mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-15 09:08:04 +00:00
fix(python): critical bug fixes across Python wrapper
This commit is contained in:
Miha Kralj
@@ -0,0 +1,422 @@
|
||||
"""quantalib filters indicators.
|
||||
|
||||
Auto-generated — DO NOT EDIT.
|
||||
"""
|
||||
from __future__ import annotations
|
||||
|
||||
from ._helpers import _arr, _ptr, _out, _wrap, _wrap_multi, _check, _lib
|
||||
|
||||
|
||||
__all__ = [
|
||||
"gauss",
|
||||
"hann",
|
||||
"hp",
|
||||
"hpf",
|
||||
"kalman",
|
||||
"laguerre",
|
||||
"lms",
|
||||
"loess",
|
||||
"modf",
|
||||
"notch",
|
||||
"nw",
|
||||
"oneeuro",
|
||||
"rls",
|
||||
"rmed",
|
||||
"roofing",
|
||||
"sgf",
|
||||
"spbf",
|
||||
"ssf2",
|
||||
"ssf3",
|
||||
"usf",
|
||||
"voss",
|
||||
"wavelet",
|
||||
"wiener",
|
||||
"bessel",
|
||||
"butter2",
|
||||
"butter3",
|
||||
"cheby1",
|
||||
"cheby2",
|
||||
"elliptic",
|
||||
"edcf",
|
||||
"bpf",
|
||||
"alaguerre",
|
||||
"bilateral",
|
||||
"baxterking",
|
||||
"cfitz",
|
||||
]
|
||||
|
||||
|
||||
def gauss(close: object, sigma: float = 6.0, offset: int = 0, **kwargs) -> object:
|
||||
"""Gaussian Filter."""
|
||||
sigma = float(sigma)
|
||||
offset = int(offset)
|
||||
src, idx = _arr(close)
|
||||
n = len(src)
|
||||
output = _out(n)
|
||||
_check(_lib.qtl_gauss(_ptr(src), _ptr(output), n, sigma))
|
||||
return _wrap(output, idx, "GAUSS", "filters", offset)
|
||||
|
||||
|
||||
def hann(close: object, length: int = 14, offset: int = 0, **kwargs) -> object:
|
||||
"""Hann Filter."""
|
||||
length = int(length)
|
||||
offset = int(offset)
|
||||
src, idx = _arr(close)
|
||||
n = len(src)
|
||||
output = _out(n)
|
||||
_check(_lib.qtl_hann(_ptr(src), _ptr(output), n, length))
|
||||
return _wrap(output, idx, f"HANN_{length}", "filters", offset)
|
||||
|
||||
|
||||
def hp(close: object, lam: float = 1600.0, offset: int = 0, **kwargs) -> object:
|
||||
"""Hodrick-Prescott Filter."""
|
||||
lam = float(lam)
|
||||
offset = int(offset)
|
||||
src, idx = _arr(close)
|
||||
n = len(src)
|
||||
output = _out(n)
|
||||
_check(_lib.qtl_hp(_ptr(src), _ptr(output), n, lam))
|
||||
return _wrap(output, idx, "HP", "filters", offset)
|
||||
|
||||
|
||||
def hpf(close: object, length: int = 14, offset: int = 0, **kwargs) -> object:
|
||||
"""High-Pass Filter."""
|
||||
length = int(length)
|
||||
offset = int(offset)
|
||||
src, idx = _arr(close)
|
||||
n = len(src)
|
||||
output = _out(n)
|
||||
_check(_lib.qtl_hpf(_ptr(src), _ptr(output), n, length))
|
||||
return _wrap(output, idx, f"HPF_{length}", "filters", offset)
|
||||
|
||||
|
||||
def kalman(close: object, q: float = 0.3, r: float = 1.0, offset: int = 0, **kwargs) -> object:
|
||||
"""Kalman Filter."""
|
||||
q = float(q)
|
||||
r = float(r)
|
||||
offset = int(offset)
|
||||
src, idx = _arr(close)
|
||||
n = len(src)
|
||||
output = _out(n)
|
||||
_check(_lib.qtl_kalman(_ptr(src), _ptr(output), n, q, r))
|
||||
return _wrap(output, idx, "KALMAN", "filters", offset)
|
||||
|
||||
|
||||
def laguerre(close: object, gamma: float = 0.7, offset: int = 0, **kwargs) -> object:
|
||||
"""Laguerre Filter."""
|
||||
gamma = float(gamma)
|
||||
offset = int(offset)
|
||||
src, idx = _arr(close)
|
||||
n = len(src)
|
||||
output = _out(n)
|
||||
_check(_lib.qtl_laguerre(_ptr(src), _ptr(output), n, gamma))
|
||||
return _wrap(output, idx, "LAGUERRE", "filters", offset)
|
||||
|
||||
|
||||
def lms(close: object, order: int = 3, mu: float = 0.01, offset: int = 0, **kwargs) -> object:
|
||||
"""Least Mean Squares Filter."""
|
||||
order = int(order)
|
||||
mu = float(mu)
|
||||
offset = int(offset)
|
||||
src, idx = _arr(close)
|
||||
n = len(src)
|
||||
output = _out(n)
|
||||
_check(_lib.qtl_lms(_ptr(src), _ptr(output), n, order, mu))
|
||||
return _wrap(output, idx, "LMS", "filters", offset)
|
||||
|
||||
|
||||
def loess(close: object, period: int = 14, offset: int = 0, **kwargs) -> object:
|
||||
"""LOESS Smoother."""
|
||||
period = int(period)
|
||||
offset = int(offset)
|
||||
src, idx = _arr(close)
|
||||
n = len(src)
|
||||
output = _out(n)
|
||||
_check(_lib.qtl_loess(_ptr(src), _ptr(output), n, period))
|
||||
return _wrap(output, idx, f"LOESS_{period}", "filters", offset)
|
||||
|
||||
|
||||
def modf(close: object, period: int = 14, beta: float = 2.0, feedback: int = 0, fbWeight: float = 0.5, offset: int = 0, **kwargs) -> object:
|
||||
"""Modified Filter."""
|
||||
period = int(period)
|
||||
beta = float(beta)
|
||||
feedback = int(feedback)
|
||||
fbWeight = float(fbWeight)
|
||||
offset = int(offset)
|
||||
src, idx = _arr(close)
|
||||
n = len(src)
|
||||
output = _out(n)
|
||||
_check(_lib.qtl_modf(_ptr(src), _ptr(output), n, period, beta, feedback, fbWeight))
|
||||
return _wrap(output, idx, f"MODF_{period}", "filters", offset)
|
||||
|
||||
|
||||
def notch(close: object, period: int = 14, q: float = 0.3, offset: int = 0, **kwargs) -> object:
|
||||
"""Notch Filter."""
|
||||
period = int(period)
|
||||
q = float(q)
|
||||
offset = int(offset)
|
||||
src, idx = _arr(close)
|
||||
n = len(src)
|
||||
output = _out(n)
|
||||
_check(_lib.qtl_notch(_ptr(src), _ptr(output), n, period, q))
|
||||
return _wrap(output, idx, f"NOTCH_{period}", "filters", offset)
|
||||
|
||||
|
||||
def nw(close: object, period: int = 14, bandwidth: float = 0.25, offset: int = 0, **kwargs) -> object:
|
||||
"""Nadaraya-Watson Filter."""
|
||||
period = int(period)
|
||||
bandwidth = float(bandwidth)
|
||||
offset = int(offset)
|
||||
src, idx = _arr(close)
|
||||
n = len(src)
|
||||
output = _out(n)
|
||||
_check(_lib.qtl_nw(_ptr(src), _ptr(output), n, period, bandwidth))
|
||||
return _wrap(output, idx, f"NW_{period}", "filters", offset)
|
||||
|
||||
|
||||
def oneeuro(close: object, minCutoff: float = 1.0, beta: float = 2.0, dCutoff: float = 1.0, offset: int = 0, **kwargs) -> object:
|
||||
"""1€ Filter."""
|
||||
minCutoff = float(minCutoff)
|
||||
beta = float(beta)
|
||||
dCutoff = float(dCutoff)
|
||||
offset = int(offset)
|
||||
src, idx = _arr(close)
|
||||
n = len(src)
|
||||
output = _out(n)
|
||||
_check(_lib.qtl_oneeuro(_ptr(src), _ptr(output), n, minCutoff, beta, dCutoff))
|
||||
return _wrap(output, idx, "ONEEURO", "filters", offset)
|
||||
|
||||
|
||||
def rls(close: object, order: int = 3, lam: float = 1600.0, offset: int = 0, **kwargs) -> object:
|
||||
"""Recursive Least Squares Filter."""
|
||||
order = int(order)
|
||||
lam = float(lam)
|
||||
offset = int(offset)
|
||||
src, idx = _arr(close)
|
||||
n = len(src)
|
||||
output = _out(n)
|
||||
_check(_lib.qtl_rls(_ptr(src), _ptr(output), n, order, lam))
|
||||
return _wrap(output, idx, "RLS", "filters", offset)
|
||||
|
||||
|
||||
def rmed(close: object, period: int = 14, offset: int = 0, **kwargs) -> object:
|
||||
"""Running Median Filter."""
|
||||
period = int(period)
|
||||
offset = int(offset)
|
||||
src, idx = _arr(close)
|
||||
n = len(src)
|
||||
output = _out(n)
|
||||
_check(_lib.qtl_rmed(_ptr(src), _ptr(output), n, period))
|
||||
return _wrap(output, idx, f"RMED_{period}", "filters", offset)
|
||||
|
||||
|
||||
def roofing(close: object, hpLength: int = 40, ssLength: int = 10, offset: int = 0, **kwargs) -> object:
|
||||
"""Roofing Filter."""
|
||||
hpLength = int(hpLength)
|
||||
ssLength = int(ssLength)
|
||||
offset = int(offset)
|
||||
src, idx = _arr(close)
|
||||
n = len(src)
|
||||
output = _out(n)
|
||||
_check(_lib.qtl_roofing(_ptr(src), _ptr(output), n, hpLength, ssLength))
|
||||
return _wrap(output, idx, f"ROOFING_{hpLength}", "filters", offset)
|
||||
|
||||
|
||||
def sgf(close: object, period: int = 14, polyOrder: int = 3, offset: int = 0, **kwargs) -> object:
|
||||
"""Savitzky-Golay Filter."""
|
||||
period = int(period)
|
||||
polyOrder = int(polyOrder)
|
||||
offset = int(offset)
|
||||
src, idx = _arr(close)
|
||||
n = len(src)
|
||||
output = _out(n)
|
||||
_check(_lib.qtl_sgf(_ptr(src), _ptr(output), n, period, polyOrder))
|
||||
return _wrap(output, idx, f"SGF_{period}", "filters", offset)
|
||||
|
||||
|
||||
def spbf(close: object, shortPeriod: int = 12, longPeriod: int = 26, rmsPeriod: int = 20, offset: int = 0, **kwargs) -> object:
|
||||
"""Short-Period Bandpass Filter."""
|
||||
shortPeriod = int(shortPeriod)
|
||||
longPeriod = int(longPeriod)
|
||||
rmsPeriod = int(rmsPeriod)
|
||||
offset = int(offset)
|
||||
src, idx = _arr(close)
|
||||
n = len(src)
|
||||
output = _out(n)
|
||||
_check(_lib.qtl_spbf(_ptr(src), _ptr(output), n, shortPeriod, longPeriod, rmsPeriod))
|
||||
return _wrap(output, idx, f"SPBF_{shortPeriod}", "filters", offset)
|
||||
|
||||
|
||||
def ssf2(close: object, period: int = 14, offset: int = 0, **kwargs) -> object:
|
||||
"""Super Smoother (2-pole)."""
|
||||
period = int(period)
|
||||
offset = int(offset)
|
||||
src, idx = _arr(close)
|
||||
n = len(src)
|
||||
output = _out(n)
|
||||
_check(_lib.qtl_ssf2(_ptr(src), _ptr(output), n, period))
|
||||
return _wrap(output, idx, f"SSF2_{period}", "filters", offset)
|
||||
|
||||
|
||||
def ssf3(close: object, period: int = 14, initialLast: float = 0.0, offset: int = 0, **kwargs) -> object:
|
||||
"""Super Smoother (3-pole)."""
|
||||
period = int(period)
|
||||
initialLast = float(initialLast)
|
||||
offset = int(offset)
|
||||
src, idx = _arr(close)
|
||||
n = len(src)
|
||||
destination = _out(n)
|
||||
_check(_lib.qtl_ssf3(_ptr(src), _ptr(destination), n, period, initialLast))
|
||||
return _wrap(destination, idx, f"SSF3_{period}", "filters", offset)
|
||||
|
||||
|
||||
def usf(close: object, period: int = 14, offset: int = 0, **kwargs) -> object:
|
||||
"""Universal Smoother Filter."""
|
||||
period = int(period)
|
||||
offset = int(offset)
|
||||
src, idx = _arr(close)
|
||||
n = len(src)
|
||||
output = _out(n)
|
||||
_check(_lib.qtl_usf(_ptr(src), _ptr(output), n, period))
|
||||
return _wrap(output, idx, f"USF_{period}", "filters", offset)
|
||||
|
||||
|
||||
def voss(close: object, period: int = 14, predict: int = 3, bandwidth: float = 0.25, offset: int = 0, **kwargs) -> object:
|
||||
"""Voss Predictor."""
|
||||
period = int(period)
|
||||
predict = int(predict)
|
||||
bandwidth = float(bandwidth)
|
||||
offset = int(offset)
|
||||
src, idx = _arr(close)
|
||||
n = len(src)
|
||||
output = _out(n)
|
||||
_check(_lib.qtl_voss(_ptr(src), _ptr(output), n, period, predict, bandwidth))
|
||||
return _wrap(output, idx, f"VOSS_{period}", "filters", offset)
|
||||
|
||||
|
||||
def wavelet(close: object, levels: int = 4, threshMult: float = 1.0, offset: int = 0, **kwargs) -> object:
|
||||
"""Wavelet Filter."""
|
||||
levels = int(levels)
|
||||
threshMult = float(threshMult)
|
||||
offset = int(offset)
|
||||
src, idx = _arr(close)
|
||||
n = len(src)
|
||||
output = _out(n)
|
||||
_check(_lib.qtl_wavelet(_ptr(src), _ptr(output), n, levels, threshMult))
|
||||
return _wrap(output, idx, "WAVELET", "filters", offset)
|
||||
|
||||
|
||||
def wiener(close: object, period: int = 14, smoothPeriod: int = 5, offset: int = 0, **kwargs) -> object:
|
||||
"""Wiener Filter."""
|
||||
period = int(period)
|
||||
smoothPeriod = int(smoothPeriod)
|
||||
offset = int(offset)
|
||||
src, idx = _arr(close)
|
||||
n = len(src)
|
||||
destination = _out(n)
|
||||
_check(_lib.qtl_wiener(_ptr(src), _ptr(destination), n, period, smoothPeriod))
|
||||
return _wrap(destination, idx, f"WIENER_{period}", "filters", offset)
|
||||
|
||||
def bessel(close: object, length: int = 14, offset: int = 0, **kwargs) -> object:
|
||||
"""Bessel Filter."""
|
||||
length = int(length); offset = int(offset)
|
||||
src, idx = _arr(close); n = len(src); dst = _out(n)
|
||||
_check(_lib.qtl_bessel(_ptr(src), n, _ptr(dst), length))
|
||||
return _wrap(dst, idx, f"BESSEL_{length}", "filters", offset)
|
||||
|
||||
|
||||
def butter2(close: object, length: int = 14, gain: float = 1.0,
|
||||
offset: int = 0, **kwargs) -> object:
|
||||
"""2nd-order Butterworth."""
|
||||
length = int(length); offset = int(offset)
|
||||
src, idx = _arr(close); n = len(src); dst = _out(n)
|
||||
_check(_lib.qtl_butter2(_ptr(src), n, _ptr(dst), length, float(gain)))
|
||||
return _wrap(dst, idx, f"BUTTER2_{length}", "filters", offset)
|
||||
|
||||
|
||||
def butter3(close: object, length: int = 14, gain: float = 1.0,
|
||||
offset: int = 0, **kwargs) -> object:
|
||||
"""3rd-order Butterworth."""
|
||||
length = int(length); offset = int(offset)
|
||||
src, idx = _arr(close); n = len(src); dst = _out(n)
|
||||
_check(_lib.qtl_butter3(_ptr(src), n, _ptr(dst), length, float(gain)))
|
||||
return _wrap(dst, idx, f"BUTTER3_{length}", "filters", offset)
|
||||
|
||||
|
||||
def cheby1(close: object, length: int = 14, ripple: float = 0.5,
|
||||
offset: int = 0, **kwargs) -> object:
|
||||
"""Chebyshev Type I."""
|
||||
length = int(length); offset = int(offset)
|
||||
src, idx = _arr(close); n = len(src); dst = _out(n)
|
||||
_check(_lib.qtl_cheby1(_ptr(src), n, _ptr(dst), length, float(ripple)))
|
||||
return _wrap(dst, idx, f"CHEBY1_{length}", "filters", offset)
|
||||
|
||||
|
||||
def cheby2(close: object, length: int = 14, ripple: float = 0.5,
|
||||
offset: int = 0, **kwargs) -> object:
|
||||
"""Chebyshev Type II."""
|
||||
length = int(length); offset = int(offset)
|
||||
src, idx = _arr(close); n = len(src); dst = _out(n)
|
||||
_check(_lib.qtl_cheby2(_ptr(src), n, _ptr(dst), length, float(ripple)))
|
||||
return _wrap(dst, idx, f"CHEBY2_{length}", "filters", offset)
|
||||
|
||||
|
||||
def elliptic(close: object, length: int = 14, offset: int = 0, **kwargs) -> object:
|
||||
"""Elliptic (Cauer) Filter."""
|
||||
length = int(length); offset = int(offset)
|
||||
src, idx = _arr(close); n = len(src); dst = _out(n)
|
||||
_check(_lib.qtl_elliptic(_ptr(src), n, _ptr(dst), length))
|
||||
return _wrap(dst, idx, f"ELLIPTIC_{length}", "filters", offset)
|
||||
|
||||
|
||||
def edcf(close: object, length: int = 14, offset: int = 0, **kwargs) -> object:
|
||||
"""Ehlers Distance Coefficient Filter."""
|
||||
length = int(length); offset = int(offset)
|
||||
src, idx = _arr(close); n = len(src); dst = _out(n)
|
||||
_check(_lib.qtl_edcf(_ptr(src), n, _ptr(dst), length))
|
||||
return _wrap(dst, idx, f"EDCF_{length}", "filters", offset)
|
||||
|
||||
|
||||
def bpf(close: object, length: int = 14, bandwidth: int = 5,
|
||||
offset: int = 0, **kwargs) -> object:
|
||||
"""Bandpass Filter."""
|
||||
length = int(length); offset = int(offset)
|
||||
src, idx = _arr(close); n = len(src); dst = _out(n)
|
||||
_check(_lib.qtl_bpf(_ptr(src), n, _ptr(dst), length, int(bandwidth)))
|
||||
return _wrap(dst, idx, f"BPF_{length}", "filters", offset)
|
||||
|
||||
|
||||
def alaguerre(close: object, length: int = 20, order: int = 5,
|
||||
offset: int = 0, **kwargs) -> object:
|
||||
"""Adaptive Laguerre Filter."""
|
||||
length = int(length); offset = int(offset)
|
||||
src, idx = _arr(close); n = len(src); dst = _out(n)
|
||||
_check(_lib.qtl_alaguerre(_ptr(src), n, _ptr(dst), length, int(order)))
|
||||
return _wrap(dst, idx, f"ALAGUERRE_{length}", "filters", offset)
|
||||
|
||||
|
||||
def bilateral(close: object, length: int = 14, sigma_s: float = 0.5,
|
||||
sigma_r: float = 1.0, offset: int = 0, **kwargs) -> object:
|
||||
"""Bilateral Filter."""
|
||||
length = int(length); offset = int(offset)
|
||||
src, idx = _arr(close); n = len(src); dst = _out(n)
|
||||
_check(_lib.qtl_bilateral(_ptr(src), n, _ptr(dst), length, float(sigma_s), float(sigma_r)))
|
||||
return _wrap(dst, idx, f"BILATERAL_{length}", "filters", offset)
|
||||
|
||||
|
||||
def baxterking(close: object, length: int = 12, min_period: int = 6,
|
||||
max_period: int = 32, offset: int = 0, **kwargs) -> object:
|
||||
"""Baxter-King Filter."""
|
||||
length = int(length); offset = int(offset)
|
||||
src, idx = _arr(close); n = len(src); dst = _out(n)
|
||||
_check(_lib.qtl_baxterking(_ptr(src), n, _ptr(dst), length, int(min_period), int(max_period)))
|
||||
return _wrap(dst, idx, f"BAXTERKING_{length}", "filters", offset)
|
||||
|
||||
|
||||
def cfitz(close: object, length: int = 6, bw_period: int = 32,
|
||||
offset: int = 0, **kwargs) -> object:
|
||||
"""Christiano-Fitzgerald Filter."""
|
||||
length = int(length); offset = int(offset)
|
||||
src, idx = _arr(close); n = len(src); dst = _out(n)
|
||||
_check(_lib.qtl_cfitz(_ptr(src), n, _ptr(dst), length, int(bw_period)))
|
||||
return _wrap(dst, idx, f"CFITZ_{length}", "filters", offset)
|
||||
Reference in New Issue
Block a user