spanbars 0.1.2beta → 0.2.0beta

checksums.yaml

@@ -1,7 +1,7 @@
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data/README.md

@@ -46,24 +46,31 @@ within monitored timeseries.
 ## Basic usage via commandline
 
 Using _spanbars_ on the commandline expects data on STDIN as CSV with timestamps on column 1 and 
-values on column 2. With _--ohlc_ enabled, it expects CSV with "timestamps,open,high,low,close".
+values on column 2. With _--ohlc_ enabled, it expects CSV with "timestamps,open,high,low,close,volume".
 
-Provided output will be CSV as well, for
+Provided output will be CSV as well, using UPPERCASE type for strict bars
 
-* _simple_: "timestamp\_open,open, timestamp\_high,high, timestamp\_low, low, timestamp\_close, close, direction, path, momentum, direction"
-* _strict_: "timestamp\_open,open, timestamp\_close, close, duration, path, momentum, effective\_span, direction"
+* _simple_: "close-time, closeval, vol, type, peaktime or nil, peakval or nil, duration, path, momentum, speed, nil"
+* _strict_: "close-time, closeval, vol, TYPE,             nil,            nil, duration, path, momentum, speed, overdrive"
 
-I currently plan to implement 2 more parameters: _--human_ to create a human-readable table 
-(particularly concerning the time format), and _--intraday_ (ommiting the date part when using _--human_).
+## List of parameters
 
-    $ cat timeseries.csv | spanbars 
-    $ spanbars --input ./timeseries.csv  --span 5
+    Usage: spanbars [options]
 
-## List of parameters
+    --simple    Disable processing of strict StanBars
+    --ticksize  Set ticksize for processing
+    --span      Set span for processing
+    --ohlc      Define OHLC input file instead of timeseries (overrides --simple and --both)
+    --human     Define human output
+    --intraday  Strip date portion (affects --human only)
+    --help      Print this help
+    --both      Returns both simple and strict bars (overrides simple)
+    --time      Location of timestamp in source (defaults to first)
+    --value     Location of value in source (defaults to second)
+    --volume    Location of volume in source (defaults to third)
+   
+
+NOTE: spanbars relies on STDIN data, e.g. 
+
+    $ cat /tmp/timeseries.csv | spanbars --simple --span 5 --ticksize 0.1
 
-* --span     (defaults to 10)
-* --ticksize (default  to 1.0)
-* --ohlc     (defaults to false)
-* --simple   (defaults to false)
-* --human    (planned, defaults to false)
-* --intraday (planned, defaults to false)

data/bin/spanbars

@@ -1,8 +1,11 @@
 #!/usr/bin/env ruby
 
 THIS_FILE = File.symlink?(__FILE__) ? File.readlink(__FILE__) : __FILE__
-require File.dirname(THIS_FILE) + '/../lib/spanbarprocessor.rb'
-require File.dirname(THIS_FILE) + '/../lib/spanbar.rb'
+THIS_PATH_REL = File.dirname(THIS_FILE)
+THIS_PATH = File.absolute_path(THIS_PATH_REL)
+
+require THIS_PATH + '/../lib/spanbarprocessor.rb'
+require THIS_PATH + '/../lib/spanbar.rb'
 
 
 # prepare processing of incoming control commands (e.g. Ctrl-C)
@@ -25,7 +28,10 @@ op.boolean  '--ohlc'     , "Define OHLC input file instead of timeseries (overri
 op.boolean '--human'    , "Define human output",                   default: false
 op.boolean '--intraday' , "Strip date portion (affects --human only)", default: false
 op.boolean '--help'     , "Print this help", default: false
-op.boolean '--both'     , "Returns both simple and strict bars (overrides simple)",   default: false
+op.boolean '--both'     , "Returns both simple and strict bars (overrides --simple)",   default: false
+op.integer '--time'     , "The column in CSV providing the timestamp, defaults to the first", default: 0
+op.integer '--value'    , "The column in CSV providing the value, defaults to the second", default: 1
+op.integer '--volume'   , "The column in CSV providing the volume, default to the third",  default: 2
 op.separator "" 
 op.separator "#{"Please note:".light_white} spanbars relies on STDIN data, e.g. "
 op.separator "    #{"$".light_white} cat /tmp/timeseries.csv | spanbars --simple --span 5 --ticksize 0.1"
@@ -52,7 +58,7 @@ unless STDIN.tty?
     s = SpanBarProcessor.new(opts)
     while csv = STDIN.gets
       line   = CSV.parse(csv.chomp).flatten
-      result = s.add(line[0].to_i, line[1].to_f)
+      result = s.add(line[opts[:time]].to_i, line[opts[:value]].to_f, line[opts[:volume]].to_i)
       if result
         if opts[:human] 
           result.each {|r| r.set_intraday if opts[:intraday]; puts ([:up, :bottom].include? r.type) ? "#{r.to_human}".green : "#{r.to_human}".red } 
@@ -74,13 +80,14 @@ unless STDIN.tty?
     lowProc  = SpanBarProcessor.new(highOpts)
     finProc  = SpanBarProcessor.new(opts)
     data.each do |d| 
-      highProc.add(d[0].to_i, d[2].to_f)
-      lowProc. add(d[0].to_i, d[3].to_f)
+      highProc.add(d[0].to_i, d[2].to_f, d[5].to_i)
+      lowProc. add(d[0].to_i, d[3].to_f, d[5].to_i)
     end
-    res = highProc.spanBars.map{|bar| bar.type == :up ? bar.highval : bar.lowval } #.map{|peak| bar.highval }
-    res.flatten!
+    highs = highProc.spanBars.map{|bar| bar.type.to_s.downcase == "up"   ? bar.highval : nil } 
+    lows  =  lowProc.spanBars.map{|bar| bar.type.to_s.downcase == "down" ? nil :  bar.lowval } 
+    res = [ highs, lows ].flatten.compact
     res.sort!{|a,b| a[:t] <=> b[:t]}
-    res.each {|peak| finProc.add peak[:t],peak[:p]}
+    res.each {|peak| finProc.add peak[:t],peak[:p], peak[:v]}
     if opts[:human]
       finProc.spanBars.each {|r| r.set_intraday if opts[:intraday]; puts ([:up, :bottom].include? r.type) ? "#{r.to_human}".green : "#{r.to_human}".red }
     else # CSV output

data/bin/spanbars.rb

@@ -0,0 +1,5 @@
+#!/usr/bin/env ruby
+#
+THIS_FILE = File.symlink?(__FILE__) ? File.readlink(__FILE__) : __FILE__
+require File.dirname(THIS_FILE) + '/../lib/spanbarprocessor.rb'
+require File.dirname(THIS_FILE) + '/../lib/spanbar.rb'

data/features/step_definitions/01_spanbar_processor_initialization_steps.rb

@@ -29,8 +29,6 @@ end
 Then /^([^\s]*) should be set to ([^\s]*)$/ do |var,value|
   expect(@s.instance_variable_defined?(var.to_sym)).to be_truthy
   res = nil
-  puts "#{var}---"
-  puts "#{value}---"
   eval "res = @s.instance_variable_get(var.to_sym) == #{value}"
   expect(res).to be_truthy
 end

data/lib/spanbar.rb

@@ -43,12 +43,14 @@ class SpanBar
     def decimals(a); num = 0; while (a != a.to_i); num += 1; a *= 10; end; num; end
 
     @ticksize   = ticksize
+    @intraday   = false
     @format     = "%1.#{decimals(@ticksize)}f"
     @strict     = strict
     @openval    = a[0]
     @closeval   = a[-1]
     @highval    = a.reverse.max_by{|x| x[:p]}
     @lowval     = a.reverse.min_by{|x| x[:p]}
+    @vol        = a.map{|x| x[:v]}.reduce(:+)
     @open       = @openval[:p]
     @high       = @highval[:p]
     @low        = @lowval[:p]
@@ -64,6 +66,7 @@ class SpanBar
     else
       @type = :error
     end
+    #puts self.inspect
     raise "Validation error: Type must be :up or :down for #{self.inspect}" if @strict and not [:up,:down].include?(@type)
   end
 
@@ -83,6 +86,12 @@ class SpanBar
     return [ @resources, tmp0 ]
   end
 
+  # Introduction of @overdrive (means the amount, that the current bar EXCEEDs span) needed this late injection
+  def inject_span(span)
+    @span  = span
+    @overdrive = ((@openval[:p] - @closeval[:p]).abs / @ticksize - @span).to_i
+  end
+
   # For human output, set output
   def set_intraday
     @intraday = true
@@ -91,16 +100,16 @@ class SpanBar
   # Returns an inspection string
   def inspect
     pval = lambda {|val| "#{val[:t]}::#{@format % val[:p]}" }
-    if @strict
-      return "<#SpanBar:0x00#{self.object_id.to_s(16)}, #{@strict ? "strict" : "simple"}, :#{@type
-                           },\tpath: #{"%g" % self.path}, momentum: #{"%g" % self.momentum
-                           }, open: #{pval.(@openval)}, close: #{pval.(@closeval)}>"
-    else
+    #if @strict
+    #  return "<#SpanBar:0x00#{self.object_id.to_s(16)}, #{@strict ? "strict" : "simple"}, :#{@type
+    #                       },\tpath: #{"%g" % self.path}, momentum: #{"%g" % self.momentum
+    #                       }, open: #{pval.(@openval)}, close: #{pval.(@closeval)}>"
+    #else
       return "<#SpanBar:0x00#{self.object_id.to_s(16)}, #{@strict ? "strict" : "simple"}, :#{@type
                            },\tpath: #{"%g" % self.path}, momentum: #{"%g" % self.momentum
                            }, open: #{pval.(@openval)}, high: #{pval.(@highval)
                            }, low: #{ pval.(@lowval)}, close: #{pval.(@closeval)}>"
-    end
+    #end
   end
 
   # Return human readable output of instance
@@ -112,35 +121,54 @@ class SpanBar
     end
     pval = lambda {|v| "[#{time.(v[:t])}, #{@format % v[:p]}]" }
     if @strict 
-      return "STRICT, OPEN: #{pval.(@openval)}, CLOSE: #{pval.(@closeval)
-           }, MOM: #{"%g" % (@momentum / @ticksize) },\tDUR: #{@duration
-           },\tEFF: #{((@close - @open) / @ticksize).to_i}, :#{@type.to_s.upcase}"
+      #return "STRICT, OPEN: #{pval.(@openval)}, CLOSE: #{pval.(@closeval)
+      return "STRICT, #{pval.(@closeval)    
+           },\tMOM: #{"%g" % (@momentum / @ticksize) },  \tDUR: #{@duration
+           },\tEFF: #{((@close - @open) / @ticksize).to_i}, OVER: #{@overdrive}, \t:#{@type.to_s.upcase}"
     else
       return "SIMPLE, OPEN: #{pval.(@openval)
       }, #{ ([:up, :bottom].include? @type) ? "LOW: #{pval.(@lowval)}" : "HIGH #{pval.(@highval)}" 
       }, CLOSE: #{pval.(@closeval)}, MOM: #{"%g" % (@momentum / @ticksize) 
-      },\tDUR: #{@duration},\tEFF: #{((@close - @open) / @ticksize).to_i}, :#{@type.to_s.upcase}"
+      },\tDUR: #{@duration},\tEFF: #{((@close - @open) / @ticksize).to_i}, :#{@type.to_s}"
     end
   end
 
   # Returns an array containing instance values as needed for CSV output
+  #
+  # Format is 
+  #   closetime, 
+  #   closeval, 
+  #   volume, 
+  #   type (UPCASE for strict), 
+  #   high/low-time for top/bottom OR nil, 
+  #   high/low-val  for top/bottom OR nil,
+  #   duration in ms
+  #   path
+  #   momentum
+  #   speed
+  #   overdrive (if STRICT) or NIL
   def to_a
     if @strict
-      return [ "strict", 
-               @openval[:t],  @openval[ :p].round(8),
-               @closeval[:t], @closeval[:p].round(8),
+      return [ 
+               @closeval[:t], @closeval[:p].round(8), @vol,  # so far it is the same as each other tick !!
+               @type.to_s.upcase.to_sym,nil,nil, 
                @duration, @path.round(8), @momentum.round(8),
-             ((@close - @open) / @ticksize).to_i, 
-             @type ]
+               ((@close - @open) / @ticksize).to_i, @overdrive
+             ]  
     else 
-      return [ "simple", 
-               @openval[:t],  @openval[ :p].round(8),
-               @highval[:t],  @highval[ :p].round(8),
-               @lowval[:t],   @lowval[  :p].round(8),
-               @closeval[:t], @closeval[:p].round(8),
+      return [ 
+              #@@openval[:t],  @openval[ :p].round(8),
+              #@highval[:t],  @highval[ :p].round(8),
+              #@lowval[:t],   @lowval[  :p].round(8),
+               @closeval[:t], @closeval[:p].round(8), @vol, # so far it is the same as each other tick
+               @type,
+               [:top,:bottom].include?(@type.to_sym) ? 
+                 ( @type.to_sym == :top ? @highval[:t] : @lowval[:t] ) : nil,
+               [:top,:bottom].include?(@type.to_sym) ?
+                 ( @type.to_sym == :top ? @highval[:p] : @lowval[:p] ) : nil,
                @duration, @path.round(8), @momentum.round(8),
-             ((@close - @open) / @ticksize).to_i,
-             @type ]
+             ((@close - @open) / @ticksize).to_i, nil
+              ]
     end 
   end
 end

data/lib/spanbarprocessor.rb

@@ -11,7 +11,7 @@ module SpanBarHelpers
   # @param a [Float]
   # @param t [Integer]
   def tickup(a,t=1)
-    { p: a[:p] + 0.000000001, t: a[:t] + t }
+    { p: a[:p] + 0.000000001, t: a[:t] + t, v: 0 }
   end
 
   # creates a new upfollowing tick that has a minimum lower value than the preceeding one
@@ -19,7 +19,7 @@ module SpanBarHelpers
   # @param a [Float]
   # @param t [Integer]
   def tickdown(a,t=1)
-    { p: a[:p] - 0.000000001, t: a[:t] + t }
+    { p: a[:p] - 0.000000001, t: a[:t] + t, v: 0 }
   end
 end
 
@@ -71,17 +71,18 @@ class SpanBarProcessor
     @simpleBars = []
     @spanBars   = [] 
     @ticks  = []
+    @intraday   = false
   end
 
   # Sends a new items of the timeseries
   #
   # @option t [Integer] The timestamp (preferrably in JS format, i.e. Milliseconds since 1970-01-01)
   # @option p [Float]   The value
-  def add(t, p)
+  def add(t, p, v = 0)
     raise ArgumentError, "SpanBar#add requires either an Integer (Timestamp) or a Time object as first argument" unless [Integer, Time].include?(t.class)
     raise ArgumentError, "SpanBar#add requires either a Numeric or NilClass as second argument" unless p.is_a? Numeric or p.nil?
     return nil if p.nil?
-    tick = {t: (t.class == Integer ? t : t.to_i), p: p.to_f}
+    tick = {t: (t.class == Integer ? t : t.to_i), p: p.to_f, v: v.to_i}
     @simpleBar << tick
     @simpleMax = [tick[:p],@simpleMax].max
     @simpleMin = [tick[:p],@simpleMin].min
@@ -89,6 +90,7 @@ class SpanBarProcessor
       simple = SpanBar.new(@simpleBar, @ts, false)
       unless @simple
         result = self.create_strict_from(simple)
+        result.map{|x| x.inject_span(@span)} if result
       end
       @simpleBars << simple
       @simpleMax, @simpleMin = 0, Float::INFINITY
@@ -124,7 +126,7 @@ class SpanBarProcessor
         tmp0, tmp1 = elem1.split_for :high
         @currentBar = SpanBar.new([tmp0.last, tmp1], @ts)
       when *[:up,:down]
-        @currentBar = elem1
+        @currentBar = SpanBar.new(elem1.resources, @ts)
       else
         raise "Invalid type for initial simple SpanBar #{elem0}"
       end

metadata

@@ -1,14 +1,14 @@
 --- !ruby/object:Gem::Specification
 name: spanbars
 version: !ruby/object:Gem::Version
-  version: 0.1.2beta
+  version: 0.2.0beta
 platform: ruby
 authors:
 - Benjamin L. Tischendorf
 autorequire: 
 bindir: bin
 cert_chain: []
-date: 2019-04-15 00:00:00.000000000 Z
+date: 2019-04-28 00:00:00.000000000 Z
 dependencies:
 - !ruby/object:Gem::Dependency
   name: slop
@@ -98,11 +98,13 @@ description: 'Tiny tool to process input CSV data as timeseries to span bars '
 email: donkeybridge@jtown.eu
 executables:
 - spanbars
+- spanbars.rb
 extensions: []
 extra_rdoc_files: []
 files:
 - README.md
 - bin/spanbars
+- bin/spanbars.rb
 - features/01_spanbarprocessor_initialization.feature
 - features/02_spanbarprocessor_add.feature
 - features/03_spanbar_initialization.feature