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WAP support on tickfilter bars #127

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WAP support on tickfilter bars #127

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2930c07
WAP support on tickfilter bars
gnzsnz Mar 12, 2025
ba42d9f
Updates
gnzsnz Mar 18, 2025
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37 changes: 32 additions & 5 deletions ib_async/ticker.py
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Original file line number Diff line number Diff line change
Expand Up @@ -23,7 +23,7 @@
nan = float("nan")


@dataclass
@dataclass(slots=True)
class Ticker:
"""
Current market data such as bid, ask, last price, etc. for a contract.
Expand Down Expand Up @@ -123,6 +123,7 @@ class Ticker:
regulatoryImbalance: float = nan
bboExchange: str = ""
snapshotPermissions: int = 0
updateEvent: Event = field(init=False)

def __post_init__(self):
self.updateEvent = TickerUpdateEvent("updateEvent")
Expand Down Expand Up @@ -258,14 +259,15 @@ def on_source(self, ticker):
self.emit(ticker.time, ticker.midpoint(), 0)


@dataclass
@dataclass(slots=True)
class Bar:
time: Optional[datetime]
open: float = nan
high: float = nan
low: float = nan
close: float = nan
volume: int = 0
wap: float = 0
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Seems lika "nan" is the convention for default. If you decide so, also conditions on ln 362 and 398 will need update to isNan(bar.wap).

Although looks like wap can only ever be nan/0 in TimeBar when bar gets created on timer without any input data, so maybe these conditions in Tick and Volume bars are unnecessary?

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i'll do a few tests with nan, I just realize that using wap = 0 is running my plots

count: int = 0


Expand Down Expand Up @@ -302,6 +304,11 @@ def on_source(self, time, price, size):
bar.high = max(bar.high, price)
bar.low = min(bar.low, price)
bar.close = price
# wap
if (bar.volume + size) == 0:
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Hi, how about:

new_volume = bar.volume + size
if new_volume != 0:  # Prevent division by zero in empty bar
    bar.wap = ((bar.wap * bar.volume) + (price * size)) / new_volume
bar.volume = new_volume

bar.wap = bar.wap
else:
bar.wap = ((bar.wap * bar.volume) + (price * size)) / (bar.volume + size)
bar.volume += size
bar.count += 1
self.bars.updateEvent.emit(self.bars, False)
Expand All @@ -310,7 +317,9 @@ def _on_timer(self, time):
if self.bars:
bar = self.bars[-1]
if isNan(bar.close) and len(self.bars) > 1:
bar.open = bar.high = bar.low = bar.close = self.bars[-2].close
bar.open = bar.high = bar.low = bar.close = bar.wap = self.bars[
-2
].close
self.bars.updateEvent.emit(self.bars, True)
self.emit(bar)
self.bars.append(Bar(time))
Expand All @@ -333,16 +342,25 @@ def __init__(self, count, source=None):

def on_source(self, time, price, size):
if not self.bars or self.bars[-1].count == self._count:
bar = Bar(time, price, price, price, price, size, 1)
bar = Bar(time, price, price, price, price, size, price, 1)
self.bars.append(bar)
else:
bar = self.bars[-1]
bar.high = max(bar.high, price)
bar.low = min(bar.low, price)
bar.close = price
# wap
if (bar.volume + size) == 0:
bar.wap = bar.wap
else:
bar.wap = ((bar.wap * bar.volume) + (price * size)) / (
bar.volume + size
)
bar.volume += size
bar.count += 1
if bar.count == self._count:
if bar.wap == 0:
bar.wap = bar.close
self.bars.updateEvent.emit(self.bars, True)
self.emit(self.bars)

Expand All @@ -360,15 +378,24 @@ def __init__(self, volume, source=None):

def on_source(self, time, price, size):
if not self.bars or self.bars[-1].volume >= self._volume:
bar = Bar(time, price, price, price, price, size, 1)
bar = Bar(time, price, price, price, price, size, price, 1)
self.bars.append(bar)
else:
bar = self.bars[-1]
bar.high = max(bar.high, price)
bar.low = min(bar.low, price)
# wap
bar.close = price
if (bar.volume + size) == 0:
bar.wap = bar.wap
else:
bar.wap = ((bar.wap * bar.volume) + (price * size)) / (
bar.volume + size
)
bar.volume += size
bar.count += 1
if bar.volume >= self._volume:
if bar.wap == 0:
bar.wap = bar.close
self.bars.updateEvent.emit(self.bars, True)
self.emit(self.bars)