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Volume bar generator
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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] |
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