Timeframe auto-sampling

Timeframe auto-sampling is a special feature intended for indicators working with OHLCV input. By default, indicators add a new output value for each input one. With timeframe auto-sampling it is possible to "merge" several values received within selected timeframe and keep only the last one in given timeframe. This feature suits well e.g. real-time applications which receive new inputs tens or hundreds times a second but the indicators need to be built on sampled timeframe (secondly, minutely, ...).

Supported timeframes are available in SamplingPeriodType enum and include values such as

• 1 second
• 3 seconds
• 5 seconds
• 30 seconds
• 1 minute
• ...

To enable auto-sampling, setup input_sampling attribute when initializing an indicator:

from datetime import datetime
from talipp.indicators import OBV
from talipp.input import SamplingPeriodType
from talipp.ohlcv import OHLCV

# choose auto-sampling by 15 seconds
obv = OBV(input_sampling=SamplingPeriodType.SEC_15)

dt = datetime(2024, 1, 1, 0, 0, 0)
ohlcv = OHLCV(1, 1, 1, 1, 1, dt)

# time 00:00:00
obv.add(ohlcv)
print(len(obv)) # 1

# time 00:00:13
ohlcv.time = dt.replace(second=13)
obv.add(ohlcv) # still within the same timeframe => no new value added, the last one updated
print(len(obv)) # 1

# time 00:00:17
ohlcv.time = dt.replace(second=17)
obv.add(ohlcv) # next period entered => new value added
print(len(obv)) # 2

# time 00:00:25
ohlcv.time = dt.replace(second=25)
obv.add(ohlcv) # still within the same timeframe => no new value added, the last one updated
print(len(obv)) # 2