Fix input modifier for sub indicators

docs/indicator-chaining.md

@@ -37,6 +37,8 @@ print(smoothed_rsi)
 
 There is no limit to the number of chained indicators, one can create a computation pipeline from as many indicators as needed.
 
+## Input modifiers
+
 Chaining of indicators assumes that output and input types of chained indicators match. In case they do not, talipp provides an option to specify a conversion function which will be applied to the output value before it is fed to the next indicator. The function is specified in indicator's `__init__` method via `input_modifier` attribute.
 
 To illustrate usage of input modifiers, imagine we want to create a new indicator based on [Bollinger Bands][talipp.indicators.BB.BB] which will calculate [EMA][talipp.indicators.EMA.EMA] of the upper band. With standard libraries you would first calculate `Bolliger Bands`, then extract the upper band and finally feed it to `EMA`. With indicator chaining we can do better (besides it gives much more efficient solution). The only issue is that while `EMA` expects `floats` as the input, `Bollinger Bands` produce [BBVal][talipp.indicators.BB.BBVal]. Input modifiers for the rescue.

docs/overrides/main.html

@@ -1,9 +1,5 @@
 {% extends "base.html" %}
 
-{% block announce %}
-The documentation is currently in its beta and any feedback is welcome. To provide it please use <a href="https://github.com/nardew/talipp/issues/new">GitHub issues</a>.
-{% endblock %}
-
 {% block outdated %}
   You're not viewing the latest version.
   <a href="{{ '../' ~ base_url }}">

docs/timeframe-sampling.md

@@ -44,3 +44,21 @@ 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
 ```
+
+!!! tip
+
+    If you want to apply auto-sampling to an indicator which accepts `float` input, e.g. [MACD][talipp.indicators.MACD] indicator, then wrap each input value in a "dummy" [OHLCV][talipp.ohlcv.OHLCV] object, populate its `close` and `time` components and finally provide [input modifier](indicator-chaining.md#input-modifiers) to extract the value
+
+    !!! example
+
+        ```python
+        from datetime import datetime
+        from talipp.indicators import MACD
+        from talipp.input import SamplingPeriodType
+        from talipp.ohlcv import OHLCV
+
+        input_floats = [1.0, 2.0, ...]
+        dt = datetime(2024, 1, 1, 0, 0, 0)
+        input_ohlcv = [OHLCV(None, None, None, value, None, dt) for value in input_floats]
+        macd = MACD(input_values=input_ohlcv, input_modifier=lambda x: x.close, input_sampling=SamplingPeriodType.SEC_15)
+        ```

mkdocs.yml

@@ -32,7 +32,7 @@ theme:
         icon: material/weather-night
         name: Switch to system preference
   features:
-    - announce.dismiss
+#    - announce.dismiss
     - search.suggest
     - search.highlight
     - search.share

talipp/indicators/BB.py

@@ -53,8 +53,8 @@ def __init__(self, period: int,
         self.period = period
         self.std_dev_mult = std_dev_mult
 
-        self.central_band = MAFactory.get_ma(ma_type, period, input_modifier=input_modifier)
-        self.std_dev = StdDev(self.period, input_modifier=input_modifier)
+        self.central_band = MAFactory.get_ma(ma_type, period)
+        self.std_dev = StdDev(self.period)
 
         self.add_sub_indicator(self.central_band)
         self.add_sub_indicator(self.std_dev)

talipp/indicators/Indicator.py

@@ -101,29 +101,30 @@ def add(self, value: Any) -> None:
                 and self.input_sampler.is_same_period(value, self.input_values[-1])):
             self.update(value)
         else:
-            for sub_indicator in self.sub_indicators:
-                sub_indicator.add(value)
-
             if not isinstance(value, list):
                 value = [value]
 
             for input_value in value:
                 if input_value is not None and self.input_modifier is not None:
                     input_value = self.input_modifier(input_value)
+
+                for sub_indicator in self.sub_indicators:
+                    sub_indicator.add(input_value)
+
                 self.input_values.append(input_value)
 
                 if input_value is not None:
-                    new_value = self._calculate_new_value()
+                    new_output_value = self._calculate_new_value()
                 else:
-                    new_value = None
+                    new_output_value = None
 
-                if new_value is None and len(self.output_values) > 0:
-                    new_value = self.output_values[-1]
+                if new_output_value is None and len(self.output_values) > 0:
+                    new_output_value = self.output_values[-1]
 
-                self._add_to_output_values(new_value)
+                self._add_to_output_values(new_output_value)
 
                 for listener in self.output_listeners:
-                    listener.add(new_value)
+                    listener.add(new_output_value)
 
     def update_input_value(self, value: Any) -> None:
         """**Deprecated.** Use [update][talipp.indicators.Indicator.Indicator.update] method instead.

test/test_indicator_chaining.py

@@ -1,7 +1,8 @@
 import unittest
 
 from TalippTest import TalippTest
-from talipp.indicators import SMA
+from talipp.indicators import SMA, MACD
+from talipp.ohlcv import OHLCV
 
 
 class Test(TalippTest):
@@ -109,6 +110,24 @@ def test_purge_oldest(self):
         self.assertSequenceEqual([], sma3)
         self.assertSequenceEqual([], sma4)
 
+    def test_composite_sub_indicator(self):
+        ohlcv_input = list(TalippTest.OHLCV_TMPL)
+        ind = MACD(12, 26, 9, ohlcv_input, input_modifier=lambda x: x.close)
+
+        print(ind)
+
+        self.assertAlmostEqual(ind[-3].macd, 0.293541, places=5)
+        self.assertAlmostEqual(ind[-3].signal, 0.098639, places=5)
+        self.assertAlmostEqual(ind[-3].histogram, 0.194901, places=5)
+
+        self.assertAlmostEqual(ind[-2].macd, 0.326186, places=5)
+        self.assertAlmostEqual(ind[-2].signal, 0.144149, places=5)
+        self.assertAlmostEqual(ind[-2].histogram, 0.182037, places=5)
+
+        self.assertAlmostEqual(ind[-1].macd, 0.329698, places=5)
+        self.assertAlmostEqual(ind[-1].signal, 0.181259, places=5)
+        self.assertAlmostEqual(ind[-1].histogram, 0.148439, places=5)
+
 
 if __name__ == '__main__':
     unittest.main()