OHLC Builder is a Python package designed to construct OHLC (Open, High, Low, Close, Volume, Count) bars from raw trade data with accurate condition handling based on trade conditions and exchange codes.
- Accurate Condition Handling: Implements detailed logic for trade conditions to ensure high-quality OHLC data.
- Modular Design: Follows SOLID principles for maintainability and scalability.
- Concurrency Support: Optional concurrency module for performance optimization.
- Data Validation: Comprehensive validation and error handling.
pip install -e .OHLC_builder/
├── OHLC_builder
│ ├── __init__.py
│ ├── builder.py
│ ├── concurrency.py
│ ├── utils.py
│ └── config.py
├── data
│ ├── exchange_codes.csv
│ ├── trade_conditions.csv
│ └── sample_trades.json.gz
├── tests
│ ├── __init__.py
│ └── test_builder.py
├── README.md
├── requirements.txt
└── setup.py
from OHLC_builder import OHLCBuilder
from OHLC_builder.utils import load_trade_conditions, load_exchange_codes, load_trade_data
# Load data
trade_conditions_df = load_trade_conditions('data/trade_conditions.csv')
exchange_codes_df = load_exchange_codes('data/exchange_codes.csv')
trades, format_columns = load_trade_data('data/sample_trades.json.gz')
# Initialize builder
builder = OHLCBuilder(
trades=trades,
format_columns=format_columns,
trade_conditions_df=trade_conditions_df,
exchange_codes_df=exchange_codes_df
)
# Generate OHLC data
OHLC = builder.get_OHLC(interval='1min')
# Save or process OHLC DataFrame as needed
OHLC.to_csv('data/OHLC_output.csv')To enable concurrency, import the concurrency module and adjust the settings in config.py.
python -m unittest discover testsThis project is licensed under the MIT License.
How to Run the Package
-
Install Dependencies:
pip install -r requirements.txt
-
Install the Package:
pip install -e . -
Run the Main Script:
python main.py
-
Run Tests:
python -m unittest discover tests