Volume bar generator

volumebar_generator.py

import numpy as np

# expects a numpy array with trades
# each trade is composed of: [time, price, quantity]
def generate_volumebars(trades, frequency=10):
    times = trades[:,0]
    prices = trades[:,1]
    volumes = trades[:,2]
    ans = np.zeros(shape=(len(prices), 6))
    candle_counter = 0
    vol = 0
    lasti = 0
    for i in range(len(prices)):
        vol += volumes[i]
        if vol >= frequency:
            ans[candle_counter][0] = times[i]                          # time
            ans[candle_counter][1] = prices[lasti]                     # open
            ans[candle_counter][2] = np.max(prices[lasti:i+1])         # high
            ans[candle_counter][3] = np.min(prices[lasti:i+1])         # low
            ans[candle_counter][4] = prices[i]                         # close
            ans[candle_counter][5] = np.sum(volumes[lasti:i+1])        # volume
            candle_counter += 1
            lasti = i+1
            vol = 0
    return ans[:candle_counter]