Class: Quant::Series

Inherits:
Object
  • Object
show all
Extended by:
Forwardable
Includes:
Enumerable
Defined in:
lib/quant/series.rb

Overview

Ticks belong to the first series they’re associated with always. There are no provisions for series merging their ticks to one series! Indicators will be computed against the parent series of a list of ticks, so we can safely work with subsets of a series and indicators will compute just once.

Instance Attribute Summary collapse

Class Method Summary collapse

Instance Method Summary collapse

Constructor Details

#initialize(symbol:, interval:) ⇒ Series

Returns a new instance of Series.



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# File 'lib/quant/series.rb', line 44

def initialize(symbol:, interval:)
  @symbol = symbol
  @interval = interval
  @ticks = []
end

Instance Attribute Details

#interval ⇒ Object (readonly)

Returns the value of attribute interval.



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# File 'lib/quant/series.rb', line 42

def interval
  @interval
end

#symbol ⇒ Object (readonly)

Returns the value of attribute symbol.



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# File 'lib/quant/series.rb', line 42

def symbol
  @symbol
end

#ticks ⇒ Object (readonly)

Returns the value of attribute ticks.



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# File 'lib/quant/series.rb', line 42

def ticks
  @ticks
end

Class Method Details

.from_file(filename:, symbol:, interval:, folder: nil) ⇒ Object 



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# File 'lib/quant/series.rb', line 12

def self.from_file(filename:, symbol:, interval:, folder: nil)
  symbol = symbol.to_s.upcase
  interval = Interval[interval]

  filename = Rails.root.join("historical", folder, "#{symbol.upcase}.txt") if filename.nil?
  raise "File #{filename} does not exist" unless File.exist?(filename)

  lines = File.read(filename).split("\n")
  ticks = lines.map{ |line| Quant::Ticks::OHLC.from_json(line) }

  from_ticks(symbol: symbol, interval: interval, ticks: ticks)
end

.from_hash(symbol:, interval:, hash:) ⇒ Object 



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# File 'lib/quant/series.rb', line 29

def self.from_hash(symbol:, interval:, hash:)
  ticks = hash.map { |tick_hash| Quant::Ticks::OHLC.from(tick_hash) }
  from_ticks(symbol: symbol, interval: interval, ticks: ticks)
end

.from_json(symbol:, interval:, json:) ⇒ Object 



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# File 'lib/quant/series.rb', line 25

def self.from_json(symbol:, interval:, json:)
  from_hash symbol: symbol, interval: interval, hash: Oj.load(json)
end

.from_ticks(symbol:, interval:, ticks:) ⇒ Object 



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# File 'lib/quant/series.rb', line 34

def self.from_ticks(symbol:, interval:, ticks:)
  ticks = ticks.sort_by(&:close_timestamp)

  new(symbol: symbol, interval: interval).tap do |series|
    ticks.each { |tick| series << tick }
  end
end

Instance Method Details

#<<(tick) ⇒ Object 



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# File 'lib/quant/series.rb', line 94

def <<(tick)
  @ticks << tick.assign_series(self)
end

#==(other) ⇒ Object 



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# File 'lib/quant/series.rb', line 82

def ==(other)
  [symbol, interval, ticks] == [other.symbol, other.interval, other.ticks]
end

#dup ⇒ Object 



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# File 'lib/quant/series.rb', line 86

def dup
  self.class.from_ticks(symbol: symbol, interval: interval, ticks: ticks)
end

#highest ⇒ Object 



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# File 'lib/quant/series.rb', line 74

def highest
  ticks.max_by(&:high_price)
end

#inspect ⇒ Object 



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# File 'lib/quant/series.rb', line 90

def inspect
  "#<#{self.class.name} symbol=#{symbol} interval=#{interval} ticks=#{ticks.size}>"
end

#limit(period) ⇒ Object 



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# File 'lib/quant/series.rb', line 57

def limit(period)
  selected_ticks = ticks.select{ |tick| period.cover?(tick.close_timestamp) }
  return self if selected_ticks.size == ticks.size

  self.class.from_ticks(symbol: symbol, interval: interval, ticks: selected_ticks)
end

#limit_iterations(start_iteration, stop_iteration) ⇒ Object 



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# File 'lib/quant/series.rb', line 50

def limit_iterations(start_iteration, stop_iteration)
  selected_ticks = ticks[start_iteration..stop_iteration]
  return self if selected_ticks.size == ticks.size

  self.class.from_ticks(symbol: symbol, interval: interval, ticks: selected_ticks)
end

#lowest ⇒ Object 



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# File 'lib/quant/series.rb', line 78

def lowest
  ticks.min_by(&:low_price)
end

#to_h ⇒ Object 



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# File 'lib/quant/series.rb', line 98

def to_h
  { "symbol" => symbol,
    "interval" => interval,
    "ticks" => ticks.map(&:to_h) }
end

#to_json(*args) ⇒ Object 



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# File 'lib/quant/series.rb', line 104

def to_json(*args)
  Oj.dump(to_h, *args)
end