[Add]embed talib into project

requirements.txt

@@ -10,5 +10,4 @@ matplotlib
 seaborn
 jupyter
 ta-lib; platform_system=="Unix"
-http://conda.vnpy.com/pip/wheels/TA_Lib-0.4.17-cp37-cp37m-win_amd64.whl; platform_system=="Windows"
 

vnpy/talib/__init__.py

@@ -0,0 +1,265 @@
+
+import atexit
+from itertools import chain
+from functools import wraps
+
+# If pandas is available, wrap talib functions so that they support
+# pandas.Series input
+try:
+    from pandas import Series as _pd_Series
+except ImportError:
+    # pandas not available, nothing to wrap
+    _pandas_wrapper = lambda x: x
+else:
+    def _pandas_wrapper(func):
+        @wraps(func)
+        def wrapper(*args, **kwargs):
+            try:
+                # Get the index of the first Series object, if any
+                index = next(arg.index
+                             for arg in chain(args, kwargs.values())
+                             if isinstance(arg, _pd_Series))
+            except StopIteration:
+                # No pandas.Series passed in; short-circuit
+                return func(*args, **kwargs)
+
+            # Use Series' float64 values if pandas, else use values as passed
+            args = [arg.values.astype(float) if isinstance(arg, _pd_Series) else arg
+                    for arg in args]
+            kwargs = {k: v.values.astype(float) if isinstance(v, _pd_Series) else v
+                      for k, v in kwargs.items()}
+
+            result = func(*args, **kwargs)
+
+            # Series was passed in, Series gets out; re-apply index
+            if isinstance(result, tuple):
+                # Handle multi-array results such as BBANDS
+                return tuple(_pd_Series(arr, index=index)
+                             for arr in result)
+            return _pd_Series(result, index=index)
+
+        return wrapper
+
+from ._ta_lib import (
+    _ta_initialize, _ta_shutdown, MA_Type, __ta_version__,
+    _ta_set_unstable_period as set_unstable_period,
+    _ta_get_unstable_period as get_unstable_period,
+    __TA_FUNCTION_NAMES__
+)
+
+func = __import__("_ta_lib", globals(), locals(), __TA_FUNCTION_NAMES__, level=1)
+for func_name in __TA_FUNCTION_NAMES__:
+    wrapped_func = _pandas_wrapper(getattr(func, func_name))
+    setattr(func, func_name, wrapped_func)
+    globals()[func_name] = wrapped_func
+
+__version__ = '0.4.17'
+
+# In order to use this python library, talib (i.e. this __file__) will be
+# imported at some point, either explicitly or indirectly via talib.func
+# or talib.abstract. Here, we handle initalizing and shutting down the
+# underlying TA-Lib. Initialization happens on import, before any other TA-Lib
+# functions are called. Finally, when the python process exits, we shutdown
+# the underlying TA-Lib.
+
+_ta_initialize()
+atexit.register(_ta_shutdown)
+
+__function_groups__ = {
+    'Cycle Indicators': [
+        'HT_DCPERIOD',
+        'HT_DCPHASE',
+        'HT_PHASOR',
+        'HT_SINE',
+        'HT_TRENDMODE',
+        ],
+    'Math Operators': [
+        'ADD',
+        'DIV',
+        'MAX',
+        'MAXINDEX',
+        'MIN',
+        'MININDEX',
+        'MINMAX',
+        'MINMAXINDEX',
+        'MULT',
+        'SUB',
+        'SUM',
+        ],
+    'Math Transform': [
+        'ACOS',
+        'ASIN',
+        'ATAN',
+        'CEIL',
+        'COS',
+        'COSH',
+        'EXP',
+        'FLOOR',
+        'LN',
+        'LOG10',
+        'SIN',
+        'SINH',
+        'SQRT',
+        'TAN',
+        'TANH',
+        ],
+    'Momentum Indicators': [
+        'ADX',
+        'ADXR',
+        'APO',
+        'AROON',
+        'AROONOSC',
+        'BOP',
+        'CCI',
+        'CMO',
+        'DX',
+        'MACD',
+        'MACDEXT',
+        'MACDFIX',
+        'MFI',
+        'MINUS_DI',
+        'MINUS_DM',
+        'MOM',
+        'PLUS_DI',
+        'PLUS_DM',
+        'PPO',
+        'ROC',
+        'ROCP',
+        'ROCR',
+        'ROCR100',
+        'RSI',
+        'STOCH',
+        'STOCHF',
+        'STOCHRSI',
+        'TRIX',
+        'ULTOSC',
+        'WILLR',
+        ],
+    'Overlap Studies': [
+        'BBANDS',
+        'DEMA',
+        'EMA',
+        'HT_TRENDLINE',
+        'KAMA',
+        'MA',
+        'MAMA',
+        'MAVP',
+        'MIDPOINT',
+        'MIDPRICE',
+        'SAR',
+        'SAREXT',
+        'SMA',
+        'T3',
+        'TEMA',
+        'TRIMA',
+        'WMA',
+        ],
+    'Pattern Recognition': [
+        'CDL2CROWS',
+        'CDL3BLACKCROWS',
+        'CDL3INSIDE',
+        'CDL3LINESTRIKE',
+        'CDL3OUTSIDE',
+        'CDL3STARSINSOUTH',
+        'CDL3WHITESOLDIERS',
+        'CDLABANDONEDBABY',
+        'CDLADVANCEBLOCK',
+        'CDLBELTHOLD',
+        'CDLBREAKAWAY',
+        'CDLCLOSINGMARUBOZU',
+        'CDLCONCEALBABYSWALL',
+        'CDLCOUNTERATTACK',
+        'CDLDARKCLOUDCOVER',
+        'CDLDOJI',
+        'CDLDOJISTAR',
+        'CDLDRAGONFLYDOJI',
+        'CDLENGULFING',
+        'CDLEVENINGDOJISTAR',
+        'CDLEVENINGSTAR',
+        'CDLGAPSIDESIDEWHITE',
+        'CDLGRAVESTONEDOJI',
+        'CDLHAMMER',
+        'CDLHANGINGMAN',
+        'CDLHARAMI',
+        'CDLHARAMICROSS',
+        'CDLHIGHWAVE',
+        'CDLHIKKAKE',
+        'CDLHIKKAKEMOD',
+        'CDLHOMINGPIGEON',
+        'CDLIDENTICAL3CROWS',
+        'CDLINNECK',
+        'CDLINVERTEDHAMMER',
+        'CDLKICKING',
+        'CDLKICKINGBYLENGTH',
+        'CDLLADDERBOTTOM',
+        'CDLLONGLEGGEDDOJI',
+        'CDLLONGLINE',
+        'CDLMARUBOZU',
+        'CDLMATCHINGLOW',
+        'CDLMATHOLD',
+        'CDLMORNINGDOJISTAR',
+        'CDLMORNINGSTAR',
+        'CDLONNECK',
+        'CDLPIERCING',
+        'CDLRICKSHAWMAN',
+        'CDLRISEFALL3METHODS',
+        'CDLSEPARATINGLINES',
+        'CDLSHOOTINGSTAR',
+        'CDLSHORTLINE',
+        'CDLSPINNINGTOP',
+        'CDLSTALLEDPATTERN',
+        'CDLSTICKSANDWICH',
+        'CDLTAKURI',
+        'CDLTASUKIGAP',
+        'CDLTHRUSTING',
+        'CDLTRISTAR',
+        'CDLUNIQUE3RIVER',
+        'CDLUPSIDEGAP2CROWS',
+        'CDLXSIDEGAP3METHODS',
+        ],
+    'Price Transform': [
+        'AVGPRICE',
+        'MEDPRICE',
+        'TYPPRICE',
+        'WCLPRICE',
+        ],
+    'Statistic Functions': [
+        'BETA',
+        'CORREL',
+        'LINEARREG',
+        'LINEARREG_ANGLE',
+        'LINEARREG_INTERCEPT',
+        'LINEARREG_SLOPE',
+        'STDDEV',
+        'TSF',
+        'VAR',
+        ],
+    'Volatility Indicators': [
+        'ATR',
+        'NATR',
+        'TRANGE',
+        ],
+    'Volume Indicators': [
+        'AD',
+        'ADOSC',
+        'OBV'
+        ],
+    }
+
+def get_functions():
+    """
+    Returns a list of all the functions supported by TALIB
+    """
+    ret = []
+    for group in __function_groups__:
+        ret.extend(__function_groups__[group])
+    return ret
+
+def get_function_groups():
+    """
+    Returns a dict with keys of function-group names and values of lists
+    of function names ie {'group_names': ['function_names']}
+    """
+    return __function_groups__.copy()
+
+__all__ = ['get_functions', 'get_function_groups']

vnpy/talib/abstract.py

@@ -0,0 +1,27 @@
+import talib._ta_lib as _ta_lib
+from ._ta_lib import Function as _Function, __TA_FUNCTION_NAMES__, _get_defaults_and_docs
+
+# add some backwards compat for backtrader
+from ._ta_lib import TA_FUNC_FLAGS, TA_INPUT_FLAGS, TA_OUTPUT_FLAGS
+
+_func_obj_mapping = {
+    func_name: getattr(_ta_lib, func_name)
+    for func_name in __TA_FUNCTION_NAMES__
+}
+
+
+def Function(function_name, *args, **kwargs):
+    func_name = function_name.upper()
+    if func_name not in _func_obj_mapping:
+        raise Exception('%s not supported by TA-LIB.' % func_name)
+
+    return _Function(
+        func_name, _func_obj_mapping[func_name], *args, **kwargs
+    )
+
+
+for func_name in __TA_FUNCTION_NAMES__:
+    globals()[func_name] = Function(func_name)
+
+
+__all__ = ["Function", "_get_defaults_and_docs"] + __TA_FUNCTION_NAMES__

vnpy/talib/deprecated.py

@@ -0,0 +1,2 @@
+# TA_MAType enums
+MA_SMA, MA_EMA, MA_WMA, MA_DEMA, MA_TEMA, MA_TRIMA, MA_KAMA, MA_MAMA, MA_T3 = range(9)