"""Compute indicators on multiple timeframes from a single 1-minute feed. Wickra exposes resampling on the Rust side (in `wickra-data`); from Python we roll up bars manually using NumPy because most users already have their data in a NumPy array and don't need the streaming-resample infrastructure for offline analysis. Run with:: python -m examples.python.multi_timeframe path/to/1m.csv """ from __future__ import annotations import argparse import csv from typing import Iterable, List, Tuple import numpy as np import wickra as ta # Columns the OHLCV layout requires; the CSV header must name every one. REQUIRED_COLUMNS = ("timestamp", "open", "high", "low", "close", "volume") def read_csv(path: str) -> Tuple[np.ndarray, np.ndarray, np.ndarray, np.ndarray, np.ndarray]: """Read an OHLCV CSV into typed columns. Raises: ValueError: if the file has no header, is missing a required column, holds no data rows, or contains a non-numeric value (the message names the offending row). """ ts, o, h, l, c, v = [], [], [], [], [], [] with open(path, newline="") as f: reader = csv.DictReader(f) if reader.fieldnames is None: raise ValueError(f"{path}: CSV has no header row") missing = [col for col in REQUIRED_COLUMNS if col not in reader.fieldnames] if missing: raise ValueError( f"{path}: CSV is missing required column(s): " f"{', '.join(missing)}; found: {', '.join(reader.fieldnames)}" ) for line_no, row in enumerate(reader, start=2): try: ts.append(int(row["timestamp"])) o.append(float(row["open"])) h.append(float(row["high"])) l.append(float(row["low"])) c.append(float(row["close"])) v.append(float(row["volume"])) except (TypeError, ValueError) as exc: raise ValueError( f"{path}: row {line_no} has a non-numeric value: {exc}" ) from exc if not ts: raise ValueError(f"{path}: CSV has a header but no data rows") return ( np.asarray(ts, dtype=np.int64), np.asarray(o, dtype=np.float64), np.asarray(h, dtype=np.float64), np.asarray(l, dtype=np.float64), np.asarray(c, dtype=np.float64), np.asarray(v, dtype=np.float64), ) def resample( ts: np.ndarray, o: np.ndarray, h: np.ndarray, l: np.ndarray, c: np.ndarray, v: np.ndarray, bucket: int, ) -> Tuple[np.ndarray, ...]: """Aggregate bar-level columns into coarser buckets of size `bucket`. Raises: ValueError: if the input series is empty. """ if ts.size == 0: raise ValueError("resample received an empty series") bucket_index = (ts // bucket).astype(np.int64) boundaries = np.diff(bucket_index, prepend=bucket_index[0] - 1) != 0 group_ids = np.cumsum(boundaries) - 1 n_groups = int(group_ids.max()) + 1 new_ts = np.empty(n_groups, dtype=np.int64) new_o = np.empty(n_groups, dtype=np.float64) new_h = np.empty(n_groups, dtype=np.float64) new_l = np.empty(n_groups, dtype=np.float64) new_c = np.empty(n_groups, dtype=np.float64) new_v = np.empty(n_groups, dtype=np.float64) for g in range(n_groups): mask = group_ids == g new_ts[g] = ts[mask][0] new_o[g] = o[mask][0] new_h[g] = h[mask].max() new_l[g] = l[mask].min() new_c[g] = c[mask][-1] new_v[g] = v[mask].sum() return new_ts, new_o, new_h, new_l, new_c, new_v def summarize(label: str, close: np.ndarray, high: np.ndarray, low: np.ndarray) -> None: if close.size == 0: print(f" {label:<10} (empty series — nothing to summarize)") return rsi = ta.RSI(14).batch(close) macd = ta.MACD().batch(close) adx = ta.ADX(14).batch(high, low, close) last_macd_hist = macd[~np.isnan(macd[:, 2])][-1, 2] if np.any(~np.isnan(macd[:, 2])) else float("nan") last_adx = adx[~np.isnan(adx[:, 2])][-1, 2] if np.any(~np.isnan(adx[:, 2])) else float("nan") valid_rsi = rsi[~np.isnan(rsi)] last_rsi = valid_rsi[-1] if valid_rsi.size else float("nan") print( f" {label:<10} bars={close.size:>5} " f"last_close={close[-1]:>10.4f} rsi={last_rsi:>6.2f} " f"macd_hist={last_macd_hist:+.4f} adx={last_adx:>6.2f}" ) def main() -> int: p = argparse.ArgumentParser(description=__doc__.splitlines()[0] if __doc__ else None) p.add_argument("path", help="Path to a 1-minute OHLCV CSV (timestamps in milliseconds)") args = p.parse_args() ts, o, h, l, c, v = read_csv(args.path) one_minute = 60_000 print(f"Multi-timeframe view of {args.path}") summarize("1m", c, h, l) for label, bucket in [("5m", 5), ("15m", 15), ("1h", 60), ("4h", 240), ("1d", 1440)]: if ts.size < bucket: continue rs_ts, rs_o, rs_h, rs_l, rs_c, rs_v = resample(ts, o, h, l, c, v, bucket * one_minute) summarize(label, rs_c, rs_h, rs_l) return 0 if __name__ == "__main__": raise SystemExit(main())