Qubx 0.5.7__cp312-cp312-manylinux_2_39_x86_64.whl

qubx/ta/indicators.pxd

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+cimport numpy as np
+from qubx.core.series cimport Indicator, IndicatorOHLC, RollingSum, TimeSeries, OHLCV, Bar
+
+cdef class Sma(Indicator):
+    cdef unsigned int period
+    cdef RollingSum summator
+
+    cpdef double calculate(self, long long time, double value, short new_item_started)
+
+cdef class Ema(Indicator):
+    cdef int period
+    cdef np.ndarray __s
+    cdef int __i
+    cdef double alpha
+    cdef double alpha_1
+    cdef unsigned short init_mean 
+    cdef unsigned short _init_stage
+
+    cpdef double calculate(self, long long time, double value, short new_item_started)
+
+cdef class Tema(Indicator):
+    cdef int period
+    cdef unsigned short init_mean 
+    cdef TimeSeries ser0
+    cdef Ema ema1
+    cdef Ema ema2
+    cdef Ema ema3
+    cpdef double calculate(self, long long time, double value, short new_item_started)
+
+cdef class Dema(Indicator):
+    cdef int period
+    cdef unsigned short init_mean 
+    cdef TimeSeries ser0
+    cdef Ema ema1
+    cdef Ema ema2
+
+    cpdef double calculate(self, long long time, double value, short new_item_started)
+
+cdef class Kama(Indicator):
+    cdef int period
+    cdef int fast_span
+    cdef int slow_span
+    cdef double _S1 
+    cdef double _K1 
+    cdef _x_past
+    cdef RollingSum summator
+
+    cpdef double calculate(self, long long time, double value, short new_item_started)
+
+cdef class Highest(Indicator):
+    cdef int period
+    cdef object queue
+    cpdef double calculate(self, long long time, double value, short new_item_started)
+
+cdef class Lowest(Indicator):
+    cdef int period
+    cdef object queue
+    cpdef double calculate(self, long long time, double value, short new_item_started)
+
+cdef class Std(Indicator):
+    cdef int period
+    cdef RollingSum rolling_sum, variance_sum
+    cpdef double calculate(self, long long time, double value, short new_item_started)
+
+
+cdef class Zscore(Indicator):
+    cdef TimeSeries tr
+    cdef Indicator ma, std
+    cpdef double calculate(self, long long time, double value, short new_item_started)
+
+cdef class Pewma(Indicator):
+    cdef public TimeSeries std
+    cdef double alpha, beta
+    cdef int T
+
+    cdef double _mean, _vstd, _var
+    cdef double mean, vstd, var
+    cdef long _i
+
+    cpdef double calculate(self, long long time, double value, short new_item_started)
+
+cdef class PewmaOutliersDetector(Indicator):
+    cdef public TimeSeries upper, lower, outliers, std
+    cdef double alpha, beta, threshold
+    cdef int T
+    cdef str dist
+
+    cdef double student_t_df
+    cdef long _i
+    cdef double mean, vstd, variance
+    cdef double _mean, _vstd, _variance, _z_thr
+
+    cpdef double calculate(self, long long time, double x, short new_item_started)
+
+    cdef double _get_z_thr(self)
+    cdef double _get_alpha(self, double p_t)
+    cdef double _get_mean(self, double x, double alpha_t)
+    cdef double _get_variance(self, double x, double alpha_t)
+    cdef double _get_std(self, double variance, double mean)
+    cdef double _get_p(self, double x)
+
+cdef class Psar(IndicatorOHLC):
+    cdef int _bull
+    cdef double _af
+    cdef double _psar
+    cdef double _lp
+    cdef double _hp
+
+    cdef int bull
+    cdef double af
+    cdef double psar
+    cdef double lp
+    cdef double hp
+
+    cdef public TimeSeries upper
+    cdef public TimeSeries lower
+
+    cdef double iaf
+    cdef double maxaf
+
+    cdef _store(self)
+    cdef _restore(self)
+
+    cpdef double calculate(self, long long time, Bar bar, short new_item_started)
+
+cdef class Atr(IndicatorOHLC):
+    cdef short percentage
+    cdef TimeSeries tr
+    cdef Indicator ma
+
+    cpdef double calculate(self, long long time, Bar bar, short new_item_started)
+
+cdef class Swings(IndicatorOHLC):
+    cdef double _min_l
+    cdef long long _min_t
+    cdef double _max_h
+    cdef long long _max_t
+    cdef OHLCV base
+    cdef Indicator trend
+
+    cdef object _trend_indicator
+    cdef object _indicator_args
+    # tops contain upper pivot point prices
+    # tops_detection_lag contain time lag when top was actually spotted
+    cdef public TimeSeries tops, tops_detection_lag
+    cdef public TimeSeries bottoms, bottoms_detection_lag
+    cdef public TimeSeries middles, deltas
+
+    cpdef double calculate(self, long long time, Bar bar, short new_item_started)

qubx/ta/indicators.pyi

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+from qubx.core.series import OHLCV, Indicator, TimeSeries, IndicatorOHLC
+
+def sma(series: TimeSeries, period: int): ...
+def ema(series: TimeSeries, period: int, init_mean: bool = True): ...
+def tema(series: TimeSeries, period: int, init_mean: bool = True): ...
+def dema(series: TimeSeries, period: int, init_mean: bool = True): ...
+def kama(series: TimeSeries, period: int, fast_span: int = 2, slow_span: int = 30): ...
+def highest(series: TimeSeries, period: int): ...
+def lowest(series: TimeSeries, period: int): ...
+def std(series: TimeSeries, period: int, mean=0): ...
+def zscore(series: TimeSeries, period: int): ...
+def pewma(series: TimeSeries, alpha: float, beta: float, T: int = 30): ...
+def pewma_outliers_detector(series: TimeSeries, alpha: float, beta: float, T: int = 30, threshold=0.05, **kwargs): ...
+def psar(series: OHLCV, iaf: float = 0.02, maxaf: float = 0.2): ...
+def smooth(series: TimeSeries, smoother: str, *args, **kwargs) -> Indicator: ...
+def atr(series: OHLCV, period: int = 14, smoother="sma", percentage: bool = False): ...
+def swings(series: OHLCV, trend_indicator, **indicator_args) -> Indicator: ...
+
+class Sma(Indicator):
+    def __init__(self, name: str, series: TimeSeries, period: int): ...
+
+class Std(Indicator):
+    def __init__(self, name: str, series: TimeSeries, period: int): ...
+
+class Zscore(Indicator):
+    def __init__(self, name: str, series: TimeSeries, period: int, smoother: str): ...
+
+class Ema(Indicator):
+    def __init__(self, name: str, series: TimeSeries, period: int, init_mean: bool = True): ...
+
+class Kama(Indicator):
+    def __init__(self, name: str, series: TimeSeries, period: int, fast_span: int = 2, slow_span: int = 30): ...
+
+class Atr(IndicatorOHLC):
+    def __init__(self, name: str, series: OHLCV, period: int, smoother: str, percentage: bool): ...
+
+class Swings(IndicatorOHLC):
+    tops: TimeSeries
+    bottoms: TimeSeries
+    middles: TimeSeries
+    deltas: TimeSeries