pysatl_tsp.implementations.processor.midprice_handler

Module Contents

Classes

MidpriceHandler

Midprice handler that processes high/low price tuples.

API

class pysatl_tsp.implementations.processor.midprice_handler.MidpriceHandler(length: int = 10, source: pysatl_tsp.core.Handler[Any, pysatl_tsp.core.handler.T] | None = None)[source]

Bases: pysatl_tsp.core.processor.inductive.moving_window_handler.MovingWindowHandler[tuple[float | None, float | None], float | None]

Midprice handler that processes high/low price tuples.

Calculates the average of the highest high and lowest low over a period. This handler is particularly useful for financial time series data where both high and low prices are available, providing a measure of the center of the price range over the specified period.

Unlike simple averages, the midprice considers only extreme values, making it useful for range-bound markets and support/resistance identification.

Parameters:

  • length – The period for the calculation, defaults to 10

  • source – Input data source providing (high, low) tuples, defaults to None

Example:
# Create a data source with (high, low) price tuples
data = [
    (10.0, 8.0),  # (high, low)
    (11.0, 9.0),
    (12.0, 8.5),
    (10.5, 7.5),
    (11.5, 9.5),
    (13.0, 10.0),
]
data_source = SimpleDataProvider(data)

# Create a midprice handler with length of 3
midprice_handler = MidpriceHandler(length=3)
midprice_handler.set_source(data_source)

# Process the data
for value in midprice_handler:
    print(value)

# Output:
# None
# None
# 10.0  # (highest high 12.0 + lowest low 8.0) / 2 from first 3 tuples
# 10.0  # (highest high 12.0 + lowest low 7.5) / 2
# 10.0  # (highest high 12.0 + lowest low 7.5) / 2
# 10.25 # (highest high 13.0 + lowest low 7.5) / 2

Initialization

Initialize moving window handler with specified parameters.

Parameters:

  • length – The period for the calculation, defaults to 10

  • source – Input data source, defaults to None

_compute_result(state: dict[str, Any]) → float | None[source]

Calculate midprice as (highest high + lowest low) / 2.

Examines all high/low pairs in the current window, finds the highest high and lowest low values, and returns their average. This produces a measure of the central price level between the highest and lowest extremes.

Parameters:

state – Current state dictionary containing window of (high, low) tuples

Returns:

Midprice value or None if the window isn’t filled or contains None values