contango.stream.indicators.calculations.true_range

contango.stream.indicators.calculations.true_range

TrueRange

TrueRange()

Bases: Indicator[float | None]

The volatility during a single trading period.

Initializes TrueRange.

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

def __init__(self) -> None:
    """
    Initializes `TrueRange`.
    """
    self._previous_close: USD | None = None
    self._value: float | None = None

value property

value: float | None

Returns the latest value for the true range.

update

update(event: MarketDataEvent) -> float | None

Updates the state of the true range for every bar.

Parameters:

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

Returns:

Name	Type	Description
float	float | None	The true range for the bar.

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

def update(self, event: MarketDataEvent) -> float | None:
    """
    Updates the state of the true range for every bar.

    Args:
        event: The underlying event to update the true range with.

    Returns:
        float: The true range for the bar.
    """
    if self._previous_close is None:
        tr = event.high - event.low
    else:
        tr = max(
            event.high - event.low,
            abs(event.high - self._previous_close),
            abs(event.low - self._previous_close),
        )

    self._previous_close = event.close
    self._value = tr

    return tr