talib deque (composition over inheritance)

talib_deque.py

import numpy as np

from collections import deque

from talib.abstract import Function


class Bar(object):
    '''A simplistic holder for bar data with attribute and dict-style lookup.'''

    open   = None
    high   = None
    low    = None
    close  = None
    volume = None

    def __init__(self, open_, high, low, close, volume):
        self['open'] = open_
        self['high'] = high
        self['low'] = low
        self['close'] = close
        self['volume'] = volume

    def __getitem__(self, k):
        return self.__getattribute__(k)

    def __setitem__(self, k, v):
        self.__setattr__(k, v)

    def __repr__(self):
        return "Bar(O: %(open)s, H: %(high)s, L: %(low)s, C: %(close)s, "\
               "V: %(volume)s)" % self


class QFunction(object):
    def __init__(self, fn_name, *args, **kwargs):
        self._fn = Function(fn_name, *args, **kwargs)
        self._maxlen = self._fn.lookback + 1
        self._q = deque(maxlen=self._maxlen)

    def put(self, bar):
        self._q.append(bar)
        if len(self._q) < self._maxlen:
            return None
        else:
            d = {'open':   np.asarray([b.open   for b in self._q]),
                 'high':   np.asarray([b.high   for b in self._q]),
                 'low':    np.asarray([b.low    for b in self._q]),
                 'close':  np.asarray([b.close  for b in self._q]),
                 'volume': np.asarray([b.volume for b in self._q]),
                 }
            results = self._fn(d)
            if isinstance(results, (list, tuple)):
                return tuple([r[-1] for r in results])
            else:
                return results[-1]


if __name__ == '__main__':
    from talib.test_data import ford_2012
    bars = [Bar(ford_2012['open'][i],
                ford_2012['high'][i],
                ford_2012['low'][i],
                ford_2012['close'][i],
                ford_2012['volume'][i]
                ) for i in xrange(len(ford_2012['low']))]

    fn_name = 'SMA'
    qfn = QFunction(fn_name, timeperiod=10)
    results = [qfn.put(bar) for bar in bars]
    print results

Directions
Make sure you have TA-Lib installed first, save the file to talib_deque.py and run it:

$ python talib_deque.py