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maslowalex / vsa.py
Created February 2, 2022 17:44 — forked from m-root/vsa.py
Volume Spread Analysis
import talib
import statsmodels.api as sm
import pandas as pd
def initialize(context):
context.security = symbol('AAPL')
#set_universe(universe.DollarVolumeUniverse(floor_percentile=98.0,ceiling_percentile=100.0))
def bar_data(OHLC_type, bars_nr):
bar_data_func = (history((bars_nr + 1), '1d', OHLC_type).iloc[0]).astype('float')