.540428  2.643593  0.896835
2 2022-08-15 00:42:00  3.594786  2.930063  0.664722
3 2022-08-15 00:43:00  3.684476  3.170449  0.514027
4 2022-08-15 00:44:00  3.763257  3.354183  0.409074

Getting real-time data (the last 3 minutes on the 1m timeframe without an incomplete bar)

To get real-time data, you do not need to specify an end date.

import datetime as dt
import live_trading_indicators as lti

utcnow = dt.datetime.utcnow()
print(f'Now is {utcnow} UTC')
indicators = lti.Indicators('binance', utcnow - dt.timedelta(minutes=3))
ohlcv = indicators.OHLCV('btcusdt', '1m')
print(ohlcv.pandas())

Result:

Now is 2022-11-04 09:32:31.528230 UTC
                 time      open      high       low     close     volume
0 2022-11-04 09:29:00  20594.39  20595.60  20591.06  20592.38  177.35380
1 2022-11-04 09:30:00  20592.38  20600.98  20591.75  20600.30  178.40869
2 2022-11-04 09:31:00  20600.98  20623.93  20600.30  20621.45  431.11917

Getting real-time data (the last 3 minutes on the 1m timeframe and an incomplete bar)

To get data containing an incomplete bar, you must specify with_incomplete_bar=True when creating Indicators.

utcnow = dt.datetime.utcnow()
print(f'Now is {utcnow} UTC')
indicators = lti.Indicators('binance', utcnow - dt.timedelta(minutes=3), with_incomplete_bar=True)
ohlcv = indicators.OHLCV('btcusdt', '1m')
print(ohlcv.pandas())

Result:

Now is 2022-11-04 09:37:07.372986 UTC
                 time      open      high       low     close     volume
0 2022-11-04 09:34:00  20614.55  20618.50  20610.76  20615.97  263.96754
1 2022-11-04 09:35:00  20615.61  20624.00  20610.29  20616.53  258.53777
2 2022-11-04 09:36:00  20615.69  20617.75  20609.74  20611.46  199.43313
3 2022-11-04 09:37:00  20611.11  20611.89  20608.17  20609.02   15.15800

Details

All typical tamframes are supported up to 1 day inclusive: 1m, 5m, 15m, 30m, 1h, 2h, 4h, 6h, 8h, 12h, 1d. By default, log messages are output to the console, and you will see similar messages:

2022-11-04 12:32:31,528 Download using api symbol btcusdt timeframe 1m from 2022-11-04T00:00:00.000...

To disable these messages, run the following code and restart python.

import live_trading_indicators as lti
lti.config(print_log=False)

Indicators

When getting indicator values from online source, the first two parameters should be symbol and timeframe. Further, the period can optionally be specified. Then the parameters of the indicator are specified by name. When getting indicator values offline from Pandas DataFrame parameters symbol and timeframe are not specified.

Example (online)

indicators = lti.Indicators('binance', '2022-07-01', '2022-08-30')
sma = indicators.SMA('ethusdt', '1h', period=9)
macd = indicators.MACD('ethusdt', '1h', '2022-07-01', '2022-07-30', period_short=15, period_long=26, period_signal=9)

Example (offline)

dataframe = pandas.readcsv('ETHUSDT-1m-2022-08-15.zip')
indicators = lti.Indicators(dataframe)
macd = indicators.MACD(period_short=15, period_long=26, period_signal=9)
sma = indicators.SMA('2022-08-15T03:00', '2022-08-15T06:00', period=9)

The list of supported indicators and their parameters can be obtained by calling lti.help(). Parameters symbol, timeframe, time_start, time_end are omitted for brevity.

import live_trading_indicators as lti
print(lti.help())

• ADX(period=14, smooth=14, ma_type='mma') - Average directional movement index.
• ATR(smooth=14, ma_type='mma') - Average true range.
• BollingerBands(period=20, deviation=2, ma_type='sma', value='close') - Bollinger bands.
• CCI(period=) - Commodity channel index.
• EMA(period=, value='close') - Exponential moving average.
• MA(period=, value='close', ma_type='sma') - Moving average of different types: 'sma', 'ema', 'mma', 'ema0', 'mma0'
• MACD(period_short=, period_long=, period_signal=, ma_type='ema', ma_type_signal='sma', value='close') - Moving Average Convergence/Divergence.
• OBV() - On Balance Volume.
• OHLCV() - Quotes: open, high, low, close, volume.
• OHLCVM(timeframe_low='1m', bars_on_bins=6) - Quotes and the price of the maximum volume: open, high, low, close, volume, mv_price. The price of the maximum volume is determined by the lower timeframe (default 1m).
• ParabolicSAR(start=0.02, maximum=0.2, increment=0.02) - Parabolic SAR.
• ROC(period=14, ma_period=14, ma_type='sma', value='close') - Rate of Change.
• RSI(period=, ma_type='mma', value='close') - Relative strength index.
• SMA(period=, value='close') - Simple moving average.
• Stochastic(period=, period_d=, smooth=3, ma_type='sma') - Stochastic oscillator.
• Supertrend(period=10, multipler=3, ma_type='mma') - Supertrend indicator.
• TEMA(period=, value='close') - Triple exponential moving average.
• TRIX(period=, value='close') - TRIX oscillator.
• VWMA(period=, value='close') - Volume Weighted Moving Average.
• VolumeClusters(timeframe_low='1m', bars_on_bins=6) - OHLCVM and volume clusters is determined by the lower timeframe.

Specifying the period

The period can be specified both during initialization of Indicators and in the indicator parameters. The data type when specifying the period can be datetime.date, datetime.datetime, numpy.datetime64, string, or a number in the format YYYYMMDD.

There are three strategies for specifying a time period:

1. The time period is specified when creating Indicators (base period)

Indicator values can be obtained for any period within the interval specified for Indicators. When exiting the specified interval, an exception will be raised LTIExceptionOutOfThePeriod.

Example

indicators = lti.Indicators('binance', 20220901, 20220930) # the base period
ohlcv = indicators.OHLCV('um/ethusdt', '1h') # the period is not specified, the base period is used
sma22 = indicators.SMA('um/ethusdt', '1h', 20220905, 20220915, period=22) # the period is specified
sma15 = indicators.SMA('um/ethusdt', '1h', 20220905, 20221015, period=15) # ERROR, going beyond the boundaries of the base period

2. The time period is not specified when creating Indicators

In this variant, when getting indicator data, the period should always be specified. When the interval is extended, data may be updated, this may slow down the work.

Example

indicators = lti.Indicators('binance') # period not specified
ohlcv = indicators.OHLCV('um/ethusdt', '1h', 20220801, 20220815) # the period must be specified
ma22 = indicators.SMA('um/ethusdt', '1h', 'close', 22, 20220905, 20220915) # the period must be specified

3. Real-time mode

In this variant, when creating Indicators, only the start date is specified. The data is always received up to the current moment. When creating Indicators, you can specify with_incomplete_bar=True, then the data of the last, incomplete bar will be received. See the example above.

Binance trading symbol codes

• For the spot market, they completely coincide with the code on binance (btcusdt, ethusdt, etc.)
• For the futures market USD-M, codes are prefixed with um/ (um/btcusdt, um/ethusdt, etc.)
• For the futures market COIN-M, codes are prefixed with cm/ (cm/btcusd_perp, cm/ethusd_perp, etc.)

Types of move average

live-trading-indicators supports the following types of moving averages:

• 'sma' - simple move average
• 'ema' - classical exponential moving average with alpha = 2 / (n + 1), initialized by SMA (as in binance EMA)
• 'ema0' - classical exponential moving average with alpha = 2 / (n + 1), initialized by the first value
• 'mma' - Modified moving average with alpha = 1 / n, initialized by SMA (as in some binance indicators)
• 'mma0' - Modified moving average с alpha = 1 / n, initialized by the first value