groupeduniverse

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

Module description

Creation of per-trading pair Pandas dataframes.

• Base classes for handling OHLCV data for price and liquidity

• Group raw multipair pandas.DataFrame to grouped format, so that reading and indexing individual trading pair data is easy in multipair trading universe

See also

• tradingstrategy.candle

• tradingstrategy.liquidity

Classes

PairGroupedUniverse

A base class for manipulating columnar price/liquidity data by a pair.

Functions

filter_bad_wicks(df[, threshold])	Mark the bad wicks.
filter_for_pairs(samples, pairs)	Filter dataset so that it only contains data for the trading pairs from a certain exchange.
filter_for_single_pair(samples, pair)	Filter dataset so that it only contains data for a single trading pair.
fix_bad_wicks(df[, threshold, ...])	Correct out bad high/low values in OHLC data.
remove_zero_candles(df)	Remove any candle that has a zero value for OHLC
resample_candles(df, resample_freq[, shift])	Downsample or upsample OHLCV candles or liquidity samples.
resample_price_series(series, resample_freq)	Resample a price series to a lower frequency.
resample_series(series, freq[, forward_fill])	Downsample or upsample liquidity series.