quantpylib.hft.trades

Trades

__init__(buffer_size=100)

A class representing a buffer for storing trade logs with attributes for timestamp, price, size, and direction.

Parameters:

Name	Type	Description	Default
buffer_size	int	The size of the buffer for storing trades. Defaults to 100.	100

append(trade=None, ts=None, price=None, size=None, dir=None)

Append a new trade to the buffer. A trade is specified by the arguments ts,price,size,dir or with the 4-tuple (ts,price,size,dir).

Parameters:

Name	Type	Description	Default
ts	int	The timestamp of the trade. Defaults to None.	None
price	float	The price of the trade. Defaults to None.	None
size	float	The size of the trade. Defaults to None.	None
dir	int	The direction of the trade, 1 or -1. Defaults to None.	None
trade	tuple	A tuple representing the trade (ts,price,size,dir).	None

buffer_len()

Get the length of the trade buffer.

Returns:

Name	Type	Description
int		The length of the trade buffer.

clear_buffer()

Clear the trade buffer.

get_buffer()

Get the current contents of the trade buffer.

Returns:

Type	Description
	np.ndarray: The array of trades in the buffer.

get_imbalance(n=None, default=0.0, decay_function=None)

Get the trade imbalance over the last n trades.

Parameters:

Name	Type	Description	Default
n	int	The number of trades to consider. Defaults to the whole stored buffer.	None
default	float	The default value to return if the buffer has less than n data points. Defaults to 0.0.	0.0
decay_function	function	The decay function to apply to the samples. Defaults to exponential decay.	None

load_buffer(trade_buffer) staticmethod

Load a Trades object from an existing buffer.

Parameters:

Name	Type	Description	Default
trade_buffer	RingBuffer	An existing buffer containing trade logs.	required

Returns:

Name	Type	Description
Trades		The loaded Trades object.

load_numpy_arr(trades_array) staticmethod

Load a Trades object from existing numpy arrays.

Parameters:

Name	Type	Description	Default
trades_array	ndarray	Array containing trade logs with each row containing	required

Returns:

Name	Type	Description
Trades		The loaded Trades object.