Module: TA::Candles

Defined in:
lib/ta/candles.rb

Overview

Candle data processing and resampling utilities

Class Method Summary collapse

Class Method Details

.from_series(series) ⇒ Object 



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# File 'lib/ta/candles.rb', line 19

def from_series(series)
  ts = series["timestamp"] || series[:timestamp]
  open = series["open"] || series[:open]
  high = series["high"] || series[:high]
  low  = series["low"]  || series[:low]
  close = series["close"] || series[:close]
  vol = series["volume"] || series[:volume]
  return [] unless ts && open && high && low && close && vol
  return [] if close.empty?

  (0...close.size).map do |i|
    { t: parse_time_like(ts[i]), o: open[i].to_f, h: high[i].to_f, l: low[i].to_f, c: close[i].to_f,
      v: vol[i].to_f }
  end
rescue StandardError
  []
end

.parse_time_like(val) ⇒ Object 



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# File 'lib/ta/candles.rb', line 10

def parse_time_like(val)
  return Time.at(val) if val.is_a?(Numeric)

  s = val.to_s
  return Time.at(s.to_i) if /\A\d+\z/.match?(s) && s.length >= 10 && s.length <= 13

  Time.parse(s)
end

.resample(candles, minutes) ⇒ Object 



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# File 'lib/ta/candles.rb', line 37

def resample(candles, minutes)
  return candles if minutes.to_i == 1

  grouped = {}
  candles.each do |c|
    key = Time.at((c[:t].to_i / 60) / minutes * minutes * 60)
    b = (grouped[key] ||= { t: key, o: c[:o], h: c[:h], l: c[:l], c: c[:c], v: 0.0 })
    b[:h] = [b[:h], c[:h]].max
    b[:l] = [b[:l], c[:l]].min
    b[:c] = c[:c]
    b[:v] += c[:v]
  end
  grouped.keys.sort.map { |k| grouped[k] }
end