Pratik Bhadane
234 lines
7.9 KiB
Python
234 lines
7.9 KiB
Python
"""
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ferro_ta.aggregation — Tick and trade aggregation pipeline.
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Aggregates raw tick or trade data (streams of (timestamp, price, size)) into
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OHLCV bars using three bar types:
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- **time bars** — fixed time intervals (e.g. every 1 minute)
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- **volume bars** — fixed volume threshold per bar
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- **tick bars** — fixed number of ticks per bar
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The compute-intensive bar accumulation is implemented in Rust; this module
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provides the Python-facing API with DataFrame support.
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Functions
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---------
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aggregate_ticks(ticks, rule)
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Aggregate a tick stream to OHLCV bars. The *rule* string specifies the
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bar type and parameter:
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- ``'time:<seconds>'`` — e.g. ``'time:60'`` for 1-minute bars
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- ``'volume:<threshold>'`` — e.g. ``'volume:1000'`` for 1000-unit volume bars
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- ``'tick:<n>'`` — e.g. ``'tick:100'`` for 100-tick bars
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Rust backend
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------------
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All accumulation logic delegates to::
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ferro_ta._ferro_ta.aggregate_tick_bars
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ferro_ta._ferro_ta.aggregate_volume_bars_ticks
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ferro_ta._ferro_ta.aggregate_time_bars
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"""
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from __future__ import annotations
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from typing import Any, Optional
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import numpy as np
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from numpy.typing import NDArray
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from ferro_ta._ferro_ta import aggregate_tick_bars as _rust_tick_bars
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from ferro_ta._ferro_ta import aggregate_time_bars as _rust_time_bars
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from ferro_ta._ferro_ta import aggregate_volume_bars_ticks as _rust_volume_bars_ticks
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from ferro_ta._utils import _to_f64
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__all__ = [
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"aggregate_ticks",
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"TickAggregator",
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]
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# ---------------------------------------------------------------------------
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# _parse_rule
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# ---------------------------------------------------------------------------
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def _parse_rule(rule: str) -> tuple[str, float]:
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"""Parse a rule string into (bar_type, parameter).
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Supported formats::
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'time:60' → ('time', 60.0)
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'volume:1000' → ('volume', 1000.0)
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'tick:100' → ('tick', 100.0)
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"""
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parts = rule.split(":", 1)
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if len(parts) != 2:
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raise ValueError(
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f"Invalid rule format: {rule!r}. "
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"Expected 'time:<seconds>', 'volume:<threshold>', or 'tick:<n>'."
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)
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bar_type = parts[0].lower().strip()
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if bar_type not in ("time", "volume", "tick"):
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raise ValueError(
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f"Unknown bar type {bar_type!r}. Supported types: 'time', 'volume', 'tick'."
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)
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try:
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param = float(parts[1].strip())
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except ValueError as exc:
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raise ValueError(
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f"Cannot parse parameter {parts[1]!r} as a number in rule {rule!r}."
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) from exc
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if param <= 0:
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raise ValueError(f"Rule parameter must be > 0, got {param} in rule {rule!r}.")
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return bar_type, param
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# ---------------------------------------------------------------------------
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# aggregate_ticks
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# ---------------------------------------------------------------------------
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def aggregate_ticks(
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ticks: Any,
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rule: str = "tick:100",
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*,
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timestamp_col: str = "timestamp",
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price_col: str = "price",
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size_col: str = "size",
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) -> Any:
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"""Aggregate tick/trade data into OHLCV bars.
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Parameters
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----------
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ticks : pandas.DataFrame, list of (timestamp, price, size), or dict of arrays
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Tick data. Accepted formats:
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1. **pandas DataFrame** with columns ``timestamp``, ``price``, ``size``
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(column names configurable via *_col* parameters). The timestamp
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column must contain numeric Unix timestamps (seconds) for time bars.
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2. **list of tuples** ``[(ts, price, size), …]``.
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3. **dict** ``{'timestamp': array, 'price': array, 'size': array}``.
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rule : str
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Bar specification:
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- ``'tick:<n>'`` — every N ticks become one bar (default ``'tick:100'``)
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- ``'volume:<threshold>'`` — every N units of volume become one bar
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- ``'time:<seconds>'`` — every N seconds become one bar
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timestamp_col, price_col, size_col : str
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Column names when *ticks* is a DataFrame.
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Returns
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-------
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pandas.DataFrame or tuple of numpy arrays
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If a DataFrame was passed in (or pandas is available), returns a
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DataFrame with columns ``open``, ``high``, ``low``, ``close``,
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``volume``, and (for time bars) ``timestamp``.
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Otherwise returns a tuple ``(open, high, low, close, volume)``.
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Examples
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--------
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>>> import numpy as np
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>>> from ferro_ta.data.aggregation import aggregate_ticks
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>>> rng = np.random.default_rng(42)
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>>> n = 500
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>>> price = 100 + np.cumsum(rng.normal(0, 0.1, n))
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>>> size = rng.uniform(10, 100, n)
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>>> bars = aggregate_ticks({"price": price, "size": size}, rule="tick:50")
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>>> len(bars["open"]) == n // 50 + (1 if n % 50 != 0 else 0)
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True
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"""
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bar_type, param = _parse_rule(rule)
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# --- Normalise input ---
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ts_arr: Optional[NDArray[np.float64]] = None
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if isinstance(ticks, list):
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# list of (ts, price, size) tuples
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arr = np.ascontiguousarray(ticks, dtype=np.float64)
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ts_arr = np.ascontiguousarray(arr[:, 0])
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price_arr = np.ascontiguousarray(arr[:, 1])
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size_arr = np.ascontiguousarray(arr[:, 2])
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elif isinstance(ticks, dict):
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price_arr = _to_f64(ticks[price_col])
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size_arr = _to_f64(ticks[size_col])
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if timestamp_col in ticks:
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ts_arr = _to_f64(ticks[timestamp_col])
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else:
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# pandas DataFrame
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try:
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import pandas as pd
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except ImportError as exc:
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raise ImportError("pandas is required for DataFrame input") from exc
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price_arr = _to_f64(ticks[price_col].values)
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size_arr = _to_f64(ticks[size_col].values)
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if timestamp_col in ticks.columns:
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ts_arr = _to_f64(ticks[timestamp_col].values)
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# --- Aggregate ---
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if bar_type == "tick":
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ro, rh, rl, rc, rv = _rust_tick_bars(price_arr, size_arr, int(param))
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extra: Optional[NDArray] = None
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elif bar_type == "volume":
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ro, rh, rl, rc, rv = _rust_volume_bars_ticks(price_arr, size_arr, param)
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extra = None
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else: # time
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if ts_arr is None:
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raise ValueError("Time bars require a timestamp column in the tick data.")
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period_secs = int(param)
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labels = (ts_arr // period_secs).astype(np.int64)
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ro, rh, rl, rc, rv, lbl = _rust_time_bars(price_arr, size_arr, labels)
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extra = lbl
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# --- Return ---
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try:
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import pandas as pd
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df: dict[str, Any] = {
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"open": ro,
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"high": rh,
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"low": rl,
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"close": rc,
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"volume": rv,
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}
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if extra is not None:
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df["timestamp"] = (extra * int(param)).astype(np.int64)
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return pd.DataFrame(df)
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except ImportError:
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return {"open": ro, "high": rh, "low": rl, "close": rc, "volume": rv}
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# ---------------------------------------------------------------------------
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# TickAggregator — class-based API
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# ---------------------------------------------------------------------------
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class TickAggregator:
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"""Class-based API for tick aggregation.
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Parameters
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----------
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rule : str
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Bar specification (see :func:`aggregate_ticks`).
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Examples
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--------
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>>> from ferro_ta.data.aggregation import TickAggregator
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>>> agg = TickAggregator(rule="tick:50")
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>>> import numpy as np
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>>> rng = np.random.default_rng(0)
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>>> ticks = {"price": rng.uniform(99, 101, 200), "size": rng.uniform(1, 10, 200)}
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>>> bars = agg.aggregate(ticks)
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>>> len(bars["open"]) >= 4
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True
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"""
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def __init__(self, rule: str = "tick:100") -> None:
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self.rule = rule
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# Validate rule at construction time
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_parse_rule(rule)
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def aggregate(self, ticks: Any, **kwargs: Any) -> Any:
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"""Aggregate *ticks* into bars. See :func:`aggregate_ticks`."""
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return aggregate_ticks(ticks, rule=self.rule, **kwargs)
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def __repr__(self) -> str:
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return f"TickAggregator(rule={self.rule!r})"
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