aggregate_ohlcv#

API documentation for tradingstrategy.utils.aggregate_ohlcv Python module in Trading Strategy.

Module description#

Aggregated candles.

Create aggregated price OHLCV and liquidity candles across all available DEX trading pairs
See aggregate_ohlcv() for usage

AggregateId(chain_id: int, base_token_symbol: str, base_token_address: str)

`aggregate_ohlcv_across_pairs`(pair_universe, ...)	Builds an aggregates dataframe for trading data.
`build_aggregate_map`(pair_universe)	Generate a dict of pairs that trade the same token.
`calculate_volume_weighted_ohlcv`(df)	Calculate volume weighted average prices (vwap) on OHLCV.
`make_aggregate_id`(pair)	For each aggregated pair, identify them