Untitled
python
a month ago
1.3 kB
8
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Never
#======================================================== def volume_bars(df, volume_column, m): ''' compute volume bars # args df: pd.DataFrame() column: name for volume data m: int(), threshold value for volume # returns idx: list of indices ''' t = df[volume_column] ts = 0 idx = [] for i, x in enumerate(tqdm(t)): ts += x if ts >= m: idx.append(i) ts = 0 continue return idx def volume_bar_df(df, volume_column, m): idx = volume_bars(df, volume_column, m) return df.iloc[idx] #======================================================== def dollar_bars(df, dv_column, m): ''' compute dollar bars # args df: pd.DataFrame() column: name for dollar volume data m: int(), threshold value for dollars # returns idx: list of indices ''' t = df[dv_column] ts = 0 idx = [] for i, x in enumerate(tqdm(t)): ts += x if ts >= m: idx.append(i) ts = 0 continue return idx def dollar_bar_df(df, dv_column, m): idx = dollar_bars(df, dv_column, m) return df.iloc[idx] #========================================================