Source code for tradingstrategy.direct_feed.timeframe

"""Timeframe helpers."""

from dataclasses import dataclass

import pandas as pd

#: Default chart settings for different timeframes.
#: A sensible default of a history for different candle timeframes.
#: Timeframe -> the default history lookback duration mappings.
#: Have around 100 candles per timeframe with the default zoom level.
    "1min": pd.Timedelta("2h"),
    "5min": pd.Timedelta("6h"),
    "1h": pd.Timedelta("3d"),

[docs]@dataclass class Timeframe: """Describe candle timeframe. This structure allows us to pass candle resample data around the framework. This class is very similar to :py:class:`tradingstrategy.timebucket.TimeBucket`, but unlike the bucket it allows any time frames presented, not just predefined choices. These is also :py:attr:`offset` which allows to shift the starting point of candles around. """ #: Pandas frequency string. #: #: E.g. `1D` for daily, `1min` for minute. #: #: See freq: str #: Candle shift offset #: #: E.g. move hourly candles 5 minutes backwards to start at 00:55 offset: pd.Timedelta = pd.Timedelta(seconds=0) def __eq__(self, other): """Implemented for set() and dict()""" assert isinstance(other, Timeframe) return self.freq == other.freq and self.offset == other.offset def __hash__(self) -> int: """Implemented for set() and dict()""" return (self.freq, self.offset).__hash__() def __repr__(self) -> str: return f"<Timeframe freq:{self.freq} offset:{self.offset}>"
[docs] def round_timestamp_down(self, ts: pd.Timestamp) -> pd.Timestamp: """Snap to previous available timedelta. Preserve any timezone info on `ts`. If we are at the the given exact delta, then do not round, only add offset. :param ts: Timestamp we want to round :return: When to wake up from the sleep next time """ return ts.floor(self.freq) + self.offset
[docs] def get_default_chart_display_window(self) -> pd.Timedelta: """Get the default candle chart time buffer for this frequency. See :py:attr:`DEFAULT_DISPLAY_WINDOW_FOR_TIMEFRAME`. :return: Pandas frequency string """ window = DEFAULT_DISPLAY_WINDOW_FOR_TIMEFRAME.get(self.freq) if window: return window return pd.Timedelta("24h")