One can apply a TALIB function to multiple securities by first grouping by security (using the groupby
method ) and then applying a function to each group (using the apply
method).
First, one needs to change the results of the get_pricing
method into a dataframe. The default is a pandas panel. The to_frame
method works nicely. Once we have a dataframe then group by security and apply our talib function. The one 'gotcha' is the apply
method passes a dataframe to the function. The TALIB functions expect series. A straightforward workaround is to use a helper function which takes the dataframe as an input then calls the TALIB function with the appropriate columns. Like this
def my_CDLENGULFING(df):
"""
Map the appropriate columns from the get_pricing dataframe to the TALIB function
Return the latest value of CDLENGULFING
"""
return talib.CDLENGULFING(
open=df.open_price,
high=df.high,
low=df.low,
close=df.close_price,
)[-1]
Putting it all together, something like this will work to get the last (most recent) value of the 'talib.CDLENGULFING' function for multiple securities. The result is a series indexed by security. The values of the series are the latest CDLENGULFING values.
# Import the talib library
import talib
# Set the start and end dates
start = '2018-08-01'
end = '2019-08-30'
# Set the securites (assets) we want to check
assets = ['SSO', 'SDS']
# Fetch the OHLCV data for the securities
data_panel = get_pricing(assets, start_date=start, end_date=end, frequency='daily')
data_df = data_panel.to_frame()
# Now apply our talib helper function to each security
# Level 1 are the securities
cdlengulfing_latest = data_df.groupby(level=1).apply(my_CDLENGULFING)
See the attached notebook. It goes into more detail first passing a single security to a TALIB function and then finally multiple securities as above. Good question!
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