claude_dev
3fbe6c9be5
- 添加 vnpy_v4.4.0/ 目录到版本控制 - 删除嵌入的 .git 目录避免嵌套仓库 - 添加 README_SANGUO.md 说明来源和用途 - 更新 .gitignore 移除 vnpy_v4.4.0/ 忽略规则 上游代码信息: - 项目: VeighNa 量化交易平台 - 版本: 4.4.0 - 来源: https://github.com/vnpy/vnpy 用途: 版本参考、代码学习、差异对比、离线开发 Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
44 lines
1.2 KiB
Python
44 lines
1.2 KiB
Python
"""
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Technical Analysis Operators
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"""
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import talib
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import polars as pl
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import pandas as pd
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from .utility import DataProxy
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def to_pd_series(feature: DataProxy) -> pd.Series:
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"""Convert to pandas.Series data structure"""
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series: pd.Series = feature.df.to_pandas().set_index(["datetime", "vt_symbol"])["data"]
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return series
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def to_pl_dataframe(series: pd.Series) -> pl.DataFrame:
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"""Convert to polars.DataFrame data structure"""
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df: pl.DataFrame = pl.from_pandas(series.reset_index().rename(columns={0: "data"}))
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return df
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def ta_rsi(close: DataProxy, window: int) -> DataProxy:
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"""Calculate RSI indicator by contract"""
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close_: pd.Series = to_pd_series(close)
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result: pd.Series = talib.RSI(close_, timeperiod=window) # type: ignore
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df: pl.DataFrame = to_pl_dataframe(result)
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return DataProxy(df)
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def ta_atr(high: DataProxy, low: DataProxy, close: DataProxy, window: int) -> DataProxy:
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"""Calculate ATR indicator by contract"""
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high_: pd.Series = to_pd_series(high)
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low_: pd.Series = to_pd_series(low)
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close_: pd.Series = to_pd_series(close)
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result: pd.Series = talib.ATR(high_, low_, close_, timeperiod=window) # type: ignore
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df: pl.DataFrame = to_pl_dataframe(result)
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return DataProxy(df)
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