Class: Quant::Ticks::OHLC

Inherits:
Value
  • Object
show all
Defined in:
lib/quant/ticks/ohlc.rb

Overview

t: trades g: green j: doji

Constant Summary

Constants included from Quant::TimeMethods

Quant::TimeMethods::EPOCH_DATE, Quant::TimeMethods::EPOCH_TIME

Instance Attribute Summary

Attributes inherited from Value

#base_volume, #close_price, #close_timestamp, #doji, #green, #high_price, #interval, #low_price, #open_price, #open_timestamp, #series, #target_volume, #trades

Class Method Summary collapse

Instance Method Summary collapse

Methods inherited from Value

#==, #assign_series, #assign_series!, #inspect, #to_json

Methods included from Quant::TimeMethods

epoch_date, epoch_time, #extract_time

Constructor Details

#initialize(open_timestamp:, close_timestamp:, interval: nil, open_price:, high_price:, low_price:, close_price:, base_volume: 0.0, target_volume: 0.0, trades: 0, green: false, doji: nil) ⇒ OHLC

Returns a new instance of OHLC.



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# File 'lib/quant/ticks/ohlc.rb', line 46

def initialize(open_timestamp:,
               close_timestamp:,
               interval: nil,

               open_price:,
               high_price:,
               low_price:,
               close_price:,

               base_volume: 0.0,
               target_volume: 0.0,

               trades: 0,
               green: false,
               doji: nil)

  super(price: close_price, timestamp: close_timestamp, interval:, trades:)
  @open_timestamp = extract_time(open_timestamp)
  @open_price = open_price.to_f
  @high_price = high_price.to_f
  @low_price = low_price.to_f

  @base_volume = base_volume.to_i
  @target_volume = target_volume.to_i

  @green = green.nil? ? compute_green : green
  @doji = doji.nil? ? compute_doji : doji
end

Class Method Details

.from(hash) ⇒ Object 



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# File 'lib/quant/ticks/ohlc.rb', line 23

def self.from(hash)
  new \
    open_timestamp: hash["ot"],
    close_timestamp: hash["ct"],
    interval: hash["iv"],

    open_price: hash["o"],
    high_price: hash["h"],
    low_price: hash["l"],
    close_price: hash["c"],

    base_volume: hash["bv"],
    target_volume: hash["tv"],

    trades: hash["t"],
    green: hash["g"],
    doji: hash["j"]
end

.from_json(json) ⇒ Object 



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# File 'lib/quant/ticks/ohlc.rb', line 42

def self.from_json(json)
  from Oj.load(json)
end

Instance Method Details

#as_price(value) ⇒ Object 



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# File 'lib/quant/ticks/ohlc.rb', line 107

def as_price(value)
  series.nil? ? value : series.as_price(value)
end

#compute_doji ⇒ Object 



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# File 'lib/quant/ticks/ohlc.rb', line 137

def compute_doji
  body_bottom, body_top = [open_price, close_price].sort

  body_length = body_top - body_bottom
  head_length = high_price - [open_price, close_price].max
  tail_length = [open_price, close_price].max - low_price

  body_ratio = 100.0 * (1 - (body_bottom / body_top))
  head_ratio = head_length / body_length
  tail_ratio = tail_length / body_length

  body_ratio < 0.025 && head_ratio > 1.0 && tail_ratio > 1.0
end

#compute_green ⇒ Object 



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# File 'lib/quant/ticks/ohlc.rb', line 117

def compute_green
  close_price >= open_price
end

#corresponding?(other) ⇒ Boolean

Returns:

  • (Boolean) 


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# File 'lib/quant/ticks/ohlc.rb', line 80

def corresponding?(other)
  [open_timestamp, close_timestamp] == [other.open_timestamp, other.close_timestamp]
end

#delta ⇒ Object

percent change from open to close



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# File 'lib/quant/ticks/ohlc.rb', line 85

def delta
  ((open_price / close_price) - 1.0) * 100
end

#doji? ⇒ Boolean

Returns:

  • (Boolean) 


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# File 'lib/quant/ticks/ohlc.rb', line 129

def doji?
  @doji
end

#green? ⇒ Boolean

Returns:

  • (Boolean) 


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# File 'lib/quant/ticks/ohlc.rb', line 121

def green?
  close_price > open_price
end

#hl2 ⇒ Object 



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# File 'lib/quant/ticks/ohlc.rb', line 75

def hl2; ((high_price + low_price) / 2.0) end

#hlc3 ⇒ Object 



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# File 'lib/quant/ticks/ohlc.rb', line 77

def hlc3; ((high_price + low_price + close_price) / 3.0) end

#oc2 ⇒ Object 



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# File 'lib/quant/ticks/ohlc.rb', line 76

def oc2; ((open_price + close_price) / 2.0) end

#ohlc4 ⇒ Object 



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# File 'lib/quant/ticks/ohlc.rb', line 78

def ohlc4; ((open_price + high_price + low_price + close_price) / 4.0) end

#price_change ⇒ Object 



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# File 'lib/quant/ticks/ohlc.rb', line 133

def price_change
  @price_change ||= ((open_price - close_price) / oc2).abs
end

#red? ⇒ Boolean

Returns:

  • (Boolean) 


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# File 'lib/quant/ticks/ohlc.rb', line 125

def red?
  !green?
end

#to_h ⇒ Object 



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# File 'lib/quant/ticks/ohlc.rb', line 89

def to_h
  { "ot" => open_timestamp,
    "ct" => close_timestamp,
    "iv" => interval.to_s,

    "o" => open_price,
    "h" => high_price,
    "l" => low_price,
    "c" => close_price,

    "bv" => base_volume,
    "tv" => target_volume,

    "t" => trades,
    "g" => green,
    "j" => doji }
end

#to_s ⇒ Object 



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# File 'lib/quant/ticks/ohlc.rb', line 111

def to_s
  ots = interval.daily? ? open_timestamp.strftime('%Y-%m-%d') : open_timestamp.strftime('%Y-%m-%d %H:%M:%S')
  cts = interval.daily? ? close_timestamp.strftime('%Y-%m-%d') : close_timestamp.strftime('%Y-%m-%d %H:%M:%S')
  "#{ots}: o: #{as_price(open_price)}, h: #{as_price(high_price)}, l: #{as_price(low_price)}, c: #{as_price(close_price)} :#{cts}"
end