1 files changed, 21 insertions, 0 deletions
diff --git a/services/strategy-engine/strategies/indicators/volume.py b/services/strategy-engine/strategies/indicators/volume.py
new file mode 100644
index 0000000..323d427
--- /dev/null
+++ b/services/strategy-engine/strategies/indicators/volume.py
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+"""Volume indicators: Volume SMA, Volume Ratio, OBV."""
+import pandas as pd
+import numpy as np
+
+
+def volume_sma(volumes: pd.Series, period: int = 20) -> pd.Series:
+    """Simple moving average of volume."""
+    return volumes.rolling(window=period).mean()
+
+
+def volume_ratio(volumes: pd.Series, period: int = 20) -> pd.Series:
+    """Current volume as ratio of average volume. >1 = above average."""
+    avg = volume_sma(volumes, period)
+    return volumes / avg.replace(0, float("nan"))
+
+
+def obv(closes: pd.Series, volumes: pd.Series) -> pd.Series:
+    """On-Balance Volume."""
+    direction = np.sign(closes.diff())
+    direction.iloc[0] = 0
+    return (direction * volumes).cumsum()