TA-Lib integration

The pyalgotrade.talibext.indicator module provides integration with Python wrapper for TA-Lib (http://mrjbq7.github.com/ta-lib/) to enable calling TA-Lib functions directly with pyalgotrade.dataseries.DataSeries or pyalgotrade.dataseries.bards.BarDataSeries instances instead of numpy arrays.

If you’re familiar with the talib module, then using the pyalgotrade.talibext.indicator module should be straightforward. When using talib standalone you do something like this:

import numpy
import talib

data = numpy.random.random(100)
upper, middle, lower = talib.BBANDS(data, matype=talib.MA_T3)

To use the pyalgotrade.talibext.indicator module in your strategies you should do something like this:

def onBars(self, bars):
    closeDs = self.getFeed().getDataSeries("orcl").getCloseDataSeries()
    upper, middle, lower = pyalgotrade.talibext.indicator.BBANDS(closeDs, 100, matype=talib.MA_T3)
    if upper != None:
        print "%s" % upper[-1]

Every function in the pyalgotrade.talibext.indicator module receives one or more dataseries (most receive just one) and the number of values to use from the dataseries. In the example above, we’re calculating Bollinger Bands over the last 100 closing prices.

If the parameter name is ds, then you should pass a regular pyalgotrade.dataseries.DataSeries instance, like the one shown in the example above.

If the parameter name is barDs, then you should pass a pyalgotrade.dataseries.bards.BarDataSeries instance, like in the next example:

def onBars(self, bars):
    barDs = self.getFeed().getDataSeries("orcl")
    sar = indicator.SAR(barDs, 100)
    if sar != None:
        print "%s" % sar[-1]

The following TA-Lib functions are available through the pyalgotrade.talibext.indicator module:

pyalgotrade.talibext.indicator.AD(barDs, count)

Chaikin A/D Line

pyalgotrade.talibext.indicator.ADOSC(barDs, count, fastperiod=-2147483648, slowperiod=-2147483648)

Chaikin A/D Oscillator

pyalgotrade.talibext.indicator.ADX(barDs, count, timeperiod=-2147483648)

Average Directional Movement Index

pyalgotrade.talibext.indicator.ADXR(barDs, count, timeperiod=-2147483648)

Average Directional Movement Index Rating

pyalgotrade.talibext.indicator.APO(ds, count, fastperiod=-2147483648, slowperiod=-2147483648, matype=0)

Absolute Price Oscillator

pyalgotrade.talibext.indicator.AROON(barDs, count, timeperiod=-2147483648)

Aroon

pyalgotrade.talibext.indicator.AROONOSC(barDs, count, timeperiod=-2147483648)

Aroon Oscillator

pyalgotrade.talibext.indicator.ATR(barDs, count, timeperiod=-2147483648)

Average True Range

pyalgotrade.talibext.indicator.AVGPRICE(barDs, count)

Average Price

pyalgotrade.talibext.indicator.BBANDS(ds, count, timeperiod=-2147483648, nbdevup=-4e+37, nbdevdn=-4e+37, matype=0)

Bollinger Bands

pyalgotrade.talibext.indicator.BETA(ds1, ds2, count, timeperiod=-2147483648)

Beta

pyalgotrade.talibext.indicator.BOP(barDs, count)

Balance Of Power

pyalgotrade.talibext.indicator.CCI(barDs, count, timeperiod=-2147483648)

Commodity Channel Index

pyalgotrade.talibext.indicator.CDL2CROWS(barDs, count)

Two Crows

pyalgotrade.talibext.indicator.CDL3BLACKCROWS(barDs, count)

Three Black Crows

pyalgotrade.talibext.indicator.CDL3INSIDE(barDs, count)

Three Inside Up/Down

pyalgotrade.talibext.indicator.CDL3LINESTRIKE(barDs, count)

Three-Line Strike

pyalgotrade.talibext.indicator.CDL3OUTSIDE(barDs, count)

Three Outside Up/Down

pyalgotrade.talibext.indicator.CDL3STARSINSOUTH(barDs, count)

Three Stars In The South

pyalgotrade.talibext.indicator.CDL3WHITESOLDIERS(barDs, count)

Three Advancing White Soldiers

pyalgotrade.talibext.indicator.CDLABANDONEDBABY(barDs, count, penetration=-4e+37)

Abandoned Baby

pyalgotrade.talibext.indicator.CDLADVANCEBLOCK(barDs, count)

Advance Block

pyalgotrade.talibext.indicator.CDLBELTHOLD(barDs, count)

Belt-hold

pyalgotrade.talibext.indicator.CDLBREAKAWAY(barDs, count)

Breakaway

pyalgotrade.talibext.indicator.CDLCLOSINGMARUBOZU(barDs, count)

Closing Marubozu

pyalgotrade.talibext.indicator.CDLCONCEALBABYSWALL(barDs, count)

Concealing Baby Swallow

pyalgotrade.talibext.indicator.CDLCOUNTERATTACK(barDs, count)

Counterattack

pyalgotrade.talibext.indicator.CDLDARKCLOUDCOVER(barDs, count, penetration=-4e+37)

Dark Cloud Cover

pyalgotrade.talibext.indicator.CDLDOJI(barDs, count)

Doji

pyalgotrade.talibext.indicator.CDLDOJISTAR(barDs, count)

Doji Star

pyalgotrade.talibext.indicator.CDLDRAGONFLYDOJI(barDs, count)

Dragonfly Doji

pyalgotrade.talibext.indicator.CDLENGULFING(barDs, count)

Engulfing Pattern

pyalgotrade.talibext.indicator.CDLEVENINGDOJISTAR(barDs, count, penetration=-4e+37)

Evening Doji Star

pyalgotrade.talibext.indicator.CDLEVENINGSTAR(barDs, count, penetration=-4e+37)

Evening Star

pyalgotrade.talibext.indicator.CDLGAPSIDESIDEWHITE(barDs, count)

Up/Down-gap side-by-side white lines

pyalgotrade.talibext.indicator.CDLGRAVESTONEDOJI(barDs, count)

Gravestone Doji

pyalgotrade.talibext.indicator.CDLHAMMER(barDs, count)

Hammer

pyalgotrade.talibext.indicator.CDLHANGINGMAN(barDs, count)

Hanging Man

pyalgotrade.talibext.indicator.CDLHARAMI(barDs, count)

Harami Pattern

pyalgotrade.talibext.indicator.CDLHARAMICROSS(barDs, count)

Harami Cross Pattern

pyalgotrade.talibext.indicator.CDLHIGHWAVE(barDs, count)

High-Wave Candle

pyalgotrade.talibext.indicator.CDLHIKKAKE(barDs, count)

Hikkake Pattern

pyalgotrade.talibext.indicator.CDLHIKKAKEMOD(barDs, count)

Modified Hikkake Pattern

pyalgotrade.talibext.indicator.CDLHOMINGPIGEON(barDs, count)

Homing Pigeon

pyalgotrade.talibext.indicator.CDLIDENTICAL3CROWS(barDs, count)

Identical Three Crows

pyalgotrade.talibext.indicator.CDLINNECK(barDs, count)

In-Neck Pattern

pyalgotrade.talibext.indicator.CDLINVERTEDHAMMER(barDs, count)

Inverted Hammer

pyalgotrade.talibext.indicator.CDLKICKING(barDs, count)

Kicking

pyalgotrade.talibext.indicator.CDLKICKINGBYLENGTH(barDs, count)

Kicking - bull/bear determined by the longer marubozu

pyalgotrade.talibext.indicator.CDLLADDERBOTTOM(barDs, count)

Ladder Bottom

pyalgotrade.talibext.indicator.CDLLONGLEGGEDDOJI(barDs, count)

Long Legged Doji

pyalgotrade.talibext.indicator.CDLLONGLINE(barDs, count)

Long Line Candle

pyalgotrade.talibext.indicator.CDLMARUBOZU(barDs, count)

Marubozu

pyalgotrade.talibext.indicator.CDLMATCHINGLOW(barDs, count)

Matching Low

pyalgotrade.talibext.indicator.CDLMATHOLD(barDs, count, penetration=-4e+37)

Mat Hold

pyalgotrade.talibext.indicator.CDLMORNINGDOJISTAR(barDs, count, penetration=-4e+37)

Morning Doji Star

pyalgotrade.talibext.indicator.CDLMORNINGSTAR(barDs, count, penetration=-4e+37)

Morning Star

pyalgotrade.talibext.indicator.CDLONNECK(barDs, count)

On-Neck Pattern

pyalgotrade.talibext.indicator.CDLPIERCING(barDs, count)

Piercing Pattern

pyalgotrade.talibext.indicator.CDLRICKSHAWMAN(barDs, count)

Rickshaw Man

pyalgotrade.talibext.indicator.CDLRISEFALL3METHODS(barDs, count)

Rising/Falling Three Methods

pyalgotrade.talibext.indicator.CDLSEPARATINGLINES(barDs, count)

Separating Lines

pyalgotrade.talibext.indicator.CDLSHOOTINGSTAR(barDs, count)

Shooting Star

pyalgotrade.talibext.indicator.CDLSHORTLINE(barDs, count)

Short Line Candle

pyalgotrade.talibext.indicator.CDLSPINNINGTOP(barDs, count)

Spinning Top

pyalgotrade.talibext.indicator.CDLSTALLEDPATTERN(barDs, count)

Stalled Pattern

pyalgotrade.talibext.indicator.CDLSTICKSANDWICH(barDs, count)

Stick Sandwich

pyalgotrade.talibext.indicator.CDLTAKURI(barDs, count)

Takuri (Dragonfly Doji with very long lower shadow)

pyalgotrade.talibext.indicator.CDLTASUKIGAP(barDs, count)

Tasuki Gap

pyalgotrade.talibext.indicator.CDLTHRUSTING(barDs, count)

Thrusting Pattern

pyalgotrade.talibext.indicator.CDLTRISTAR(barDs, count)

Tristar Pattern

pyalgotrade.talibext.indicator.CDLUNIQUE3RIVER(barDs, count)

Unique 3 River

pyalgotrade.talibext.indicator.CDLUPSIDEGAP2CROWS(barDs, count)

Upside Gap Two Crows

pyalgotrade.talibext.indicator.CDLXSIDEGAP3METHODS(barDs, count)

Upside/Downside Gap Three Methods

pyalgotrade.talibext.indicator.CMO(ds, count, timeperiod=-2147483648)

Chande Momentum Oscillator

pyalgotrade.talibext.indicator.CORREL(ds1, ds2, count, timeperiod=-2147483648)

Pearson’s Correlation Coefficient (r)

pyalgotrade.talibext.indicator.DEMA(ds, count, timeperiod=-2147483648)

Double Exponential Moving Average

pyalgotrade.talibext.indicator.DX(barDs, count, timeperiod=-2147483648)

Directional Movement Index

pyalgotrade.talibext.indicator.EMA(ds, count, timeperiod=-2147483648)

Exponential Moving Average

pyalgotrade.talibext.indicator.HT_DCPERIOD(ds, count)

Hilbert Transform - Dominant Cycle Period

pyalgotrade.talibext.indicator.HT_DCPHASE(ds, count)

Hilbert Transform - Dominant Cycle Phase

pyalgotrade.talibext.indicator.HT_PHASOR(ds, count)

Hilbert Transform - Phasor Components

pyalgotrade.talibext.indicator.HT_SINE(ds, count)

Hilbert Transform - SineWave

pyalgotrade.talibext.indicator.HT_TRENDLINE(ds, count)

Hilbert Transform - Instantaneous Trendline

pyalgotrade.talibext.indicator.HT_TRENDMODE(ds, count)

Hilbert Transform - Trend vs Cycle Mode

pyalgotrade.talibext.indicator.KAMA(ds, count, timeperiod=-2147483648)

Kaufman Adaptive Moving Average

pyalgotrade.talibext.indicator.LINEARREG(ds, count, timeperiod=-2147483648)

Linear Regression

pyalgotrade.talibext.indicator.LINEARREG_ANGLE(ds, count, timeperiod=-2147483648)

Linear Regression Angle

pyalgotrade.talibext.indicator.LINEARREG_INTERCEPT(ds, count, timeperiod=-2147483648)

Linear Regression Intercept

pyalgotrade.talibext.indicator.LINEARREG_SLOPE(ds, count, timeperiod=-2147483648)

Linear Regression Slope

pyalgotrade.talibext.indicator.MA(ds, count, timeperiod=-2147483648, matype=0)

All Moving Average

pyalgotrade.talibext.indicator.MACD(ds, count, fastperiod=-2147483648, slowperiod=-2147483648, signalperiod=-2147483648)

Moving Average Convergence/Divergence

pyalgotrade.talibext.indicator.MACDEXT(ds, count, fastperiod=-2147483648, fastmatype=0, slowperiod=-2147483648, slowmatype=0, signalperiod=-2147483648, signalmatype=0)

MACD with controllable MA type

pyalgotrade.talibext.indicator.MACDFIX(ds, count, signalperiod=-2147483648)

Moving Average Convergence/Divergence Fix 12/26

pyalgotrade.talibext.indicator.MAMA(ds, count, fastlimit=-4e+37, slowlimit=-4e+37)

MESA Adaptive Moving Average

pyalgotrade.talibext.indicator.MAX(ds, count, timeperiod=-2147483648)

Highest value over a specified period

pyalgotrade.talibext.indicator.MAXINDEX(ds, count, timeperiod=-2147483648)

Index of highest value over a specified period

pyalgotrade.talibext.indicator.MEDPRICE(barDs, count)

Median Price

pyalgotrade.talibext.indicator.MFI(barDs, count, timeperiod=-2147483648)

Money Flow Index

pyalgotrade.talibext.indicator.MIDPOINT(ds, count, timeperiod=-2147483648)

MidPoint over period

pyalgotrade.talibext.indicator.MIDPRICE(barDs, count, timeperiod=-2147483648)

Midpoint Price over period

pyalgotrade.talibext.indicator.MIN(ds, count, timeperiod=-2147483648)

Lowest value over a specified period

pyalgotrade.talibext.indicator.MININDEX(ds, count, timeperiod=-2147483648)

Index of lowest value over a specified period

pyalgotrade.talibext.indicator.MINMAX(ds, count, timeperiod=-2147483648)

Lowest and highest values over a specified period

pyalgotrade.talibext.indicator.MINMAXINDEX(ds, count, timeperiod=-2147483648)

Indexes of lowest and highest values over a specified period

pyalgotrade.talibext.indicator.MINUS_DI(barDs, count, timeperiod=-2147483648)

Minus Directional Indicator

pyalgotrade.talibext.indicator.MINUS_DM(barDs, count, timeperiod=-2147483648)

Minus Directional Movement

pyalgotrade.talibext.indicator.MOM(ds, count, timeperiod=-2147483648)

Momentum

pyalgotrade.talibext.indicator.NATR(barDs, count, timeperiod=-2147483648)

Normalized Average True Range

pyalgotrade.talibext.indicator.OBV(ds1, volumeDs, count)

On Balance Volume

pyalgotrade.talibext.indicator.PLUS_DI(barDs, count, timeperiod=-2147483648)

Plus Directional Indicator

pyalgotrade.talibext.indicator.PLUS_DM(barDs, count, timeperiod=-2147483648)

Plus Directional Movement

pyalgotrade.talibext.indicator.PPO(ds, count, fastperiod=-2147483648, slowperiod=-2147483648, matype=0)

Percentage Price Oscillator

pyalgotrade.talibext.indicator.ROC(ds, count, timeperiod=-2147483648)

Rate of change : ((price/prevPrice)-1)*100

pyalgotrade.talibext.indicator.ROCP(ds, count, timeperiod=-2147483648)

Rate of change Percentage: (price-prevPrice)/prevPrice

pyalgotrade.talibext.indicator.ROCR(ds, count, timeperiod=-2147483648)

Rate of change ratio: (price/prevPrice)

pyalgotrade.talibext.indicator.ROCR100(ds, count, timeperiod=-2147483648)

Rate of change ratio 100 scale: (price/prevPrice)*100

pyalgotrade.talibext.indicator.RSI(ds, count, timeperiod=-2147483648)

Relative Strength Index

pyalgotrade.talibext.indicator.SAR(barDs, count, acceleration=-4e+37, maximum=-4e+37)

Parabolic SAR

pyalgotrade.talibext.indicator.SAREXT(barDs, count, startvalue=-4e+37, offsetonreverse=-4e+37, accelerationinitlong=-4e+37, accelerationlong=-4e+37, accelerationmaxlong=-4e+37, accelerationinitshort=-4e+37, accelerationshort=-4e+37, accelerationmaxshort=-4e+37)

Parabolic SAR - Extended

pyalgotrade.talibext.indicator.SMA(ds, count, timeperiod=-2147483648)

Simple Moving Average

pyalgotrade.talibext.indicator.STDDEV(ds, count, timeperiod=-2147483648, nbdev=-4e+37)

Standard Deviation

pyalgotrade.talibext.indicator.STOCH(barDs, count, fastk_period=-2147483648, slowk_period=-2147483648, slowk_matype=0, slowd_period=-2147483648, slowd_matype=0)

Stochastic

pyalgotrade.talibext.indicator.STOCHF(barDs, count, fastk_period=-2147483648, fastd_period=-2147483648, fastd_matype=0)

Stochastic Fast

pyalgotrade.talibext.indicator.STOCHRSI(ds, count, timeperiod=-2147483648, fastk_period=-2147483648, fastd_period=-2147483648, fastd_matype=0)

Stochastic Relative Strength Index

pyalgotrade.talibext.indicator.SUM(ds, count, timeperiod=-2147483648)

Summation

pyalgotrade.talibext.indicator.T3(ds, count, timeperiod=-2147483648, vfactor=-4e+37)

Triple Exponential Moving Average (T3)

pyalgotrade.talibext.indicator.TEMA(ds, count, timeperiod=-2147483648)

Triple Exponential Moving Average

pyalgotrade.talibext.indicator.TRANGE(barDs, count)

True Range

pyalgotrade.talibext.indicator.TRIMA(ds, count, timeperiod=-2147483648)

Triangular Moving Average

pyalgotrade.talibext.indicator.TRIX(ds, count, timeperiod=-2147483648)

1-day Rate-Of-Change (ROC) of a Triple Smooth EMA

pyalgotrade.talibext.indicator.TSF(ds, count, timeperiod=-2147483648)

Time Series Forecast

pyalgotrade.talibext.indicator.TYPPRICE(barDs, count)

Typical Price

pyalgotrade.talibext.indicator.ULTOSC(barDs, count, timeperiod1=-2147483648, timeperiod2=-2147483648, timeperiod3=-2147483648)

Ultimate Oscillator

pyalgotrade.talibext.indicator.VAR(ds, count, timeperiod=-2147483648, nbdev=-4e+37)

Variance

pyalgotrade.talibext.indicator.WCLPRICE(barDs, count)

Weighted Close Price

pyalgotrade.talibext.indicator.WILLR(barDs, count, timeperiod=-2147483648)

Williams’ %R

pyalgotrade.talibext.indicator.WMA(ds, count, timeperiod=-2147483648)

Weighted Moving Average