contango.stream.indicators.calculations.average_true_range

contango.stream.indicators.calculations.average_true_range

AverageTrueRange

AverageTrueRange(pd: days = 14)

Bases: Indicator[float | None]

The average true range (volatility measure).

Initializes AverageTrueRange.

Parameters:

Name	Type	Description	Default
pd	days	Lookback period used to smooth the True Range.	14

Source code in src\contango\stream\indicators\calculations\average_true_range.py

def __init__(self, pd: days = 14) -> None:
    """
    Initializes `AverageTrueRange`.

    Args:
        pd: Lookback period used to smooth the True Range.
    """
    self._true_range = TrueRange()
    self._average = WilderHelper(pd)
    self._period = pd
    self._value: float | None = None

value property

value: float | None

Returns the latest value for the ATR.

update

update(event: MarketDataEvent) -> float | None

Updates the ATR for each bar.

Parameters:

Name	Type	Description	Default
event	MarketDataEvent	The underlying event to update the ATR with.	required

Returns:

Type	Description
float | None	The current ATR. Returns None until enough bars have been
float | None	observed to initialize the Wilder average.

Source code in src\contango\stream\indicators\calculations\average_true_range.py

def update(self, event: MarketDataEvent) -> float | None:
    """
    Updates the ATR for each bar.

    Args:
        event: The underlying event to update the ATR with.

    Returns:
        The current ATR. Returns None until enough bars have been
        observed to initialize the Wilder average.
    """
    tr = self._true_range.update(event)
    if tr is None:
        return None

    self._value = self._average.update(tr)
    return self._value