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fixed test failure happening because of datetime column type issue
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@CosmicTrader
CosmicTrader committed Jul 3, 2024
1 parent 964f35d commit 9a5c105
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Showing 4 changed files with 2,024 additions and 1,991 deletions.
57 changes: 28 additions & 29 deletions smartmoneyconcepts/smc.py
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Original file line number Diff line number Diff line change
Expand Up @@ -521,8 +521,11 @@ def ob(
This method detects order blocks when there is a high amount of market orders exist on a price range.
parameters:
swing_highs_lows: DataFrame - provide the dataframe from the swing_highs_lows function
ohlc: DataFrame - provide the ohlc data that which is used for calculating the shl
shl: DataFrame - provide the dataframe from the swing_highs_lows function
close_mitigation: bool - if True then the order block will be mitigated based on the close of the candle otherwise it will be the high/low.
use_bos: bool - if break of structure are to be used to calculate order blocks.
use_choch: bool - if change of character are to be used to calculate order blocks.
returns:
OB = 1 if bullish order block, -1 if bearish order block
Expand All @@ -543,7 +546,6 @@ def ob(
if rename_col is not None:
ohlc.rename(columns={rename_col:'date'}, inplace=True)


_high_low = shl["HighLow"].values
_dates = ohlc["date"].values.astype("datetime64[ns]")
_high = ohlc["high"].values
Expand Down Expand Up @@ -598,11 +600,11 @@ def ob(
use_structure = True

bos_level[last_swing_high_index] = last_swing_high
structure_complete_date[last_swing_high_index] = _dates[i]
structure_complete_date[last_swing_high_index] = _dates[i + 1]

if use_structure:
ob[last_swing_low_index] = -1
ob_confirm_date[last_swing_low_index] = _dates[i]
ob_confirm_date[last_swing_low_index] = _dates[i + 1]
ob_low_indices = np.concatenate(
(
ob_low_indices,
Expand All @@ -619,18 +621,17 @@ def ob(

# upper order block mitigated
if _close[i] >= last_ob_high:
idx_to_delete = None
idx_to_delete = []
for row_idx, row in enumerate(ob_high_indices):
ob_high_index, swing_high = row
if last_ob_high == swing_high:
idx_to_delete = row_idx
if _close[i] >= swing_high:
idx_to_delete.append(row_idx)
ob_mitigation_date[int(ob_high_index)] = _dates[i]
ob_mitigated_index[int(ob_high_index)] = i

mask = np.ones(ob_high_indices.shape[0], dtype=bool)
if idx_to_delete is not None:
mask[idx_to_delete] = False
ob_high_indices = ob_high_indices[mask]
mask[idx_to_delete] = False
ob_high_indices = ob_high_indices[mask]
if np.any(ob_high_indices):
last_ob_high = ob_high_indices[:, 1].min()
else:
Expand All @@ -649,11 +650,11 @@ def ob(
use_structure = True

bos_level[last_swing_low_index] = last_swing_low
structure_complete_date[last_swing_low_index] = _dates[i]
structure_complete_date[last_swing_low_index] = _dates[i + 1]

if use_structure:
ob[last_swing_high_index] = 1
ob_confirm_date[last_swing_high_index] = _dates[i]
ob_confirm_date[last_swing_high_index] = _dates[i + 1]

ob_high_indices = np.concatenate(
(
Expand All @@ -671,19 +672,17 @@ def ob(

# lower order block mitigated
if _close[i] <= last_ob_low:

idx_to_delete = None
idx_to_delete = []
for row_idx, row in enumerate(ob_low_indices):
ob_low_index, swing_low = row
if last_ob_low == swing_low:
idx_to_delete = row_idx
if _close[i] <= swing_low:
idx_to_delete.append(row_idx)
ob_mitigation_date[int(ob_low_index)] = _dates[i]
ob_mitigated_index[int(ob_low_index)] = i

mask = np.ones(ob_low_indices.shape[0], dtype=bool)
if idx_to_delete is not None:
mask[idx_to_delete] = False
ob_low_indices = ob_low_indices[mask]
mask[idx_to_delete] = False
ob_low_indices = ob_low_indices[mask]

if np.any(ob_low_indices):
last_ob_low = ob_low_indices[:, 1].max()
Expand Down Expand Up @@ -714,11 +713,11 @@ def ob(
use_structure = True

bos_level[last_swing_high_index] = last_swing_high
structure_complete_date[last_swing_high_index] = _dates[i]
structure_complete_date[last_swing_high_index] = _dates[i + 1]

if use_structure:
ob[last_swing_low_index] = -1
ob_confirm_date[last_swing_low_index] = _dates[i]
ob_confirm_date[last_swing_low_index] = _dates[i + 1]

ob_low_indices = np.concatenate(
(
Expand All @@ -736,11 +735,11 @@ def ob(

# upper order block mitigated
if _high[i] >= last_ob_high:
idx_to_delete = 0
idx_to_delete = []
for row_idx, row in enumerate(ob_high_indices):
ob_high_index, swing_high = row
if last_ob_high == swing_high:
idx_to_delete = row_idx
if _high[i] >= swing_high:
idx_to_delete.append(row_idx)
ob_mitigation_date[int(ob_high_index)] = _dates[i]

mask = np.ones(ob_high_indices.shape[0], dtype=bool)
Expand All @@ -765,11 +764,11 @@ def ob(
use_structure = True

bos_level[last_swing_low_index] = last_swing_low
structure_complete_date[last_swing_low_index] = _dates[i]
structure_complete_date[last_swing_low_index] = _dates[i + 1]

if use_structure:
ob[last_swing_high_index] = 1
ob_confirm_date[last_swing_high_index] = _dates[i]
ob_confirm_date[last_swing_high_index] = _dates[i + 1]

ob_high_indices = np.concatenate(
(
Expand All @@ -788,11 +787,11 @@ def ob(
# lower order block mitigated
if _low[i] <= last_ob_low:

idx_to_delete = 0
idx_to_delete = []
for row_idx, row in enumerate(ob_low_indices):
ob_low_index, swing_low = row
if last_ob_low == swing_low:
idx_to_delete = row_idx
if _low[i] <= swing_low:
idx_to_delete.append(row_idx)
ob_mitigation_date[int(ob_low_index)] = _dates[i]

mask = np.ones(ob_low_indices.shape[0], dtype=bool)
Expand Down
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