A simple TA bot for goxtool Mt.Gox trading bot framework making use of the TA-Lib library (http://ta-lib.org) and the Cython based wrapper ta-lib (https://github.com/mrjbq7/ta-lib).

_talib.py

"""
_talib.py

"""

import numpy as np
import talib
import datetime
import strategy
import goxapi
from goxapi import OHLCV

class Strategy(strategy.Strategy):
    """a TA bot"""
    def __init__(self, gox):
        strategy.Strategy.__init__(self, gox)

    def slot_history_changed(self, history, _dummy):
        """History has changed so recalculate EMAs"""
        candles = []

        # read them all - don't wory about the history parameter
        for c in reversed(self.gox.history.candles):
            candles.append(
                OHLCV(
                                    c.tim,
                    # adjust values to be human readable
                    goxapi.int2float(c.opn, self.gox.currency),
                    goxapi.int2float(c.hig, self.gox.currency),
                    goxapi.int2float(c.low, self.gox.currency),
                    goxapi.int2float(c.cls, self.gox.currency),
                    goxapi.int2float(c.vol, "BTC")
                )
            )

        self.debug("New EMAs from history with %d candles" % len(candles))

        rng = range(len(candles))
        iterable = (candles[i].opn for i in rng)
        a_opn = np.fromiter(iterable, np.float)

        iterable = (candles[i].hig for i in rng)
        a_hig = np.fromiter(iterable, np.float)

        iterable = (candles[i].low for i in rng)
        a_low = np.fromiter(iterable, np.float)

        iterable = (candles[i].cls for i in rng)
        a_cls = np.fromiter(iterable, np.float)

        iterable = (candles[i].vol for i in rng)
        a_vol = np.fromiter(iterable, np.float)

        a_sma = talib.SMA(a_cls, 10)
        a_wma = talib.WMA(a_cls, 25)
        a_chaikin = talib.AD(a_hig, a_low, a_cls, a_vol)
        a_cdlCounterAttack = talib.CDLCOUNTERATTACK(a_opn, a_hig, a_low, a_cls)

        # Current price in relation to EMA
        self.debug("Simple Moving Average (SMA) = %f" % a_sma[-1])
        self.debug("Weighted Moving Average (WMA) = %f" % a_wma[-1])
        self.debug("Chaikin A/D Line (AD) = %f" % a_chaikin[-1])
        self.debug("Counterattack (CDLCOUNTERATTACK) = %f" % a_cdlCounterAttack[-1])
        self.debug("CLS = %f" % a_cls[-1])