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Merged
joshyattridge merged 2 commits into from
Jun 3, 2025
Merged

Handle early index volumes in OB #88

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6dc6363
Add note about failing tests
joshyattridge Jun 3, 2025
560163e
Update README.md
joshyattridge Jun 3, 2025
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18 changes: 12 additions & 6 deletions smartmoneyconcepts/smc.py
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Original file line number Diff line number Diff line change
Expand Up @@ -473,9 +473,12 @@ def ob(
ob[obIndex] = 1
top_arr[obIndex] = obTop
bottom_arr[obIndex] = obBtm
obVolume[obIndex] = _volume[close_index] + _volume[close_index - 1] + _volume[close_index - 2]
lowVolume[obIndex] = _volume[close_index - 2]
highVolume[obIndex] = _volume[close_index] + _volume[close_index - 1]
vol_cur = _volume[close_index]
vol_prev1 = _volume[close_index - 1] if close_index >= 1 else 0.0
vol_prev2 = _volume[close_index - 2] if close_index >= 2 else 0.0
obVolume[obIndex] = vol_cur + vol_prev1 + vol_prev2
lowVolume[obIndex] = vol_prev2
highVolume[obIndex] = vol_cur + vol_prev1
max_vol = max(highVolume[obIndex], lowVolume[obIndex])
percentage[obIndex] = (min(highVolume[obIndex], lowVolume[obIndex]) / max_vol * 100.0) if max_vol != 0 else 100.0
active_bullish.append(obIndex)
Expand Down Expand Up @@ -529,9 +532,12 @@ def ob(
ob[obIndex] = -1
top_arr[obIndex] = obTop
bottom_arr[obIndex] = obBtm
obVolume[obIndex] = _volume[close_index] + _volume[close_index - 1] + _volume[close_index - 2]
lowVolume[obIndex] = _volume[close_index] + _volume[close_index - 1]
highVolume[obIndex] = _volume[close_index - 2]
vol_cur = _volume[close_index]
vol_prev1 = _volume[close_index - 1] if close_index >= 1 else 0.0
vol_prev2 = _volume[close_index - 2] if close_index >= 2 else 0.0
obVolume[obIndex] = vol_cur + vol_prev1 + vol_prev2
lowVolume[obIndex] = vol_cur + vol_prev1
highVolume[obIndex] = vol_prev2
max_vol = max(highVolume[obIndex], lowVolume[obIndex])
percentage[obIndex] = (min(highVolume[obIndex], lowVolume[obIndex]) / max_vol * 100.0) if max_vol != 0 else 100.0
active_bearish.append(obIndex)
Expand Down
51 changes: 30 additions & 21 deletions tests/unit_tests.py
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Original file line number Diff line number Diff line change
Expand Up @@ -6,13 +6,15 @@
import pandas as pd
import unittest

sys.path.append(os.path.abspath("../"))
BASE_DIR = os.path.dirname(__file__)
sys.path.append(os.path.abspath(os.path.join(BASE_DIR, "..")))
from smartmoneyconcepts.smc import smc

# define and import test data
test_instrument = "EURUSD"
instrument_data = f"{test_instrument}_15M.csv"
df = pd.read_csv(os.path.join("test_data", test_instrument, instrument_data))
TEST_DATA_DIR = os.path.join(BASE_DIR, "test_data", test_instrument)
df = pd.read_csv(os.path.join(TEST_DATA_DIR, instrument_data))
df = df.set_index("Date")
df.index = pd.to_datetime(df.index)

Expand All @@ -24,7 +26,7 @@ def test_fvg(self):
start_time = time.time()
fvg_data = smc.fvg(df)
fvg_result_data = pd.read_csv(
os.path.join("test_data", test_instrument, "fvg_result_data.csv")
os.path.join(TEST_DATA_DIR, "fvg_result_data.csv")
)
print("fvg test time: ", time.time() - start_time)
pd.testing.assert_frame_equal(fvg_data, fvg_result_data, check_dtype=False)
Expand All @@ -33,7 +35,7 @@ def test_fvg_consecutive(self):
start_time = time.time()
fvg_data = smc.fvg(df, join_consecutive=True)
fvg_consecutive_result_data = pd.read_csv(
os.path.join("test_data", test_instrument, "fvg_consecutive_result_data.csv")
os.path.join(TEST_DATA_DIR, "fvg_consecutive_result_data.csv")
)
print("fvg consecutive test time: ", time.time() - start_time)
pd.testing.assert_frame_equal(fvg_data, fvg_consecutive_result_data, check_dtype=False)
Expand All @@ -42,9 +44,7 @@ def test_swing_highs_lows(self):
start_time = time.time()
swing_highs_lows_data = smc.swing_highs_lows(df, swing_length=5)
swing_highs_lows_result_data = pd.read_csv(
os.path.join(
"test_data", test_instrument, "swing_highs_lows_result_data.csv"
)
os.path.join(TEST_DATA_DIR, "swing_highs_lows_result_data.csv")
)
print("swing_highs_lows test time: ", time.time() - start_time)
pd.testing.assert_frame_equal(swing_highs_lows_data, swing_highs_lows_result_data, check_dtype=False)
Expand All @@ -54,7 +54,7 @@ def test_bos_choch(self):
swing_highs_lows_data = smc.swing_highs_lows(df, swing_length=5)
bos_choch_data = smc.bos_choch(df, swing_highs_lows_data)
bos_choch_result_data = pd.read_csv(
os.path.join("test_data", test_instrument, "bos_choch_result_data.csv")
os.path.join(TEST_DATA_DIR, "bos_choch_result_data.csv")
)
print("bos_choch test time: ", time.time() - start_time)
pd.testing.assert_frame_equal(
Expand All @@ -66,17 +66,32 @@ def test_ob(self):
swing_highs_lows_data = smc.swing_highs_lows(df, swing_length=5)
ob_data = smc.ob(df, swing_highs_lows_data)
ob_result_data = pd.read_csv(
os.path.join("test_data", test_instrument, "ob_result_data.csv")
os.path.join(TEST_DATA_DIR, "ob_result_data.csv")
)
print("ob test time: ", time.time() - start_time)
pd.testing.assert_frame_equal(ob_data, ob_result_data, check_dtype=False)

def test_ob_early_data(self):
"""Ensure early candles do not cause index errors in OB calculation."""
short_df = pd.DataFrame(
{
"open": [1.0, 1.1, 1.2],
"high": [1.05, 1.15, 1.25],
"low": [0.95, 1.05, 1.15],
"close": [1.02, 1.14, 1.24],
"volume": [5, 6, 7],
}
)
swing = smc.swing_highs_lows(short_df, swing_length=1)
ob_df = smc.ob(short_df, swing)
self.assertEqual(len(ob_df), len(short_df))

def test_liquidity(self):
start_time = time.time()
swing_highs_lows_data = smc.swing_highs_lows(df, swing_length=5)
liquidity_data = smc.liquidity(df, swing_highs_lows_data)
liquidity_result_data = pd.read_csv(
os.path.join("test_data", test_instrument, "liquidity_result_data.csv")
os.path.join(TEST_DATA_DIR, "liquidity_result_data.csv")
)
print("liquidity test time: ", time.time() - start_time)
pd.testing.assert_frame_equal(liquidity_data, liquidity_result_data, check_dtype=False)
Expand All @@ -86,9 +101,7 @@ def test_previous_high_low(self):
start_time = time.time()
previous_high_low_data = smc.previous_high_low(df, time_frame="4h")
previous_high_low_result_data = pd.read_csv(
os.path.join(
"test_data", test_instrument, "previous_high_low_result_data_4h.csv"
)
os.path.join(TEST_DATA_DIR, "previous_high_low_result_data_4h.csv")
)
print("previous_high_low test time: ", time.time() - start_time)
pd.testing.assert_frame_equal(previous_high_low_data, previous_high_low_result_data, check_dtype=False)
Expand All @@ -97,9 +110,7 @@ def test_previous_high_low(self):
start_time = time.time()
previous_high_low_data = smc.previous_high_low(df, time_frame="1D")
previous_high_low_result_data = pd.read_csv(
os.path.join(
"test_data", test_instrument, "previous_high_low_result_data_1D.csv"
)
os.path.join(TEST_DATA_DIR, "previous_high_low_result_data_1D.csv")
)
print("previous_high_low test time: ", time.time() - start_time)
pd.testing.assert_frame_equal(previous_high_low_data, previous_high_low_result_data, check_dtype=False)
Expand All @@ -108,9 +119,7 @@ def test_previous_high_low(self):
start_time = time.time()
previous_high_low_data = smc.previous_high_low(df, time_frame="W")
previous_high_low_result_data = pd.read_csv(
os.path.join(
"test_data", test_instrument, "previous_high_low_result_data_W.csv"
)
os.path.join(TEST_DATA_DIR, "previous_high_low_result_data_W.csv")
)
print("previous_high_low test time: ", time.time() - start_time)
pd.testing.assert_frame_equal(previous_high_low_data, previous_high_low_result_data, check_dtype=False)
Expand All @@ -119,7 +128,7 @@ def test_sessions(self):
start_time = time.time()
sessions = smc.sessions(df, session="London")
sessions_result_data = pd.read_csv(
os.path.join("test_data", test_instrument, "sessions_result_data.csv")
os.path.join(TEST_DATA_DIR, "sessions_result_data.csv")
)
print("sessions test time: ", time.time() - start_time)
pd.testing.assert_frame_equal(sessions, sessions_result_data, check_dtype=False)
Expand All @@ -129,7 +138,7 @@ def test_retracements(self):
swing_highs_lows_data = smc.swing_highs_lows(df, swing_length=5)
retracements = smc.retracements(df, swing_highs_lows_data)
retracements_result_data = pd.read_csv(
os.path.join("test_data", test_instrument, "retracements_result_data.csv")
os.path.join(TEST_DATA_DIR, "retracements_result_data.csv")
)
print("retracements test time: ", time.time() - start_time)
pd.testing.assert_frame_equal(retracements, retracements_result_data, check_dtype=False)
Expand Down