ta.TaLibMetric.kt Maven / Gradle / Ivy

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Technical analysis support for the roboquant algorithmic trading platform

There is a newer version: 2.2.0

package org.roboquant.ta

import org.roboquant.brokers.Account
import org.roboquant.common.Asset
import org.roboquant.common.AssetFilter
import org.roboquant.feeds.Event
import org.roboquant.feeds.PriceBar
import org.roboquant.metrics.MetricResults
import org.roboquant.metrics.SimpleMetric
import org.roboquant.strategies.utils.PriceBarSeries

/**
 * Add a technical indicator as a metric, for example a moving average.
 *
 * @property name the name of the metric
 * @property history
 * @property assetFilter determines which assets to process, default is [AssetFilter.noFilter]
 * @property block
 * @constructor Create new metric
 */
class TaLibMetric(
    private val name: String,
    private val history: Int = 15,
    private val assetFilter: AssetFilter = AssetFilter.noFilter(),
    private var block: TaLib.(series: PriceBarSeries) -> Double
) : SimpleMetric() {

    private val buffers = mutableMapOf()
    private val taLib = TaLib()
    // private val logger: Logger = Logging.getLogger(TALibMetric::class)

    override fun calc(account: Account, event: Event): MetricResults {
        val metrics = mutableMapOf()
        val actions = event.prices.values.filterIsInstance().filter { assetFilter.filter(it.asset) }
        for (priceAction in actions) {
            val asset = priceAction.asset
            val buffer = buffers.getOrPut(asset) { PriceBarSeries(asset, history) }
            if (buffer.add(priceAction)) {
                val metric = block.invoke(taLib, buffer)
                val name = "$name.${asset.symbol.lowercase()}"
                metrics[name] = metric
            }
        }
        return metrics
    }


    override fun reset() {
        super.reset()
        buffers.clear()
    }

}