From 70224b8fb3a98cb2434204dbf4892f290a175aef Mon Sep 17 00:00:00 2001
From: CosmicTrader <59993625+CosmicTrader@users.noreply.github.com>
Date: Sat, 18 May 2024 13:36:02 +0530
Subject: [PATCH 1/4] Added numba implementation for smc.ob method named
smc.ob_numba
---
setup.py | 19 +++-
smartmoneyconcepts/smc.py | 210 +++++++++++++++++++++++++++++++++++++-
2 files changed, 225 insertions(+), 4 deletions(-)
diff --git a/setup.py b/setup.py
index d9e37bd..b301500 100644
--- a/setup.py
+++ b/setup.py
@@ -18,8 +18,21 @@
long_description_content_type="text/markdown",
long_description=LONG_DESCRIPTION,
packages=["smartmoneyconcepts"],
- install_requires=["pandas==2.0.2", "numpy==1.24.3"],
- keywords=['smart', 'money', 'concepts', 'ict', 'indicators', 'trading', 'forex', 'stocks', 'crypto', 'order', 'blocks', 'liquidity'],
+ install_requires=["pandas==2.0.2", "numpy==1.24.3", "numba==0.59.1"],
+ keywords=[
+ "smart",
+ "money",
+ "concepts",
+ "ict",
+ "indicators",
+ "trading",
+ "forex",
+ "stocks",
+ "crypto",
+ "order",
+ "blocks",
+ "liquidity",
+ ],
url="https://github.com/joshyattridge/smartmoneyconcepts",
classifiers=[
"Development Status :: 1 - Planning",
@@ -28,5 +41,5 @@
"Operating System :: Unix",
"Operating System :: MacOS :: MacOS X",
"Operating System :: Microsoft :: Windows",
- ]
+ ],
)
diff --git a/smartmoneyconcepts/smc.py b/smartmoneyconcepts/smc.py
index 5bef27f..1881710 100644
--- a/smartmoneyconcepts/smc.py
+++ b/smartmoneyconcepts/smc.py
@@ -3,7 +3,7 @@
import numpy as np
from pandas import DataFrame, Series
from datetime import datetime
-
+import numba as nb
def inputvalidator(input_="ohlc"):
def dfcheck(func):
@@ -49,6 +49,170 @@ def decorate(cls):
return decorate
+@nb.jit(nopython=True)
+def calculate_ob_with_numba(ohlc_arr, swing_highs_lows_arr, close_mitigation):
+
+ ohlc_len = len(ohlc_arr)
+ swing_highs_lows_len = len(swing_highs_lows_arr)
+ _open = 0
+ _high = 1
+ _low = 2
+ _close = 3
+ _volume = 4
+ _highlow = 0
+
+ crossed = np.full(ohlc_len, False, dtype=np.bool_)
+ ob = np.zeros(ohlc_len, dtype=np.int32)
+ top = np.zeros(ohlc_len, dtype=np.float32)
+ bottom = np.zeros(ohlc_len, dtype=np.float32)
+ obVolume = np.zeros(ohlc_len, dtype=np.float32)
+ lowVolume = np.zeros(ohlc_len, dtype=np.float32)
+ highVolume = np.zeros(ohlc_len, dtype=np.float32)
+ percentage = np.zeros(ohlc_len, dtype=np.float32)
+ mitigated_index = np.zeros(ohlc_len, dtype=np.int32)
+ breaker = np.full(ohlc_len, False, dtype=np.bool_)
+
+ for i in range(ohlc_len):
+ close_index = i
+ close_price = ohlc_arr[i, _close]
+
+ # Bullish Order Block
+ if np.any(ob == 1):
+ for j in range(ohlc_len - 1, -1, -1):
+ if ob[j] == 1:
+ currentOB = j
+ if breaker[currentOB]:
+ if ohlc_arr[i, _high] > top[currentOB]:
+ ob[j] = top[j] = bottom[j] = obVolume[j] = lowVolume[j] = (
+ highVolume[j]
+ ) = mitigated_index[j] = percentage[j] = 0.0
+
+ elif (
+ not close_mitigation and ohlc_arr[i, _low] < bottom[currentOB]
+ ) or (
+ close_mitigation
+ and np.min(np.array([ohlc_arr[i, _open], ohlc_arr[i, _close]]))
+ < bottom[currentOB]
+ ):
+ breaker[currentOB] = True
+ mitigated_index[currentOB] = close_index - 1
+
+ last_top_index = -1
+ for j in range(swing_highs_lows_len):
+ if swing_highs_lows_arr[j, _highlow] == 1 and j < close_index:
+ last_top_index = j
+
+ if last_top_index != -1:
+ swing_top_price = ohlc_arr[last_top_index, _high]
+
+ if close_price > swing_top_price and not crossed[last_top_index]:
+ crossed[last_top_index] = True
+ obBtm = ohlc_arr[close_index - 1, _high]
+ obTop = ohlc_arr[close_index - 1, _low]
+ obIndex = close_index - 1
+ for j in range(1, close_index - last_top_index):
+ obBtm = np.min(
+ np.array([ohlc_arr[last_top_index + j, _low], obBtm])
+ )
+ if obBtm == ohlc_arr[last_top_index + j, _low]:
+ obTop = ohlc_arr[last_top_index + j, _high]
+ obIndex = (
+ last_top_index + j
+ if obBtm == ohlc_arr[last_top_index + j, _low]
+ else obIndex
+ )
+
+ ob[obIndex] = 1
+ top[obIndex] = obTop
+ bottom[obIndex] = obBtm
+ obVolume[obIndex] = np.sum(ohlc_arr[i - 2 : i + 1, 4])
+ lowVolume[obIndex] = ohlc_arr[close_index - 2, _volume]
+ highVolume[obIndex] = np.sum(ohlc_arr[i - 1 : i + 1, 4])
+ percentage[obIndex] = (
+ np.min(np.array([highVolume[obIndex], lowVolume[obIndex]]))
+ / np.max(np.array([highVolume[obIndex], lowVolume[obIndex]]))
+ if np.max(np.array([highVolume[obIndex], lowVolume[obIndex]])) != 0
+ else 1
+ ) * 100.0
+
+ for i in range(ohlc_len):
+ close_index = i
+ close_price = ohlc_arr[i, _close]
+
+ # Bearish Order Block
+ if np.any(ob == -1):
+ for j in range(ohlc_len - 1, -1, -1):
+ if ob[j] == -1:
+ currentOB = j
+ if breaker[currentOB]:
+ if ohlc_arr[i, _low] < bottom[currentOB]:
+ ob[j] = top[j] = bottom[j] = obVolume[j] = lowVolume[j] = (
+ highVolume[j]
+ ) = mitigated_index[j] = percentage[j] = 0.0
+
+ elif (
+ not close_mitigation and ohlc_arr[i, _high] > top[currentOB]
+ ) or (
+ close_mitigation
+ and np.max(
+ np.array([ohlc_arr[i, _open], ohlc_arr[i, _close]])
+ )
+ > top[currentOB]
+ ):
+ breaker[currentOB] = True
+ mitigated_index[currentOB] = close_index
+
+ last_btm_index = -1
+ for j in range(swing_highs_lows_len):
+ if swing_highs_lows_arr[j, _highlow] == -1 and j < close_index:
+ last_btm_index = j
+
+ if last_btm_index != -1:
+ swing_btm_price = ohlc_arr[last_btm_index, _low]
+
+ if close_price < swing_btm_price and not crossed[last_btm_index]:
+ crossed[last_btm_index] = True
+ obBtm = ohlc_arr[i - 1, _low]
+ obTop = ohlc_arr[i - 1, _high]
+ obIndex = close_index - 1
+ for j in range(1, close_index - last_btm_index):
+ obTop = np.max(
+ np.array([ohlc_arr[last_btm_index + j, _high], obTop])
+ )
+ obBtm = (
+ ohlc_arr[last_btm_index + j, _low]
+ if obTop == ohlc_arr[last_btm_index + j, _high]
+ else obBtm
+ )
+ obIndex = (
+ last_btm_index + j
+ if obTop == ohlc_arr[last_btm_index + j, _high]
+ else obIndex
+ )
+
+ ob[obIndex] = -1
+ top[obIndex] = obTop
+ bottom[obIndex] = obBtm
+ obVolume[obIndex] = np.sum(ohlc_arr[i - 2 : i + 1, 4])
+ lowVolume[obIndex] = np.sum(ohlc_arr[i - 1 : i + 1, 4])
+ highVolume[obIndex] = ohlc_arr[close_index - 2, _volume]
+ percentage[obIndex] = (
+ np.min(np.array([highVolume[obIndex], lowVolume[obIndex]]))
+ / np.max(np.array([highVolume[obIndex], lowVolume[obIndex]]))
+ if np.max(np.array([highVolume[obIndex], lowVolume[obIndex]])) != 0
+ else 1
+ ) * 100.0
+
+ ob = np.where(ob != 0, ob, np.nan)
+ top = np.where(~np.isnan(ob), top, np.nan)
+ bottom = np.where(~np.isnan(ob), bottom, np.nan)
+ obVolume = np.where(~np.isnan(ob), obVolume, np.nan)
+ mitigated_index = np.where(~np.isnan(ob), mitigated_index, np.nan)
+ percentage = np.where(~np.isnan(ob), percentage, np.nan)
+
+ return [ob, top, bottom, obVolume, mitigated_index, percentage]
+
+
@apply(inputvalidator(input_="ohlc"))
class smc:
__version__ = "0.0.21"
@@ -576,6 +740,50 @@ def ob(
axis=1,
)
+ @classmethod
+ def ob_numba(
+ cls,
+ ohlc: DataFrame,
+ swing_highs_lows: DataFrame,
+ close_mitigation: bool = False,
+ ) -> DataFrame:
+ """
+ ob_numba - Order Blocks using numba
+ Numba is an open source JIT compiler that translates a subset of Python and NumPy code into fast machine code.
+ First usage might take more time becuase of initial compilation of python code to machine code, so please use smaller dataset for initial run, in subsequent runs it is very fast in the order of 100x in some cases.
+
+ Just like OB, this method also detects order blocks when there is a high amount of market orders exist on a price range.
+ Results might very slightly than OB.
+
+ parameters:
+ ohlc: DataFrame - OHLCV data
+ swing_highs_lows: DataFrame - provide the dataframe from the swing_highs_lows function
+ close_mitigation: bool - if True then the order block will be mitigated based on the close of the candle otherwise it will be the high/low.
+
+ returns:
+ OB = 1 if bullish order block, -1 if bearish order block
+ Top = top of the order block
+ Bottom = bottom of the order block
+ OBVolume = volume + 2 last volumes amounts
+ Percentage = strength of order block (min(highVolume, lowVolume)/max(highVolume,lowVolume))
+ """
+
+ swing_highs_lows = swing_highs_lows.copy()
+ ohlc_arr = ohlc[["open", "high", "low", "close", "volume"]].values
+ swing_highs_lows_arr = swing_highs_lows.values
+
+ result = calculate_ob_with_numba(
+ ohlc_arr=ohlc_arr,
+ swing_highs_lows_arr=swing_highs_lows_arr,
+ close_mitigation=close_mitigation,
+ )
+
+ df = pd.DataFrame(result)
+ df = df.transpose()
+ df.columns = ["OB", "Top", "Bottom", "OBVolume", "MitigatedIndex", "Percentage"]
+
+ return df
+
@classmethod
def liquidity(
cls, ohlc: DataFrame, swing_highs_lows: DataFrame, range_percent: float = 0.01
From f05169dc2ce93adb4afc5f440f513efe5393bfc7 Mon Sep 17 00:00:00 2001
From: CosmicTrader <59993625+CosmicTrader@users.noreply.github.com>
Date: Sat, 18 May 2024 13:36:53 +0530
Subject: [PATCH 2/4] arranged test data in instrument folder so user can test
multiple instruments easily
---
tests/test_data/{ => EURUSD}/EURUSD_15M.csv | 48848 ++++++++--------
.../{ => EURUSD}/bos_choch_result_data.csv | 0
.../{ => EURUSD}/fvg_result_data.csv | 0
.../{ => EURUSD}/liquidity_result_data.csv | 0
.../test_data/EURUSD/ob_numba_result_data.csv | 24425 ++++++++
.../test_data/{ => EURUSD}/ob_result_data.csv | 0
.../previous_high_low_result_data.csv | 0
.../{ => EURUSD}/retracements_result_data.csv | 0
.../{ => EURUSD}/sessions_result_data.csv | 0
.../swing_highs_lows_result_data.csv | 0
tests/test_data/NIFTY/NIFTY_15M.csv | 1262 +
.../test_data/NIFTY/bos_choch_result_data.csv | 1262 +
tests/test_data/NIFTY/fvg_result_data.csv | 1262 +
.../test_data/NIFTY/liquidity_result_data.csv | 1262 +
.../test_data/NIFTY/ob_numba_result_data.csv | 1262 +
tests/test_data/NIFTY/ob_result_data.csv | 1262 +
.../NIFTY/previous_high_low_result_data.csv | 1262 +
.../NIFTY/retracements_result_data.csv | 1262 +
.../test_data/NIFTY/sessions_result_data.csv | 1262 +
.../NIFTY/swing_highs_lows_result_data.csv | 1262 +
tests/unit_tests.py | 142 +-
21 files changed, 61574 insertions(+), 24461 deletions(-)
rename tests/test_data/{ => EURUSD}/EURUSD_15M.csv (98%)
rename tests/test_data/{ => EURUSD}/bos_choch_result_data.csv (100%)
rename tests/test_data/{ => EURUSD}/fvg_result_data.csv (100%)
rename tests/test_data/{ => EURUSD}/liquidity_result_data.csv (100%)
create mode 100644 tests/test_data/EURUSD/ob_numba_result_data.csv
rename tests/test_data/{ => EURUSD}/ob_result_data.csv (100%)
rename tests/test_data/{ => EURUSD}/previous_high_low_result_data.csv (100%)
rename tests/test_data/{ => EURUSD}/retracements_result_data.csv (100%)
rename tests/test_data/{ => EURUSD}/sessions_result_data.csv (100%)
rename tests/test_data/{ => EURUSD}/swing_highs_lows_result_data.csv (100%)
create mode 100644 tests/test_data/NIFTY/NIFTY_15M.csv
create mode 100644 tests/test_data/NIFTY/bos_choch_result_data.csv
create mode 100644 tests/test_data/NIFTY/fvg_result_data.csv
create mode 100644 tests/test_data/NIFTY/liquidity_result_data.csv
create mode 100644 tests/test_data/NIFTY/ob_numba_result_data.csv
create mode 100644 tests/test_data/NIFTY/ob_result_data.csv
create mode 100644 tests/test_data/NIFTY/previous_high_low_result_data.csv
create mode 100644 tests/test_data/NIFTY/retracements_result_data.csv
create mode 100644 tests/test_data/NIFTY/sessions_result_data.csv
create mode 100644 tests/test_data/NIFTY/swing_highs_lows_result_data.csv
diff --git a/tests/test_data/EURUSD_15M.csv b/tests/test_data/EURUSD/EURUSD_15M.csv
similarity index 98%
rename from tests/test_data/EURUSD_15M.csv
rename to tests/test_data/EURUSD/EURUSD_15M.csv
index c79728d..51d9265 100644
--- a/tests/test_data/EURUSD_15M.csv
+++ b/tests/test_data/EURUSD/EURUSD_15M.csv
@@ -1,24425 +1,24425 @@
-Date,Open,High,Low,Close,Tickvol,Volume,Spread
-2022.10.10 00:00:00,0.97312,0.97369,0.97312,0.97357,60,0,20
-2022.10.10 00:15:00,0.9735,0.97362,0.97328,0.97362,57,0,20
-2022.10.10 00:30:00,0.97362,0.97373,0.97331,0.97361,75,0,20
-2022.10.10 00:45:00,0.97358,0.97366,0.97333,0.97337,154,0,20
-2022.10.10 01:00:00,0.97336,0.97391,0.97292,0.97357,595,0,1
-2022.10.10 01:15:00,0.97359,0.9738,0.97286,0.97328,1056,0,1
-2022.10.10 01:30:00,0.97328,0.97343,0.97295,0.97324,922,0,1
-2022.10.10 01:45:00,0.97324,0.9735,0.97306,0.97313,727,0,1
-2022.10.10 02:00:00,0.97313,0.97357,0.97272,0.97344,1006,0,0
-2022.10.10 02:15:00,0.97343,0.97368,0.97341,0.97351,523,0,1
-2022.10.10 02:30:00,0.97345,0.97345,0.97281,0.97323,869,0,1
-2022.10.10 02:45:00,0.97322,0.97354,0.97313,0.97348,771,0,0
-2022.10.10 03:00:00,0.97348,0.97372,0.97306,0.97319,1161,0,0
-2022.10.10 03:15:00,0.9732,0.97351,0.97267,0.97283,1247,0,0
-2022.10.10 03:30:00,0.97282,0.97374,0.97247,0.97351,1243,0,1
-2022.10.10 03:45:00,0.9735,0.97414,0.97338,0.97377,720,0,0
-2022.10.10 04:00:00,0.97381,0.97446,0.97367,0.97435,1118,0,0
-2022.10.10 04:15:00,0.97435,0.97455,0.97383,0.9741,1141,0,0
-2022.10.10 04:30:00,0.9741,0.97482,0.97396,0.97473,1770,0,0
-2022.10.10 04:45:00,0.97473,0.97533,0.9746,0.97504,933,0,0
-2022.10.10 05:00:00,0.97505,0.97507,0.97456,0.97461,938,0,0
-2022.10.10 05:15:00,0.97462,0.97485,0.97446,0.97456,917,0,0
-2022.10.10 05:30:00,0.97456,0.9746,0.97434,0.97443,921,0,1
-2022.10.10 05:45:00,0.97443,0.9746,0.9741,0.97454,823,0,1
-2022.10.10 06:00:00,0.97451,0.97461,0.97402,0.97438,681,0,1
-2022.10.10 06:15:00,0.97437,0.97438,0.97356,0.97367,770,0,1
-2022.10.10 06:30:00,0.97367,0.97388,0.97326,0.97333,646,0,0
-2022.10.10 06:45:00,0.97333,0.9738,0.97324,0.97378,698,0,1
-2022.10.10 07:00:00,0.97377,0.97395,0.97354,0.97382,812,0,0
-2022.10.10 07:15:00,0.97382,0.97398,0.97329,0.97343,580,0,0
-2022.10.10 07:30:00,0.97343,0.97389,0.97339,0.97389,495,0,0
-2022.10.10 07:45:00,0.9739,0.9741,0.97365,0.97399,575,0,0
-2022.10.10 08:00:00,0.97399,0.97423,0.97376,0.97395,786,0,0
-2022.10.10 08:15:00,0.97394,0.97436,0.9736,0.97366,679,0,0
-2022.10.10 08:30:00,0.97361,0.97362,0.97182,0.97221,1015,0,0
-2022.10.10 08:45:00,0.97221,0.97262,0.97159,0.9717,1280,0,0
-2022.10.10 09:00:00,0.97171,0.97325,0.97171,0.97312,1889,0,0
-2022.10.10 09:15:00,0.97312,0.97337,0.97277,0.973,1345,0,0
-2022.10.10 09:30:00,0.97301,0.97318,0.97216,0.97257,1367,0,0
-2022.10.10 09:45:00,0.97258,0.97323,0.97167,0.9719,1434,0,0
-2022.10.10 10:00:00,0.97192,0.97333,0.97184,0.97297,2473,0,0
-2022.10.10 10:15:00,0.97295,0.97311,0.97229,0.97229,2020,0,0
-2022.10.10 10:30:00,0.97228,0.97256,0.97043,0.97046,1844,0,0
-2022.10.10 10:45:00,0.97046,0.97081,0.96992,0.97069,1814,0,0
-2022.10.10 11:00:00,0.97065,0.9709,0.96903,0.96907,1792,0,0
-2022.10.10 11:15:00,0.96904,0.96977,0.96875,0.96923,2043,0,0
-2022.10.10 11:30:00,0.96922,0.96926,0.96819,0.96873,1986,0,0
-2022.10.10 11:45:00,0.96873,0.96932,0.96847,0.96885,1998,0,0
-2022.10.10 12:00:00,0.96887,0.97092,0.96886,0.97002,2581,0,0
-2022.10.10 12:15:00,0.97004,0.97085,0.96948,0.96963,1770,0,0
-2022.10.10 12:30:00,0.96963,0.97062,0.96938,0.97053,1792,0,0
-2022.10.10 12:45:00,0.97053,0.97093,0.97024,0.97067,1525,0,0
-2022.10.10 13:00:00,0.97067,0.97095,0.97027,0.97063,1439,0,0
-2022.10.10 13:15:00,0.97063,0.97063,0.96978,0.97046,1566,0,0
-2022.10.10 13:30:00,0.97046,0.97089,0.96962,0.96979,1410,0,0
-2022.10.10 13:45:00,0.96979,0.96997,0.96886,0.96927,1559,0,0
-2022.10.10 14:00:00,0.96927,0.96977,0.96915,0.96973,1609,0,0
-2022.10.10 14:15:00,0.96972,0.97068,0.96959,0.97065,1523,0,0
-2022.10.10 14:30:00,0.97059,0.97064,0.96903,0.96922,1528,0,0
-2022.10.10 14:45:00,0.96922,0.9699,0.96871,0.96973,1717,0,0
-2022.10.10 15:00:00,0.96973,0.97024,0.96945,0.96975,1998,0,0
-2022.10.10 15:15:00,0.96977,0.97143,0.96938,0.97133,1877,0,0
-2022.10.10 15:30:00,0.97134,0.97192,0.9709,0.97103,1561,0,0
-2022.10.10 15:45:00,0.97102,0.97155,0.9707,0.97148,1737,0,0
-2022.10.10 16:00:00,0.97146,0.97219,0.97091,0.9711,1903,0,0
-2022.10.10 16:15:00,0.9711,0.97153,0.97012,0.97013,1833,0,0
-2022.10.10 16:30:00,0.97016,0.97053,0.96942,0.97041,3352,0,0
-2022.10.10 16:45:00,0.9704,0.97062,0.96973,0.97002,3182,0,0
-2022.10.10 17:00:00,0.97002,0.97048,0.96952,0.96986,2564,0,0
-2022.10.10 17:15:00,0.96986,0.97121,0.96979,0.97084,2372,0,0
-2022.10.10 17:30:00,0.97087,0.97455,0.97038,0.97121,3915,0,0
-2022.10.10 17:45:00,0.97121,0.97149,0.96983,0.97026,3574,0,0
-2022.10.10 18:00:00,0.97026,0.97039,0.96926,0.9695,2792,0,0
-2022.10.10 18:15:00,0.96949,0.96959,0.96853,0.96865,2574,0,0
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2023.10.02 06:45:00,1.05692,1.05697,1.05676,1.05697,105,0,1
\ No newline at end of file
diff --git a/tests/test_data/bos_choch_result_data.csv b/tests/test_data/EURUSD/bos_choch_result_data.csv
similarity index 100%
rename from tests/test_data/bos_choch_result_data.csv
rename to tests/test_data/EURUSD/bos_choch_result_data.csv
diff --git a/tests/test_data/fvg_result_data.csv b/tests/test_data/EURUSD/fvg_result_data.csv
similarity index 100%
rename from tests/test_data/fvg_result_data.csv
rename to tests/test_data/EURUSD/fvg_result_data.csv
diff --git a/tests/test_data/liquidity_result_data.csv b/tests/test_data/EURUSD/liquidity_result_data.csv
similarity index 100%
rename from tests/test_data/liquidity_result_data.csv
rename to tests/test_data/EURUSD/liquidity_result_data.csv
diff --git a/tests/test_data/EURUSD/ob_numba_result_data.csv b/tests/test_data/EURUSD/ob_numba_result_data.csv
new file mode 100644
index 0000000..e85d020
--- /dev/null
+++ b/tests/test_data/EURUSD/ob_numba_result_data.csv
@@ -0,0 +1,24425 @@
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diff --git a/tests/test_data/ob_result_data.csv b/tests/test_data/EURUSD/ob_result_data.csv
similarity index 100%
rename from tests/test_data/ob_result_data.csv
rename to tests/test_data/EURUSD/ob_result_data.csv
diff --git a/tests/test_data/previous_high_low_result_data.csv b/tests/test_data/EURUSD/previous_high_low_result_data.csv
similarity index 100%
rename from tests/test_data/previous_high_low_result_data.csv
rename to tests/test_data/EURUSD/previous_high_low_result_data.csv
diff --git a/tests/test_data/retracements_result_data.csv b/tests/test_data/EURUSD/retracements_result_data.csv
similarity index 100%
rename from tests/test_data/retracements_result_data.csv
rename to tests/test_data/EURUSD/retracements_result_data.csv
diff --git a/tests/test_data/sessions_result_data.csv b/tests/test_data/EURUSD/sessions_result_data.csv
similarity index 100%
rename from tests/test_data/sessions_result_data.csv
rename to tests/test_data/EURUSD/sessions_result_data.csv
diff --git a/tests/test_data/swing_highs_lows_result_data.csv b/tests/test_data/EURUSD/swing_highs_lows_result_data.csv
similarity index 100%
rename from tests/test_data/swing_highs_lows_result_data.csv
rename to tests/test_data/EURUSD/swing_highs_lows_result_data.csv
diff --git a/tests/test_data/NIFTY/NIFTY_15M.csv b/tests/test_data/NIFTY/NIFTY_15M.csv
new file mode 100644
index 0000000..2bc08b0
--- /dev/null
+++ b/tests/test_data/NIFTY/NIFTY_15M.csv
@@ -0,0 +1,1262 @@
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diff --git a/tests/test_data/NIFTY/bos_choch_result_data.csv b/tests/test_data/NIFTY/bos_choch_result_data.csv
new file mode 100644
index 0000000..eb68a8b
--- /dev/null
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diff --git a/tests/test_data/NIFTY/fvg_result_data.csv b/tests/test_data/NIFTY/fvg_result_data.csv
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diff --git a/tests/test_data/NIFTY/liquidity_result_data.csv b/tests/test_data/NIFTY/liquidity_result_data.csv
new file mode 100644
index 0000000..8e04448
--- /dev/null
+++ b/tests/test_data/NIFTY/liquidity_result_data.csv
@@ -0,0 +1,1262 @@
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diff --git a/tests/test_data/NIFTY/ob_numba_result_data.csv b/tests/test_data/NIFTY/ob_numba_result_data.csv
new file mode 100644
index 0000000..d3d740e
--- /dev/null
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diff --git a/tests/test_data/NIFTY/ob_result_data.csv b/tests/test_data/NIFTY/ob_result_data.csv
new file mode 100644
index 0000000..008ba86
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diff --git a/tests/test_data/NIFTY/retracements_result_data.csv b/tests/test_data/NIFTY/retracements_result_data.csv
new file mode 100644
index 0000000..064ee2d
--- /dev/null
+++ b/tests/test_data/NIFTY/retracements_result_data.csv
@@ -0,0 +1,1262 @@
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diff --git a/tests/test_data/NIFTY/sessions_result_data.csv b/tests/test_data/NIFTY/sessions_result_data.csv
new file mode 100644
index 0000000..cb97e21
--- /dev/null
+++ b/tests/test_data/NIFTY/sessions_result_data.csv
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index 0000000..2528fc1
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+,
+,
+,
+,
+,
+,
+,
+,
+,
+,
+,
+,
+,
+,
+,
+,
+,
+,
+,
+,
+,
+,
+,
+,
+,
+,
+,
+1.0,22845.0
+-1.0,22785.65
+,
+,
+,
+,
+,
+1.0,22835.0
+,
+-1.0,22788.0
+,
+,
+,
+1.0,22850.0
+,
+,
+,
+,
+,
+-1.0,22688.05
+,
+,
+,
+,
+,
+,
+,
+,
+1.0,22798.0
+,
+,
+,
+,
+-1.0,22752.0
+,
+,
+,
+1.0,22808.4
+,
+-1.0,22750.15
+,
+,
+,
+,
+,
+1.0,22888.35
+,
+,
+,
+,
+,
+,
+,
+,
+,
+,
+,
+,
+,
+,
+,
+,
+-1.0,22470.0
+,
+,
+,
+,
+,
+,
+,
+1.0,22686.4
+,
+-1.0,22535.0
+,
+,
+,
+1.0,22648.0
+,
+,
+,
+,
+,
+,
+,
+,
+,
+-1.0,22510.0
+,
+,
+,
+,
+1.0,22593.0
+,
+,
+,
+,
+,
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+,
+,
+,
+,
+,
+,
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+,
+,
+,
+,
+,
+-1.0,22312.6
+,
+,
+,
+,
+,
+1.0,22421.0
+,
+,
+-1.0,22286.15
+,
+,
+1.0,22405.65
+,
+-1.0,22288.0
+,
+,
+,
+,
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+,
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+1.0,22490.0
+,
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+-1.0,22051.35
+,
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+,
+,
+1.0,22230.0
+,
+,
+,
+,
+,
+,
+,
+,
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+,
+,
+-1.0,22050.85
+,
+,
+,
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+1.0,22165.35
+,
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+-1.0,21900.0
+,
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+1.0,22260.0
+,
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+-1.0,22160.0
+,
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+,
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+1.0,22375.45
+,
+,
+-1.0,22211.0
+,
+1.0,22332.85
+,
+,
+,
+,
+,
+,
+,
+,
+,
+,
+-1.0,22225.0
+,
+,
+,
+,
+,
+,
+1.0,22400.0
+,
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+,
+,
+,
+,
+,
+-1.0,22203.0
+,
+,
+,
+1.0,22392.0
+,
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+,
+-1.0,22154.05
+,
+,
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+,
+,
+,
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+,
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+1.0,22534.4
+,
+,
+,
+,
+-1.0,22485.1
+,
+1.0,22546.0
+,
+,
+,
+,
+,
+-1.0,22468.8
+,
+,
+,
+,
+1.0,22504.0
diff --git a/tests/unit_tests.py b/tests/unit_tests.py
index 7d2987c..fd6c6ff 100644
--- a/tests/unit_tests.py
+++ b/tests/unit_tests.py
@@ -9,8 +9,10 @@
sys.path.append(os.path.abspath("../"))
from smartmoneyconcepts.smc import smc
-# import test data
-df = pd.read_csv("test_data/EURUSD_15M.csv")
+# define and import test data
+test_instrument = "EURUSD"
+instrument_data = f"{test_instrument}_15M.csv"
+df = pd.read_csv(os.path.join("test_data", test_instrument, instrument_data))
class TestSmartMoneyConcepts(unittest.TestCase):
# to test each function in the smartmoneyconcepts package
@@ -19,14 +21,20 @@ class TestSmartMoneyConcepts(unittest.TestCase):
def test_fvg(self):
start_time = time.time()
fvg_data = smc.fvg(df, join_consecutive=True)
- fvg_result_data = pd.read_csv("test_data/fvg_result_data.csv")
+ fvg_result_data = pd.read_csv(
+ os.path.join("test_data", test_instrument, "fvg_result_data.csv")
+ )
print("fvg test time: ", time.time() - start_time)
pd.testing.assert_frame_equal(fvg_data, fvg_result_data, check_dtype=False)
def test_swing_highs_lows(self):
start_time = time.time()
swing_highs_lows_data = smc.swing_highs_lows(df, swing_length=5)
- swing_highs_lows_result_data = pd.read_csv("test_data/swing_highs_lows_result_data.csv")
+ swing_highs_lows_result_data = pd.read_csv(
+ os.path.join(
+ "test_data", test_instrument, "swing_highs_lows_result_data.csv"
+ )
+ )
print("swing_highs_lows test time: ", time.time() - start_time)
pd.testing.assert_frame_equal(swing_highs_lows_data, swing_highs_lows_result_data, check_dtype=False)
@@ -34,38 +42,63 @@ def test_bos_choch(self):
start_time = time.time()
swing_highs_lows_data = smc.swing_highs_lows(df, swing_length=5)
bos_choch_data = smc.bos_choch(df, swing_highs_lows_data)
- bos_choch_result_data = pd.read_csv("test_data/bos_choch_result_data.csv")
+ bos_choch_result_data = pd.read_csv(
+ os.path.join("test_data", test_instrument, "bos_choch_result_data.csv")
+ )
print("bos_choch test time: ", time.time() - start_time)
- pd.testing.assert_frame_equal(bos_choch_data, bos_choch_result_data, check_dtype=False)
-
+ pd.testing.assert_frame_equal(
+ bos_choch_data, bos_choch_result_data, check_dtype=False
+ )
def test_ob(self):
start_time = time.time()
swing_highs_lows_data = smc.swing_highs_lows(df, swing_length=5)
ob_data = smc.ob(df, swing_highs_lows_data)
- ob_result_data = pd.read_csv("test_data/ob_result_data.csv")
+ ob_result_data = pd.read_csv(
+ os.path.join("test_data", test_instrument, "ob_result_data.csv")
+ )
print("ob test time: ", time.time() - start_time)
pd.testing.assert_frame_equal(ob_data, ob_result_data, check_dtype=False)
+ def test_ob_numba(self):
+ start_time = time.time()
+ swing_highs_lows_data = smc.swing_highs_lows(df, swing_length=5)
+ ob_numba_data = smc.ob_numba(df, swing_highs_lows_data)
+ ob_numba_result_data = pd.read_csv(
+ os.path.join("test_data", test_instrument, "ob_numba_result_data.csv")
+ )
+ print("ob_numba test time: ", time.time() - start_time)
+ pd.testing.assert_frame_equal(
+ ob_numba_data, ob_numba_result_data, check_dtype=False
+ )
+
def test_liquidity(self):
start_time = time.time()
swing_highs_lows_data = smc.swing_highs_lows(df, swing_length=5)
liquidity_data = smc.liquidity(df, swing_highs_lows_data)
- liquidity_result_data = pd.read_csv("test_data/liquidity_result_data.csv")
+ liquidity_result_data = pd.read_csv(
+ os.path.join("test_data", test_instrument, "liquidity_result_data.csv")
+ )
print("liquidity test time: ", time.time() - start_time)
pd.testing.assert_frame_equal(liquidity_data, liquidity_result_data, check_dtype=False)
def test_previous_high_low(self):
start_time = time.time()
previous_high_low_data = smc.previous_high_low(df, time_frame="4h")
- previous_high_low_result_data = pd.read_csv("test_data/previous_high_low_result_data.csv")
+ previous_high_low_result_data = pd.read_csv(
+ os.path.join(
+ "test_data", test_instrument, "previous_high_low_result_data.csv"
+ )
+ )
print("previous_high_low test time: ", time.time() - start_time)
pd.testing.assert_frame_equal(previous_high_low_data, previous_high_low_result_data, check_dtype=False)
def test_sessions(self):
start_time = time.time()
sessions = smc.sessions(df, session="London")
- sessions_result_data = pd.read_csv("test_data/sessions_result_data.csv")
+ sessions_result_data = pd.read_csv(
+ os.path.join("test_data", test_instrument, "sessions_result_data.csv")
+ )
print("sessions test time: ", time.time() - start_time)
pd.testing.assert_frame_equal(sessions, sessions_result_data, check_dtype=False)
@@ -73,7 +106,9 @@ def test_retracements(self):
start_time = time.time()
swing_highs_lows_data = smc.swing_highs_lows(df, swing_length=5)
retracements = smc.retracements(df, swing_highs_lows_data)
- retracements_result_data = pd.read_csv("test_data/retracements_result_data.csv")
+ retracements_result_data = pd.read_csv(
+ os.path.join("test_data", test_instrument, "retracements_result_data.csv")
+ )
print("retracements test time: ", time.time() - start_time)
pd.testing.assert_frame_equal(retracements, retracements_result_data, check_dtype=False)
@@ -83,28 +118,61 @@ def test_retracements(self):
# def generate_results_data():
- # fvg_data = smc.fvg(df, join_consecutive=True)
- # fvg_data.to_csv("test_data/fvg_result_data.csv", index=False)
-
- # swing_highs_lows_data = smc.swing_highs_lows(df, swing_length=5)
- # swing_highs_lows_data.to_csv("test_data/swing_highs_lows_result_data.csv", index=False)
-
- # bos_choch_data = smc.bos_choch(df, swing_highs_lows_data)
- # bos_choch_data.to_csv("test_data/bos_choch_result_data.csv", index=False)
-
- # ob_data = smc.ob(df, swing_highs_lows_data)
- # ob_data.to_csv("test_data/ob_result_data.csv", index=False)
-
- # liquidity_data = smc.liquidity(df, swing_highs_lows_data)
- # liquidity_data.to_csv("test_data/liquidity_result_data.csv", index=False)
-
- # previous_high_low_data = smc.previous_high_low(df, time_frame="4h")
- # previous_high_low_data.to_csv("test_data/previous_high_low_result_data.csv", index=False)
-
- # sessions = smc.sessions(df, session="London")
- # sessions.to_csv("test_data/sessions_result_data.csv", index=False)
-
- # retracements = smc.retracements(df, swing_highs_lows_data)
- # retracements.to_csv("test_data/retracements_result_data.csv", index=False)
-
-# generate_results_data()
\ No newline at end of file
+# fvg_data = smc.fvg(df, join_consecutive=True)
+# fvg_data.to_csv(
+# os.path.join("test_data", test_instrument, "fvg_result_data.csv"), index=False
+# )
+
+# swing_highs_lows_data = smc.swing_highs_lows(df, swing_length=5)
+# swing_highs_lows_data.to_csv(
+# os.path.join("test_data", test_instrument, "swing_highs_lows_result_data.csv"),
+# index=False,
+# )
+
+# bos_choch_data = smc.bos_choch(df, swing_highs_lows_data)
+# bos_choch_data.to_csv(
+# os.path.join("test_data", test_instrument, "bos_choch_result_data.csv"),
+# index=False,
+# )
+
+# ob_data = smc.ob(df, swing_highs_lows_data)
+# ob_data.to_csv(
+# os.path.join("test_data", test_instrument, "ob_result_data.csv"), index=False
+# )
+
+# small_df = df[:500].copy()
+# swing_highs_lows_data = smc.swing_highs_lows(small_df, swing_length=5)
+# ob_numba_data = smc.ob_numba(small_df, swing_highs_lows_data)
+
+# ob_numba_data = smc.ob_numba(df, swing_highs_lows_data)
+# ob_numba_data.to_csv(
+# os.path.join("test_data", test_instrument, "ob_numba_result_data.csv"),
+# index=False,
+# )
+
+# liquidity_data = smc.liquidity(df, swing_highs_lows_data)
+# liquidity_data.to_csv(
+# os.path.join("test_data", test_instrument, "liquidity_result_data.csv"),
+# index=False,
+# )
+
+# previous_high_low_data = smc.previous_high_low(df, time_frame="4h")
+# previous_high_low_data.to_csv(
+# os.path.join("test_data", test_instrument, "previous_high_low_result_data.csv"),
+# index=False,
+# )
+
+# sessions = smc.sessions(df, session="London")
+# sessions.to_csv(
+# os.path.join("test_data", test_instrument, "sessions_result_data.csv"),
+# index=False,
+# )
+
+# retracements = smc.retracements(df, swing_highs_lows_data)
+# retracements.to_csv(
+# os.path.join("test_data", test_instrument, "retracements_result_data.csv"),
+# index=False,
+# )
+
+
+# generate_results_data()
From a0224f1b8a80b8d6ba428defcfcccf7702d91961 Mon Sep 17 00:00:00 2001
From: CosmicTrader <59993625+CosmicTrader@users.noreply.github.com>
Date: Sat, 18 May 2024 14:11:39 +0530
Subject: [PATCH 3/4] added description for ob_numba
---
README.md | 24 ++++++++++++++++++++++++
1 file changed, 24 insertions(+)
diff --git a/README.md b/README.md
index 8d8089c..d77e77d 100644
--- a/README.md
+++ b/README.md
@@ -95,6 +95,30 @@ Bottom = bottom of the order block
OBVolume = volume + 2 last volumes amounts
Percentage = strength of order block (min(highVolume, lowVolume)/max(highVolume,lowVolume))
+
+### Order Blocks Numba (OB_numba)
+
+```python
+smc.ob_numba(ohlc, swing_highs_lows, close_mitigation = False)
+```
+ob_numba - Order Blocks using numba
+Numba is an open source JIT compiler that translates a subset of Python and NumPy code into fast machine code.
+First usage might take more time becuase of initial compilation of python code to machine code, so please use smaller dataset for initial run, in subsequent runs it is very fast in the order of 100x in some cases.
+
+Just like OB, this method also detects order blocks when there is a high amount of market orders exist on a price range.
+Results might very slightly than OB.
+
+parameters:
+swing_highs_lows: DataFrame - provide the dataframe from the swing_highs_lows function
+close_mitigation: bool - if True then the order block will be mitigated based on the close of the candle otherwise it will be the high/low.
+
+returns:
+OB = 1 if bullish order block, -1 if bearish order block
+Top = top of the order block
+Bottom = bottom of the order block
+OBVolume = volume + 2 last volumes amounts
+Percentage = strength of order block (min(highVolume, lowVolume)/max(highVolume,lowVolume))
+
### Liquidity
```python
From 271492aaa2dd08538b06b45a141afa57db9501b4 Mon Sep 17 00:00:00 2001
From: CosmicTrader <59993625+CosmicTrader@users.noreply.github.com>
Date: Sun, 19 May 2024 21:00:38 +0530
Subject: [PATCH 4/4] Faster implementation using np vectors calculations for
swing_highs_lows and ob functions.
---
README.md | 23 -
smartmoneyconcepts/smc.py | 407 +-
.../test_data/EURUSD/ob_numba_result_data.csv | 24425 ----------------
.../test_data/NIFTY/ob_numba_result_data.csv | 1262 -
tests/unit_tests.py | 22 -
5 files changed, 107 insertions(+), 26032 deletions(-)
delete mode 100644 tests/test_data/EURUSD/ob_numba_result_data.csv
delete mode 100644 tests/test_data/NIFTY/ob_numba_result_data.csv
diff --git a/README.md b/README.md
index d77e77d..30da20c 100644
--- a/README.md
+++ b/README.md
@@ -96,29 +96,6 @@ OBVolume = volume + 2 last volumes amounts
Percentage = strength of order block (min(highVolume, lowVolume)/max(highVolume,lowVolume))
-### Order Blocks Numba (OB_numba)
-
-```python
-smc.ob_numba(ohlc, swing_highs_lows, close_mitigation = False)
-```
-ob_numba - Order Blocks using numba
-Numba is an open source JIT compiler that translates a subset of Python and NumPy code into fast machine code.
-First usage might take more time becuase of initial compilation of python code to machine code, so please use smaller dataset for initial run, in subsequent runs it is very fast in the order of 100x in some cases.
-
-Just like OB, this method also detects order blocks when there is a high amount of market orders exist on a price range.
-Results might very slightly than OB.
-
-parameters:
-swing_highs_lows: DataFrame - provide the dataframe from the swing_highs_lows function
-close_mitigation: bool - if True then the order block will be mitigated based on the close of the candle otherwise it will be the high/low.
-
-returns:
-OB = 1 if bullish order block, -1 if bearish order block
-Top = top of the order block
-Bottom = bottom of the order block
-OBVolume = volume + 2 last volumes amounts
-Percentage = strength of order block (min(highVolume, lowVolume)/max(highVolume,lowVolume))
-
### Liquidity
```python
diff --git a/smartmoneyconcepts/smc.py b/smartmoneyconcepts/smc.py
index 1881710..b4b0351 100644
--- a/smartmoneyconcepts/smc.py
+++ b/smartmoneyconcepts/smc.py
@@ -3,7 +3,6 @@
import numpy as np
from pandas import DataFrame, Series
from datetime import datetime
-import numba as nb
def inputvalidator(input_="ohlc"):
def dfcheck(func):
@@ -49,170 +48,6 @@ def decorate(cls):
return decorate
-@nb.jit(nopython=True)
-def calculate_ob_with_numba(ohlc_arr, swing_highs_lows_arr, close_mitigation):
-
- ohlc_len = len(ohlc_arr)
- swing_highs_lows_len = len(swing_highs_lows_arr)
- _open = 0
- _high = 1
- _low = 2
- _close = 3
- _volume = 4
- _highlow = 0
-
- crossed = np.full(ohlc_len, False, dtype=np.bool_)
- ob = np.zeros(ohlc_len, dtype=np.int32)
- top = np.zeros(ohlc_len, dtype=np.float32)
- bottom = np.zeros(ohlc_len, dtype=np.float32)
- obVolume = np.zeros(ohlc_len, dtype=np.float32)
- lowVolume = np.zeros(ohlc_len, dtype=np.float32)
- highVolume = np.zeros(ohlc_len, dtype=np.float32)
- percentage = np.zeros(ohlc_len, dtype=np.float32)
- mitigated_index = np.zeros(ohlc_len, dtype=np.int32)
- breaker = np.full(ohlc_len, False, dtype=np.bool_)
-
- for i in range(ohlc_len):
- close_index = i
- close_price = ohlc_arr[i, _close]
-
- # Bullish Order Block
- if np.any(ob == 1):
- for j in range(ohlc_len - 1, -1, -1):
- if ob[j] == 1:
- currentOB = j
- if breaker[currentOB]:
- if ohlc_arr[i, _high] > top[currentOB]:
- ob[j] = top[j] = bottom[j] = obVolume[j] = lowVolume[j] = (
- highVolume[j]
- ) = mitigated_index[j] = percentage[j] = 0.0
-
- elif (
- not close_mitigation and ohlc_arr[i, _low] < bottom[currentOB]
- ) or (
- close_mitigation
- and np.min(np.array([ohlc_arr[i, _open], ohlc_arr[i, _close]]))
- < bottom[currentOB]
- ):
- breaker[currentOB] = True
- mitigated_index[currentOB] = close_index - 1
-
- last_top_index = -1
- for j in range(swing_highs_lows_len):
- if swing_highs_lows_arr[j, _highlow] == 1 and j < close_index:
- last_top_index = j
-
- if last_top_index != -1:
- swing_top_price = ohlc_arr[last_top_index, _high]
-
- if close_price > swing_top_price and not crossed[last_top_index]:
- crossed[last_top_index] = True
- obBtm = ohlc_arr[close_index - 1, _high]
- obTop = ohlc_arr[close_index - 1, _low]
- obIndex = close_index - 1
- for j in range(1, close_index - last_top_index):
- obBtm = np.min(
- np.array([ohlc_arr[last_top_index + j, _low], obBtm])
- )
- if obBtm == ohlc_arr[last_top_index + j, _low]:
- obTop = ohlc_arr[last_top_index + j, _high]
- obIndex = (
- last_top_index + j
- if obBtm == ohlc_arr[last_top_index + j, _low]
- else obIndex
- )
-
- ob[obIndex] = 1
- top[obIndex] = obTop
- bottom[obIndex] = obBtm
- obVolume[obIndex] = np.sum(ohlc_arr[i - 2 : i + 1, 4])
- lowVolume[obIndex] = ohlc_arr[close_index - 2, _volume]
- highVolume[obIndex] = np.sum(ohlc_arr[i - 1 : i + 1, 4])
- percentage[obIndex] = (
- np.min(np.array([highVolume[obIndex], lowVolume[obIndex]]))
- / np.max(np.array([highVolume[obIndex], lowVolume[obIndex]]))
- if np.max(np.array([highVolume[obIndex], lowVolume[obIndex]])) != 0
- else 1
- ) * 100.0
-
- for i in range(ohlc_len):
- close_index = i
- close_price = ohlc_arr[i, _close]
-
- # Bearish Order Block
- if np.any(ob == -1):
- for j in range(ohlc_len - 1, -1, -1):
- if ob[j] == -1:
- currentOB = j
- if breaker[currentOB]:
- if ohlc_arr[i, _low] < bottom[currentOB]:
- ob[j] = top[j] = bottom[j] = obVolume[j] = lowVolume[j] = (
- highVolume[j]
- ) = mitigated_index[j] = percentage[j] = 0.0
-
- elif (
- not close_mitigation and ohlc_arr[i, _high] > top[currentOB]
- ) or (
- close_mitigation
- and np.max(
- np.array([ohlc_arr[i, _open], ohlc_arr[i, _close]])
- )
- > top[currentOB]
- ):
- breaker[currentOB] = True
- mitigated_index[currentOB] = close_index
-
- last_btm_index = -1
- for j in range(swing_highs_lows_len):
- if swing_highs_lows_arr[j, _highlow] == -1 and j < close_index:
- last_btm_index = j
-
- if last_btm_index != -1:
- swing_btm_price = ohlc_arr[last_btm_index, _low]
-
- if close_price < swing_btm_price and not crossed[last_btm_index]:
- crossed[last_btm_index] = True
- obBtm = ohlc_arr[i - 1, _low]
- obTop = ohlc_arr[i - 1, _high]
- obIndex = close_index - 1
- for j in range(1, close_index - last_btm_index):
- obTop = np.max(
- np.array([ohlc_arr[last_btm_index + j, _high], obTop])
- )
- obBtm = (
- ohlc_arr[last_btm_index + j, _low]
- if obTop == ohlc_arr[last_btm_index + j, _high]
- else obBtm
- )
- obIndex = (
- last_btm_index + j
- if obTop == ohlc_arr[last_btm_index + j, _high]
- else obIndex
- )
-
- ob[obIndex] = -1
- top[obIndex] = obTop
- bottom[obIndex] = obBtm
- obVolume[obIndex] = np.sum(ohlc_arr[i - 2 : i + 1, 4])
- lowVolume[obIndex] = np.sum(ohlc_arr[i - 1 : i + 1, 4])
- highVolume[obIndex] = ohlc_arr[close_index - 2, _volume]
- percentage[obIndex] = (
- np.min(np.array([highVolume[obIndex], lowVolume[obIndex]]))
- / np.max(np.array([highVolume[obIndex], lowVolume[obIndex]]))
- if np.max(np.array([highVolume[obIndex], lowVolume[obIndex]])) != 0
- else 1
- ) * 100.0
-
- ob = np.where(ob != 0, ob, np.nan)
- top = np.where(~np.isnan(ob), top, np.nan)
- bottom = np.where(~np.isnan(ob), bottom, np.nan)
- obVolume = np.where(~np.isnan(ob), obVolume, np.nan)
- mitigated_index = np.where(~np.isnan(ob), mitigated_index, np.nan)
- percentage = np.where(~np.isnan(ob), percentage, np.nan)
-
- return [ob, top, bottom, obVolume, mitigated_index, percentage]
-
-
@apply(inputvalidator(input_="ohlc"))
class smc:
__version__ = "0.0.21"
@@ -327,35 +162,38 @@ def swing_highs_lows(cls, ohlc: DataFrame, swing_length: int = 50) -> Series:
),
)
- continue_ = True
- while continue_:
+ while True:
positions = np.where(~np.isnan(swing_highs_lows))[0]
- continue_ = False
- for i in range(len(positions) - 1):
- current, next = (
- swing_highs_lows[positions[i]],
- swing_highs_lows[positions[i + 1]],
- )
- high, low = (
- ohlc["high"].iloc[positions[i]],
- ohlc["low"].iloc[positions[i]],
- )
- next_high, next_low = (
- ohlc["high"].iloc[positions[i + 1]],
- ohlc["low"].iloc[positions[i + 1]],
- )
- if current == -1 and next == -1:
- remove_index = positions[i] if low > next_low else positions[i + 1]
- swing_highs_lows[remove_index] = np.nan
- continue_ = True
- elif current == 1 and next == 1:
- remove_index = (
- positions[i] if high < next_high else positions[i + 1]
- )
- swing_highs_lows[remove_index] = np.nan
- continue_ = True
+
+ if len(positions) < 2:
+ break
+
+ current = swing_highs_lows[positions[:-1]]
+ next = swing_highs_lows[positions[1:]]
+
+ highs = ohlc["high"].iloc[positions[:-1]].values
+ lows = ohlc["low"].iloc[positions[:-1]].values
+
+ next_highs = ohlc["high"].iloc[positions[1:]].values
+ next_lows = ohlc["low"].iloc[positions[1:]].values
+
+ index_to_remove = np.zeros(len(positions), dtype=bool)
+
+ consecutive_highs = (current == 1) & (next == 1)
+ index_to_remove[:-1] |= consecutive_highs & (highs < next_highs)
+ index_to_remove[1:] |= consecutive_highs & (highs >= next_highs)
+
+ consecutive_lows = (current == -1) & (next == -1)
+ index_to_remove[:-1] |= consecutive_lows & (lows > next_lows)
+ index_to_remove[1:] |= consecutive_lows & (lows <= next_lows)
+
+ if not index_to_remove.any():
+ break
+
+ swing_highs_lows[positions[index_to_remove]] = np.nan
positions = np.where(~np.isnan(swing_highs_lows))[0]
+
if len(positions) > 0:
if swing_highs_lows[positions[0]] == 1:
swing_highs_lows[0] = -1
@@ -556,8 +394,15 @@ def ob(
OBVolume = volume + 2 last volumes amounts
Percentage = strength of order block (min(highVolume, lowVolume)/max(highVolume,lowVolume))
"""
-
swing_highs_lows = swing_highs_lows.copy()
+ ohlc_len = len(ohlc)
+
+ _open = ohlc["open"].values
+ _high = ohlc["high"].values
+ _low = ohlc["low"].values
+ _close = ohlc["close"].values
+ _volume = ohlc["volume"].values
+ _swing_high_low = swing_highs_lows["HighLow"].values
crossed = np.full(len(ohlc), False, dtype=bool)
ob = np.zeros(len(ohlc), dtype=np.int32)
@@ -570,9 +415,8 @@ def ob(
mitigated_index = np.zeros(len(ohlc), dtype=np.int32)
breaker = np.full(len(ohlc), False, dtype=bool)
- for i in range(len(ohlc)):
+ for i in range(ohlc_len):
close_index = i
- close_price = ohlc["close"].iloc[close_index]
# Bullish Order Block
if len(ob[ob == 1]) > 0:
@@ -580,47 +424,52 @@ def ob(
if ob[j] == 1:
currentOB = j
if breaker[currentOB]:
- if ohlc.high.iloc[close_index] > top[currentOB]:
- ob[j] = top[j] = bottom[j] = obVolume[j] = lowVolume[
- j
- ] = highVolume[j] = mitigated_index[j] = percentage[
- j
- ] = 0.0
+ if _high[close_index] > top[currentOB]:
+ ob[j] = top[j] = bottom[j] = obVolume[j] = lowVolume[j] = (
+ highVolume[j]
+ ) = mitigated_index[j] = percentage[j] = 0.0
elif (
- not close_mitigation
- and ohlc["low"].iloc[close_index] < bottom[currentOB]
+ not close_mitigation and _low[close_index] < bottom[currentOB]
) or (
close_mitigation
and min(
- ohlc["open"].iloc[close_index],
- ohlc["close"].iloc[close_index],
+ _open[close_index],
+ _close[close_index],
)
< bottom[currentOB]
):
breaker[currentOB] = True
mitigated_index[currentOB] = close_index - 1
- last_top_index = None
- for j in range(len(swing_highs_lows["HighLow"])):
- if swing_highs_lows["HighLow"][j] == 1 and j < close_index:
- last_top_index = j
+
+ last_top_indices = np.where(
+ (_swing_high_low == 1)
+ & (np.arange(len(swing_highs_lows["HighLow"])) < close_index)
+ )[0]
+
+ if last_top_indices.size > 0:
+ last_top_index = np.max(last_top_indices)
+ else:
+ last_top_index = None
+
if last_top_index is not None:
- swing_top_price = ohlc["high"].iloc[last_top_index]
- if close_price > swing_top_price and not crossed[last_top_index]:
+
+ swing_top_price = _high[last_top_index]
+ if _close[close_index] > swing_top_price and not crossed[last_top_index]:
crossed[last_top_index] = True
- obBtm = ohlc["high"].iloc[close_index - 1]
- obTop = ohlc["low"].iloc[close_index - 1]
+ obBtm = _high[close_index - 1]
+ obTop = _low[close_index - 1]
obIndex = close_index - 1
for j in range(1, close_index - last_top_index):
obBtm = min(
- ohlc["low"].iloc[last_top_index + j],
+ _low[last_top_index + j],
obBtm,
)
- if obBtm == ohlc["low"].iloc[last_top_index + j]:
- obTop = ohlc["high"].iloc[last_top_index + j]
+ if obBtm == _low[last_top_index + j]:
+ obTop = _high[last_top_index + j]
obIndex = (
last_top_index + j
- if obBtm == ohlc["low"].iloc[last_top_index + j]
+ if obBtm == _low[last_top_index + j]
else obIndex
)
@@ -628,23 +477,22 @@ def ob(
top[obIndex] = obTop
bottom[obIndex] = obBtm
obVolume[obIndex] = (
- ohlc["volume"].iloc[close_index]
- + ohlc["volume"].iloc[close_index - 1]
- + ohlc["volume"].iloc[close_index - 2]
- )
- lowVolume[obIndex] = ohlc["volume"].iloc[close_index - 2]
- highVolume[obIndex] = (
- ohlc["volume"].iloc[close_index]
- + ohlc["volume"].iloc[close_index - 1]
+ _volume[close_index]
+ + _volume[close_index - 1]
+ + _volume[close_index - 2]
)
+ lowVolume[obIndex] = _volume[close_index - 2]
+ highVolume[obIndex] = _volume[close_index] + _volume[close_index - 1]
percentage[obIndex] = (
np.min([highVolume[obIndex], lowVolume[obIndex]], axis=0)
- / np.max([highVolume[obIndex], lowVolume[obIndex]], axis=0) if np.max([highVolume[obIndex], lowVolume[obIndex]], axis=0) != 0 else 1
+ / np.max([highVolume[obIndex], lowVolume[obIndex]], axis=0)
+ if np.max([highVolume[obIndex], lowVolume[obIndex]], axis=0) != 0
+ else 1
) * 100.0
for i in range(len(ohlc)):
close_index = i
- close_price = ohlc["close"].iloc[close_index]
+ close_price = _close[close_index]
# Bearish Order Block
if len(ob[ob == -1]) > 0:
@@ -652,47 +500,51 @@ def ob(
if ob[j] == -1:
currentOB = j
if breaker[currentOB]:
- if ohlc.low.iloc[close_index] < bottom[currentOB]:
- ob[j] = top[j] = bottom[j] = obVolume[j] = lowVolume[
- j
- ] = highVolume[j] = mitigated_index[j] = percentage[
- j
- ] = 0.0
+ if _low[close_index] < bottom[currentOB]:
+
+ ob[j] = top[j] = bottom[j] = obVolume[j] = lowVolume[j] = (
+ highVolume[j]
+ ) = mitigated_index[j] = percentage[j] = 0.0
elif (
- not close_mitigation
- and ohlc["high"].iloc[close_index] > top[currentOB]
+ not close_mitigation and _high[close_index] > top[currentOB]
) or (
close_mitigation
and max(
- ohlc["open"].iloc[close_index],
- ohlc["close"].iloc[close_index],
+ _open[close_index],
+ _close[close_index],
)
> top[currentOB]
):
breaker[currentOB] = True
mitigated_index[currentOB] = close_index
- last_btm_index = None
- for j in range(len(swing_highs_lows["HighLow"])):
- if swing_highs_lows["HighLow"][j] == -1 and j < close_index:
- last_btm_index = j
+
+ last_btm_indices = np.where(
+ (swing_highs_lows["HighLow"] == -1)
+ & (np.arange(len(swing_highs_lows["HighLow"])) < close_index)
+ )[0]
+ if last_btm_indices.size > 0:
+ last_btm_index = np.max(last_btm_indices)
+ else:
+ last_btm_index = None
+
if last_btm_index is not None:
- swing_btm_price = ohlc["low"].iloc[last_btm_index]
+ swing_btm_price = _low[last_btm_index]
if close_price < swing_btm_price and not crossed[last_btm_index]:
crossed[last_btm_index] = True
- obBtm = ohlc["low"].iloc[close_index - 1]
- obTop = ohlc["high"].iloc[close_index - 1]
+ obBtm = _low[close_index - 1]
+ obTop = _high[close_index - 1]
obIndex = close_index - 1
for j in range(1, close_index - last_btm_index):
- obTop = max(ohlc["high"].iloc[last_btm_index + j], obTop)
+ obTop = max(_high[last_btm_index + j], obTop)
obBtm = (
- ohlc["low"].iloc[last_btm_index + j]
- if obTop == ohlc["high"].iloc[last_btm_index + j]
+ _low[last_btm_index + j]
+ if obTop == _high[last_btm_index + j]
else obBtm
)
obIndex = (
last_btm_index + j
- if obTop == ohlc["high"].iloc[last_btm_index + j]
+ if obTop == _high[last_btm_index + j]
else obIndex
)
@@ -700,18 +552,17 @@ def ob(
top[obIndex] = obTop
bottom[obIndex] = obBtm
obVolume[obIndex] = (
- ohlc["volume"].iloc[close_index]
- + ohlc["volume"].iloc[close_index - 1]
- + ohlc["volume"].iloc[close_index - 2]
+ _volume[close_index]
+ + _volume[close_index - 1]
+ + _volume[close_index - 2]
)
- lowVolume[obIndex] = (
- ohlc["volume"].iloc[close_index]
- + ohlc["volume"].iloc[close_index - 1]
- )
- highVolume[obIndex] = ohlc["volume"].iloc[close_index - 2]
+ lowVolume[obIndex] = _volume[close_index] + _volume[close_index - 1]
+ highVolume[obIndex] = _volume[close_index - 2]
percentage[obIndex] = (
np.min([highVolume[obIndex], lowVolume[obIndex]], axis=0)
- / np.max([highVolume[obIndex], lowVolume[obIndex]], axis=0) if np.max([highVolume[obIndex], lowVolume[obIndex]], axis=0) != 0 else 1
+ / np.max([highVolume[obIndex], lowVolume[obIndex]], axis=0)
+ if np.max([highVolume[obIndex], lowVolume[obIndex]], axis=0) != 0
+ else 1
) * 100.0
ob = np.where(ob != 0, ob, np.nan)
@@ -740,50 +591,6 @@ def ob(
axis=1,
)
- @classmethod
- def ob_numba(
- cls,
- ohlc: DataFrame,
- swing_highs_lows: DataFrame,
- close_mitigation: bool = False,
- ) -> DataFrame:
- """
- ob_numba - Order Blocks using numba
- Numba is an open source JIT compiler that translates a subset of Python and NumPy code into fast machine code.
- First usage might take more time becuase of initial compilation of python code to machine code, so please use smaller dataset for initial run, in subsequent runs it is very fast in the order of 100x in some cases.
-
- Just like OB, this method also detects order blocks when there is a high amount of market orders exist on a price range.
- Results might very slightly than OB.
-
- parameters:
- ohlc: DataFrame - OHLCV data
- swing_highs_lows: DataFrame - provide the dataframe from the swing_highs_lows function
- close_mitigation: bool - if True then the order block will be mitigated based on the close of the candle otherwise it will be the high/low.
-
- returns:
- OB = 1 if bullish order block, -1 if bearish order block
- Top = top of the order block
- Bottom = bottom of the order block
- OBVolume = volume + 2 last volumes amounts
- Percentage = strength of order block (min(highVolume, lowVolume)/max(highVolume,lowVolume))
- """
-
- swing_highs_lows = swing_highs_lows.copy()
- ohlc_arr = ohlc[["open", "high", "low", "close", "volume"]].values
- swing_highs_lows_arr = swing_highs_lows.values
-
- result = calculate_ob_with_numba(
- ohlc_arr=ohlc_arr,
- swing_highs_lows_arr=swing_highs_lows_arr,
- close_mitigation=close_mitigation,
- )
-
- df = pd.DataFrame(result)
- df = df.transpose()
- df.columns = ["OB", "Top", "Bottom", "OBVolume", "MitigatedIndex", "Percentage"]
-
- return df
-
@classmethod
def liquidity(
cls, ohlc: DataFrame, swing_highs_lows: DataFrame, range_percent: float = 0.01
diff --git a/tests/test_data/EURUSD/ob_numba_result_data.csv b/tests/test_data/EURUSD/ob_numba_result_data.csv
deleted file mode 100644
index e85d020..0000000
--- a/tests/test_data/EURUSD/ob_numba_result_data.csv
+++ /dev/null
@@ -1,24425 +0,0 @@
-OB,Top,Bottom,OBVolume,MitigatedIndex,Percentage
-,,,,,
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diff --git a/tests/test_data/NIFTY/ob_numba_result_data.csv b/tests/test_data/NIFTY/ob_numba_result_data.csv
deleted file mode 100644
index d3d740e..0000000
--- a/tests/test_data/NIFTY/ob_numba_result_data.csv
+++ /dev/null
@@ -1,1262 +0,0 @@
-OB,Top,Bottom,OBVolume,MitigatedIndex,Percentage
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-1.0,22916.099609375,22889.0,30350.0,656.0,11.172161102294922
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--1.0,22670.69921875,22615.05078125,100900.0,0.0,18.427230834960938
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--1.0,22392.0,22271.099609375,1441750.0,0.0,15.298493385314941
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diff --git a/tests/unit_tests.py b/tests/unit_tests.py
index fd6c6ff..784c0f9 100644
--- a/tests/unit_tests.py
+++ b/tests/unit_tests.py
@@ -60,18 +60,6 @@ def test_ob(self):
print("ob test time: ", time.time() - start_time)
pd.testing.assert_frame_equal(ob_data, ob_result_data, check_dtype=False)
- def test_ob_numba(self):
- start_time = time.time()
- swing_highs_lows_data = smc.swing_highs_lows(df, swing_length=5)
- ob_numba_data = smc.ob_numba(df, swing_highs_lows_data)
- ob_numba_result_data = pd.read_csv(
- os.path.join("test_data", test_instrument, "ob_numba_result_data.csv")
- )
- print("ob_numba test time: ", time.time() - start_time)
- pd.testing.assert_frame_equal(
- ob_numba_data, ob_numba_result_data, check_dtype=False
- )
-
def test_liquidity(self):
start_time = time.time()
swing_highs_lows_data = smc.swing_highs_lows(df, swing_length=5)
@@ -140,16 +128,6 @@ def test_retracements(self):
# os.path.join("test_data", test_instrument, "ob_result_data.csv"), index=False
# )
-# small_df = df[:500].copy()
-# swing_highs_lows_data = smc.swing_highs_lows(small_df, swing_length=5)
-# ob_numba_data = smc.ob_numba(small_df, swing_highs_lows_data)
-
-# ob_numba_data = smc.ob_numba(df, swing_highs_lows_data)
-# ob_numba_data.to_csv(
-# os.path.join("test_data", test_instrument, "ob_numba_result_data.csv"),
-# index=False,
-# )
-
# liquidity_data = smc.liquidity(df, swing_highs_lows_data)
# liquidity_data.to_csv(
# os.path.join("test_data", test_instrument, "liquidity_result_data.csv"),