ttools

A Python library for tools, utilities, and helpers for my trading research workflow.

Installation

pip install git+https://github.com/drew2323/ttools.git

or

pip install git+https://gitea.stratlab.dev/dwker/ttools.git

Modules:

loaders

• remotely fetches daily trade data
• manages trade cache (daily trade files per symbol) and aggregation cache (per symbola and requested period)
• numba compiled aggregator for required output (time based, dollars, volume bars, renkos...).
• additional columns calculated from tick data and included in bars
  • buyvolume, sellvolume - total amount of volume triggered by aggressive orders (estimated by Lee-Ready algorithm)
  • buytrades, selltrades - total amount of trades in each bar grouped by side of aggregsive orders

Detailed examples in tests/data_loader_tryme.ipynb

load_data

Returns vectorized aggregation of given type.

If aggregated data are already in agg cache with same conditions for same or wider date span they are returned from cache. Otherwise trade data are aggregated on the fly, saved to cache and returned. If trades for given period are not cached ,they are remotely fetched from Alpaca first.

Example:

from ttools import load_data
#This is how to call LOAD function
vbt_data = load_data(symbol = ["BAC"],
                     agg_type = AggType.OHLCV, #aggregation types: AggType.OHLCV_VOL, AggType.OHLCV_DOL, AggType.OHLCV_RENKO,
                     resolution = 12, #12s (for other types might be bricksize etc.)
                     start_date = datetime(2024, 10, 14, 9, 45, 0),
                     end_date = datetime(2024, 10, 16, 15, 1, 0),
                     #exclude_conditions = ['C','O','4','B','7','V','P','W','U','Z','F','9','M','6'],
                     minsize = 100, #minimum trade size included in aggregation
                     main_session_only = True, #False for ext hours
                     force_remote = False, #always refetches trades remotely
                     return_vbt = True, #returns vbt object with symbols as columns, otherwise dict keyed by symbols with pd.DataFrame
                     verbose = True # False = silent mode
                     )

vbt_data.ohlcv.data[symbol[0]].lw.plot()
vbt_data.data[symbol[0]]

cache

There are 2 caches created

• trade cache - daily files per symbol with all trades
• agg cache - aggregated output keyed by aggtype, resolution, conditions and ranges

keys

Required Alpaca API keys in env variables or .env files.

ACCOUNT1_LIVE_API_KEY=api_key
ACCOUNT1_LIVE_SECRET_KEY=secret_key

prepare trade cache

To prepare daily trade cache files for given period. If they are not present in cache, they are fetched. force_remote refetches from remote, even when exists in cache.

from ttools.loaders import prepare_trade_cache

symbols = ["BAC", "AAPL"]
#datetime in zoneNY 
day_start = datetime(2024, 10, 1, 9, 45, 0)
day_stop = datetime(2024, 10, 14, 15, 1, 0)
day_start = zoneNY.localize(day_start)
day_stop = zoneNY.localize(day_stop)
force_remote = False

prepare_trade_cache(symbols, day_start, day_stop, force_remote)

Prepare daily trade cache - cli script

Daily trade cache data can be fetched for given period by CLI script, that can run in the background.

Note: To fetch 1 day takes about 35s. It is stored in /tradescache/ directory as daily file keyed by symbol.

To run this script in the background with specific arguments:

# Running without forcing remote fetch
python3 prepare_cache.py --symbols BAC AAPL --day_start 2024-10-14 --day_stop 2024-10-18 &

# Running with force_remote set to True
python3 prepare_cache.py --symbols BAC AAPL --day_start 2024-10-14 --day_stop 2024-10-18 --force_remote &

remote loaders

Remote bars of given resolutions from Alpaca.

Available resolutions Minute, Hours, Day. It s not possible to limit included trades. Use only when no precision required.

from ttools.external_loaders import load_history_bars
from ttools.config import zoneNY
from datetime import datetime, time
from alpaca.data.timeframe import TimeFrame, TimeFrameUnit

symbol = "AAPL"
start_date = zoneNY.localize(datetime(2023, 2, 27, 18, 51, 38))
end_date = zoneNY.localize(datetime(2023, 4, 27, 21, 51, 39))
timeframe = TimeFrame(amount=1,unit=TimeFrameUnit.Minute)

df = load_history_bars(symbol, start_date, end_date, timeframe, main_session_only=True)
df.loc[('AAPL',)]

vbtutils

Contains helpers for vbtpro

AnchoredIndicator - allows runing any vbt indicator in anchored mode (reset by Day, Hour etc.)

Example usage:

from ttools import AnchoredIndicator

mom = vbt.indicator("talib:MOM").run(t1data.data["BAC"].close, timeperiod=10, skipna=True) #standard indicator
mom_anch_d = AnchoredIndicator("talib:MOM", anchor='D').run(t1data.data["BAC"].close, timeperiod=10, skipna=True) #anchored to D

create_mask_from_window - creates mask of the same size AS INPUT, True values denotes that the window is open. Used to filter entry window or forced eod window. Range is denoted by pair (start, end) indicating minutes elapsed from the market start of that day.

from ttools import create_mask_from_window

entry_window_opens = 3 #in minutes from start of the market
entry_window_closes = 388
forced_exit_start = 387
forced_exit_end = 390

#create mask based on main session that day
entry_window_opened = create_mask_from_window(entries, entry_window_opens, entry_window_closes)
#limit entries to the window
entries = entries & entry_window_opened

#create forced exits mask
forced_exits_window = create_mask_from_window(exits, forced_exit_start, forced_exit_end)

#add forced_exits to exits
exits = exits | forced_exits_window

exits.tail(20)

display plotly figs in single ntb cells

To display various standalone figures in the same cell.

figs2cell(figlist)

Example usage:

figs = []
fig1 = df.groupby([df['Exit Index'].dt.day_name(), 'Direction'])['PnL'].sum().unstack().vbt.barplot()
fig2 = df.groupby([df['Exit Index'].dt.day_name(), 'Direction'])['PnL'].sum().unstack().vbt.barplot()
figs.append(fig1)
figs.append(fig2)
display_figs_side_by_side(figs)

is rising/is falling

isrising(series,n),isfalling(series, n) - returns mask where the condition is satisfied of rising or falling elements including equal values

isrisingc(series,n),isfallingc(series, n) - same as above but scritly rising/fallinf (no equal values)

Indicators

Custom indicators in the indicators folder.

Importing

from ttools.vbtindicators import register_custom_inds
register_custom_inds(None, "override") #All indicators from the folder are automatically imported and registered.
register_custom_inds("CUVWAP", "override")#just one

After registration they can be listed and used

vbt.IF.list_indicators("ttools")
vbt.phelp(vbt.indicator("ttools:CUVWAP").run)

vwap_cum_d = vbt.indicator("ttools:CUVWAP").run(s12_data.high, s12_data.low, s12_data.close, s12_data.volume, anchor=vbt.Default(value="D"), drag=vbt.Default(value=50), hide_default=True)

Creating

To create custom indicators CUSTOMNAME.py in indicators folder is created containing varibles IND_CUSTOMNAME containing the Indicator Factory class.

Available

• CUVWAP - Cumulative VWAP with anchor based on HLCC4 with optional rounding (hlcc4_round, def.3) and drag - warming period from previous anchor unit(def.0).
• DIVERGENCE - Various divergences between two timeseries (abs, relative, relative normalized, pct, abs pct)