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Atr

ATR

Bases: IndicatorBase

Average True Range (ATR) indicator.

Computes the ATR using Wilder's smoothing method. One scalar value is produced per incoming bar and stored per symbol.

The rolling state is maintained independently for each symbol. Until enough bars are received to compute the initial average, the indicator yields numpy.nan.

name property

Canonical indicator name.

Returns:

Type Description
str

Stable identifier encoding all configuration parameters.
Source code in src/onesecondtrader/indicators/wilders/atr.py 
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def name(self) -> str:
    """
    Canonical indicator name.

    Returns:
        Stable identifier encoding all configuration parameters.
    """
    return f"ATR_{self.period}"

__init__(period=14, max_history=100, plot_at=1, plot_as=models.PlotStyle.LINE, plot_color=models.PlotColor.BLACK)

Parameters:

Name Type Description Default
period int

Lookback period for the ATR calculation.

 14
max_history int

Maximum number of computed indicator values retained per symbol.

 100
plot_at int

Opaque plotting identifier forwarded to the charting backend.

 1
plot_as PlotStyle

Visual style used to render the indicator.

 LINE
plot_color PlotColor

Color used to render the indicator.

 BLACK
Source code in src/onesecondtrader/indicators/wilders/atr.py 
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def __init__(
    self,
    period: int = 14,
    max_history: int = 100,
    plot_at: int = 1,
    plot_as: models.PlotStyle = models.PlotStyle.LINE,
    plot_color: models.PlotColor = models.PlotColor.BLACK,
) -> None:
    """
    Parameters:
        period:
            Lookback period for the ATR calculation.
        max_history:
            Maximum number of computed indicator values retained per symbol.
        plot_at:
            Opaque plotting identifier forwarded to the charting backend.
        plot_as:
            Visual style used to render the indicator.
        plot_color:
            Color used to render the indicator.
    """
    super().__init__(
        max_history=max_history,
        plot_at=plot_at,
        plot_as=plot_as,
        plot_color=plot_color,
    )

    self.period: int = max(1, int(period))

    self._prev_close: dict[str, float] = {}
    self._count: dict[str, int] = {}
    self._tr_buffer: dict[str, collections.deque[float]] = {}
    self._atr_value: dict[str, float] = {}

_compute_indicator(incoming_bar)

Compute the ATR value for a single received bar.

Parameters:

Name Type Description Default
incoming_bar BarReceived

Market bar used as input for the computation.

 required

Returns:

Type Description
float

ATR value, or numpy.nan if not enough data is available.
Source code in src/onesecondtrader/indicators/wilders/atr.py 
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def _compute_indicator(self, incoming_bar: events.market.BarReceived) -> float:
    """
    Compute the ATR value for a single received bar.

    Parameters:
        incoming_bar:
            Market bar used as input for the computation.

    Returns:
        ATR value, or `numpy.nan` if not enough data is available.
    """
    symbol = incoming_bar.symbol
    high = incoming_bar.high
    low = incoming_bar.low
    close = incoming_bar.close

    if symbol not in self._prev_close:
        self._prev_close[symbol] = close
        self._count[symbol] = 0
        self._tr_buffer[symbol] = collections.deque()
        self._atr_value[symbol] = 0.0
        return np.nan

    tr = _true_range(high, low, self._prev_close[symbol])
    self._prev_close[symbol] = close

    self._count[symbol] += 1
    count = self._count[symbol]

    if count < self.period:
        self._tr_buffer[symbol].append(tr)
        return np.nan

    if count == self.period:
        self._tr_buffer[symbol].append(tr)
        self._atr_value[symbol] = sum(self._tr_buffer[symbol]) / self.period
        self._tr_buffer[symbol].clear()
        return self._atr_value[symbol]

    self._atr_value[symbol] = (
        self._atr_value[symbol] * (self.period - 1) + tr
    ) / self.period
    return self._atr_value[symbol]

_true_range(high, low, prev_close)

Source code in src/onesecondtrader/indicators/wilders/atr.py 
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def _true_range(high: float, low: float, prev_close: float) -> float:
    return max(high - low, abs(high - prev_close), abs(low - prev_close))