rtta 0.1.10

Low latency incremental technical analysis

RTTA

Purpose

The purpose of this package is to implement a very low latency incremental technical analysis toolkit. Most technical analysis tool-kits work in a "batch mode" where you hand them a blob of data and in a pandas series and they return a series with the computed data. Incremental updates for these require O(n) work. There is one tool, talipp that is designed to support incremental updates, but it is implemented in pure python and is a little more than an order of magnitude slower than rtta. On a 5995WX talipp's exponential moving average requires 465ns; rtta's requires 36ns. A bare python function call requires 35ns, so we're about as fast as fast can be.

Installation

pip install rtta

Usage

Each operator has a paramater fillna. If set to false, nan values will be returned until the operation is "populated". If set to true, best guesses will be returned until the operation is populated.

So for example, our simple moving average SMAIndicator works sort of like this:

>>> import rtta.trend as trend
>>> sma = trend.SMAIndicator(window=4, fillna=True)
>>> sma.update(1)
1
>>> sma.update(2)
1.5
>>> sma.update(3)
2
>>> sma.update(2)
2
>>> sma.update(2)
2.25 <- The 1 fell off the end of the sliding window

Performance

Indicator	Latency
SMA	36ns
EMA	36ns
MACD	55ns