import numpy as np
import talib as ta
import time as t
DEPTH = 365*86400/info.interval
PAIR = info.primary_pair
def initialize():
storage.reset()
log('storage.reset()')
storage.start = storage.get('start', t.time())
def deep_candles(depth):
storage.deep_c = storage.get('deep_c', [])
storage.deep_v = storage.get('deep_v', [])
if info.tick==0:
for x in range(depth):
n = depth - x
storage.deep_c.append(float(data[PAIR][-n].close))
else:
storage.deep_c.append(float(data[PAIR].close))
if info.tick==0:
for x in range(depth):
n = depth - x
storage.deep_v.append(float(data[PAIR][-n].volume))
else:
storage.deep_v.append(float(data[PAIR].volume))
storage.deep_c=storage.deep_c[-depth:]
storage.deep_v=storage.deep_v[-depth:]
return np.array(storage.deep_c) , np.array(storage.deep_v)
def tick():
c,v = deep_candles(DEPTH)
#plot('deep_c', c[-1])
plot('deep_v', v[-1], secondary=True)
z = sum(c*v)/sum(v[-len(v):])
plot('365vwap', z)
if info.tick == (info.max_ticks-1):
log('365 VWAP...: %.2f' % z)
log('price......: %.2f' % c[-1])
def stop():
log('elapsed....: %.1f sec' % (t.time()-storage.start))
