importpandasaspdimportnumpyasnpimportmatplotlib.pyplotaspltimportwarningswarnings.filterwarningsfromtqz_data_parser.tqz_footPrint_dataimportTQZTimestampToolclassTQZBarFilter:@classmethoddefget_filter_bar_data:max_timestamp_daily,min_timestamp_daily=footPrint_data["timestamp"].max,footPrint_data["timestamp"].minbar_data_filter=bar_data[&]bar_data_filter.reset_indexdelbar_data_filter["index"]returnbar_data_filterclassTQZFeatureEngineering:@classmethoddeftrades_features_marker:"""addtradesfeatures.:paramprice_digital_points:pricedigitalpointcounts:parambar_data:whateverday:paramfootPrint_data:singleday:return:bar_dataofsingledaywithtradesfeatures."""bar_data_filter=TQZBarFilter.get_filter_bar_datafootPrint_data["ab_size"]=footPrint_data["ask_size"]+footPrint_data["bid_size"]fortimestampinsorted)):footPrint_data_filter=footPrint_data[footPrint_data["timestamp"]==timestamp]#pocpoc=footPrint_data_filter.loc[footPrint_data_filter["ab_size"]==footPrint_data_filter["ab_size"].max,"price"].meanpoc_size=footPrint_data_filter.loc[footPrint_data_filter["ab_size"]==footPrint_data_filter["ab_size"].max,"ab_size"].meanbar_data_filter.loc[bar_data_filter["datetime"]==timestamp,"poc"]=poc#bigtradesratiobig_trades=footPrint_data_filter.loc[footPrint_data_filter["ab_size"]>+3*footPrint_data_filter["ab_size"].std),"ab_size"].sumbar_data_filter.loc[bar_data_filter["datetime"]==timestamp,"big_trades_ratio"]=big_trades/footPrint_data_filter["ab_size"].sum#poc_weightpoc_weight_df=footPrint_data_filter.loc[footPrint_data_filter["ab_size"]>+3*footPrint_data_filter["ab_size"].std),["price","ab_size"]]poc_weight=round.sum/poc_weight_df["ab_size"].sum,price_digital_points)bar_data_filter.loc[bar_data_filter["datetime"]==timestamp,"poc_weight"]=poc_weight#poc_upper_size-poc_lower_size:f=poc_upper_size-poc_lower_size;f↗long_market↗poc_upper_size=footPrint_data_filter[footPrint_data_filter["price"]>poc]["ab_size"].sumpoc_lower_size=footPrint_data_filter[footPrint_data_filter["price"]
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