Build ta-lib from source if the library is not found

.gitignore

@@ -1,6 +1,9 @@
 *.pyc
-build
+build/
+dist/
 *.so
-.*
 *~
-
+*.sw[op]
+.cache/
+*.o
+*.egg-info/

.travis.yml

@@ -0,0 +1,14 @@
+---
+
+language: python
+python:
+- 2.7
+
+cache: pip
+
+install:
+- pip install wheel
+- pip install -r dev-requirements.txt
+
+script:
+- python setup.py test

MANIFEST.in

@@ -0,0 +1,11 @@
+include README.md
+include AUTHORS
+include CHANGELOG
+include COPYRIGHT
+include DEVELOPMENT
+include LICENSE
+include requirements.txt
+recursive-include vendor *
+recursive-include talib *.py *.pyx *.pxi *.pxd *.c
+global-exclude *.o *.so *.pyc
+prune .git

dev-requirements.txt

@@ -0,0 +1,4 @@
+Cython==0.24.1
+numpy
+pandas
+pytest

requirements.txt

@@ -0,0 +1 @@
+numpy

setup.py

@@ -1,10 +1,32 @@
 #!/usr/bin/env python
 
 import sys
+import glob
 import os
 import warnings
 
 from distutils.dist import Distribution
+from setuptools.command.test import test as TestCommand
+
+
+class PyTest(TestCommand):
+    user_options = [('pytest-args=', 'a', "Arguments to pass to py.test")]
+
+    def initialize_options(self):
+        TestCommand.initialize_options(self)
+        self.pytest_args = ['tests']
+
+    def finalize_options(self):
+        TestCommand.finalize_options(self)
+        self.test_args = []
+        self.test_suite = True
+
+    def run_tests(self):
+        # import here, cause outside the eggs aren't loaded
+        import pytest
+        errno = pytest.main(self.pytest_args)
+        sys.exit(errno)
+
 
 display_option_names = Distribution.display_option_names + ['help', 'help-commands']
 query_only = any('--' + opt in sys.argv for opt in display_option_names) or len(sys.argv) < 2 or sys.argv[1] == 'egg_info'
@@ -20,8 +42,10 @@
 
 from distutils.extension import Extension
 
-lib_talib_name = 'ta_lib'  # the underlying C library's name
 
+lib_talib_name = 'ta_lib'  # the underlying C library's name
+sources = []
+libraries = []
 platform_supported = False
 for prefix in ['darwin', 'linux', 'bsd', 'sunos']:
     if prefix in sys.platform:
@@ -73,33 +97,78 @@
             break
     except OSError:
         pass
+    libraries = [lib_talib_name]
 else:
-    warnings.warn('Cannot find ta-lib library, installation may fail.')
+    warnings.warn(
+        "Cannot find ta-lib library, Try to build from source. "
+        "Installation may fail."
+    )
+    # find vendor/ta-lib -name "*.h" -exec dirname {} \; | sort | uniq
+    vendor_dir = os.path.join(
+        os.path.dirname(os.path.abspath(__file__)),
+        "vendor",
+    )
+    vendor_include_dir = os.path.join(
+        vendor_dir,
+        "include",
+    )
+    vendor_talib_dir = os.path.join(
+        vendor_dir,
+        "ta-lib",
+    )
+    talib_include_dirs = [
+        ("include", ),
+        ("src", "ta_abstract"),
+        ("src", "ta_abstract", "frames"),
+        ("src", "ta_common"),
+        ("src", "ta_func"),
+    ]
+    include_dirs.append(os.path.join(vendor_include_dir))
+    include_dirs.extend((
+        os.path.join(vendor_talib_dir, *path_args)
+        for path_args in talib_include_dirs
+    ))
 
-cmdclass = {}
+    talib_source_dirs = [
+        ("ta_abstract", ),
+        ("ta_abstract", "frames"),
+        ("ta_abstract", "tables"),
+        ("ta_common", ),
+        ("ta_func", )
+    ]
+    for path_args in talib_source_dirs:
+        source_dir = os.path.join(vendor_talib_dir, "src", *path_args)
+        sources.extend(glob.glob(os.path.join(source_dir, "*.c")))
+    sources.remove(
+        os.path.join(vendor_talib_dir, "src", "ta_abstract", "excel_glue.c")
+    )
+    libraries = []
+    lib_talib_dirs = []
+
+cmdclass = {"test": PyTest}
 if has_cython:
     cmdclass['build_ext'] = build_ext
 
-ext_modules = []
-for name in ['common', 'func', 'abstract', 'stream']:
-    ext = Extension(
-        'talib.%s' % name,
-        [('talib/%s.pyx' if has_cython else 'talib/%s.c') % name],
-        include_dirs = include_dirs,
-        library_dirs = lib_talib_dirs,
-        libraries = [lib_talib_name]
+ext_modules = [
+    Extension(
+        'talib.c_ta_lib',
+        ["talib/c_ta_lib.pyx" if has_cython else "talib/c_ta_lib.c"] + sources,
+        include_dirs=include_dirs,
+        library_dirs=lib_talib_dirs,
+        libraries=libraries
     )
-    ext_modules.append(ext)
+]
+
 
 setup(
-    name = 'TA-Lib',
-    version = '0.4.10',
-    description = 'Python wrapper for TA-Lib',
-    author = 'John Benediktsson',
-    author_email = '[email protected]',
-    url = 'http://github.com/mrjbq7/ta-lib',
-    download_url = 'https://github.com/mrjbq7/ta-lib/releases',
-    classifiers = [
+    name='TA-Lib',
+    version='0.4.10',
+    description='Python wrapper for TA-Lib',
+    author='John Benediktsson',
+    author_email='[email protected]',
+    url='http://github.com/mrjbq7/ta-lib',
+    download_url='https://github.com/mrjbq7/ta-lib/releases',
+    classifiers=[
         "License :: OSI Approved :: BSD License",
         "Development Status :: 4 - Beta",
         "Operating System :: Unix",
@@ -116,8 +185,9 @@
         "Intended Audience :: Science/Research",
         "Intended Audience :: Financial and Insurance Industry",
     ],
-    packages = ['talib'],
-    ext_modules = ext_modules,
-    cmdclass = cmdclass,
-    requires = ['numpy'],
+    packages=['talib'],
+    ext_modules=ext_modules,
+    cmdclass=cmdclass,
+    requires=['numpy'],
+    tests_require=["pytest"],
 )

talib/__init__.py

@@ -1,12 +1,14 @@
 
 import atexit
 
-from . import common
+from .c_ta_lib import (
+    _ta_initialize, _ta_shutdown, MA_Type, __ta_version__,
+    _ta_set_unstable_period as set_unstable_period,
+    _ta_get_unstable_period as get_unstable_period,
+    __TA_FUNCTION_NAMES__
+)
+from func import *
 from . import abstract
-from .common import MA_Type, __ta_version__
-from .common import _ta_set_unstable_period as set_unstable_period
-from .common import _ta_get_unstable_period as get_unstable_period
-from .func import *
 
 __version__ = '0.4.10'
 
@@ -17,8 +19,8 @@
 # functions are called. Finally, when the python process exits, we shutdown
 # the underlying TA-Lib.
 
-common._ta_initialize()
-atexit.register(common._ta_shutdown)
+_ta_initialize()
+atexit.register(_ta_shutdown)
 
 __function_groups__ = {
     'Cycle Indicators': [

talib/abstract.pyx → talib/_abstract.pxi

@@ -2,9 +2,6 @@
 This file Copyright (c) 2013 Brian A Cappello <briancappello at gmail>
 '''
 import math
-
-from . import func as func_c
-from .common import _ta_check_success, MA_Type
 try:
     from collections import OrderedDict
 except ImportError: # handle python 2.6 and earlier
@@ -14,11 +11,9 @@ import numpy
 import sys
 
 cimport numpy as np
-cimport libta_lib as lib
-
-lib.TA_Initialize()
+cimport c_ta_lib as lib
+# NOTE: _ta_check_success, MA_Type is defined in _common.pxi
 
-__FUNCTION_NAMES = set(func_c.__all__)
 
 __INPUT_ARRAYS_DEFAULTS = {'open':   None,
                            'high':   None,
@@ -90,11 +85,9 @@ class Function(object):
     - FunctionInstance([input_arrays,] [param_args_andor_kwargs]) # calls set_function_args and returns self.outputs
     """
 
-    def __init__(self, function_name, *args, **kwargs):
+    def __init__(self, function_name, func_object, *args, **kwargs):
         # make sure the function_name is valid and define all of our variables
         self.__name = function_name.upper()
-        if self.__name not in __FUNCTION_NAMES:
-            raise Exception('%s not supported by TA-LIB.' % self.__name)
         self.__namestr = self.__name
         self.__name = str2bytes(self.__name)
         self.__info = None
@@ -109,6 +102,7 @@ class Function(object):
         # finish initializing: query the TALIB abstract interface and set arguments
         self.__initialize_function_info()
         self.set_function_args(*args, **kwargs)
+        self.func_object = func_object
 
     def __initialize_function_info(self):
         # function info
@@ -386,7 +380,7 @@ class Function(object):
             args.append(value)
 
         # Use the func module to actually call the function.
-        results = func_c.__getattribute__(self.__namestr)(*args)
+        results = self.func_object(*args)
         if isinstance(results, np.ndarray):
             keys = self.__outputs.keys()
             if not isinstance(keys, list):
@@ -682,10 +676,3 @@ cdef int __ta_getLookback(lib.TA_ParamHolder *holder):
     retCode = lib.TA_GetLookback(holder, &lookback)
     _ta_check_success('TA_GetLookback', retCode)
     return lookback
-
-# Configure all the available TA-Lib functions to be exported as
-# an abstract function wrapper for convenient import.
-for name in __FUNCTION_NAMES:
-    exec "%s = Function('%s')" % (name, name)
-
-__all__ = ['Function'] + list(__FUNCTION_NAMES)

talib/common.pyx → talib/_common.pxi

@@ -1,9 +1,11 @@
+cimport c_ta_lib as lib
+from numpy import nan
+from c_ta_lib cimport TA_RetCode, TA_FuncUnstId
 
-cimport libta_lib as lib
-from libta_lib cimport TA_RetCode, TA_FuncUnstId
-
+cdef double NaN = nan
 __ta_version__ = lib.TA_GetVersionString()
 
+
 cpdef _ta_check_success(str function_name, TA_RetCode ret_code):
     if ret_code == lib.TA_SUCCESS:
         return True

talib/func.pyx → talib/_func.pxi

@@ -1,23 +1,9 @@
 cimport numpy as np
-from numpy import nan
 from cython import boundscheck, wraparound
+cimport c_ta_lib as lib
+from c_ta_lib cimport TA_RetCode
+# NOTE: _ta_check_success, NaN is defined in _common.pxi
 
-from .common cimport _ta_check_success
-
-cdef double NaN = nan
-
-cdef extern from "numpy/arrayobject.h":
-    int PyArray_TYPE(np.ndarray)
-    object PyArray_EMPTY(int, np.npy_intp*, int, int)
-    int PyArray_FLAGS(np.ndarray)
-    object PyArray_GETCONTIGUOUS(np.ndarray)
-
-np.import_array() # Initialize the NumPy C API
-
-cimport libta_lib as lib
-from libta_lib cimport TA_RetCode
-
-lib.TA_Initialize()
 
 @wraparound(False)  # turn off relative indexing from end of lists
 @boundscheck(False) # turn off bounds-checking for entire function
@@ -11242,5 +11228,3 @@ def WMA( np.ndarray real not None , int timeperiod=-2**31 ):
     retCode = lib.TA_WMA( 0 , endidx , <double *>(real_data+begidx) , timeperiod , &outbegidx , &outnbelement , <double *>(outreal_data+lookback) )
     _ta_check_success("TA_WMA", retCode)
     return outreal 
-
-__all__ = ["ACOS","AD","ADD","ADOSC","ADX","ADXR","APO","AROON","AROONOSC","ASIN","ATAN","ATR","AVGPRICE","BBANDS","BETA","BOP","CCI","CDL2CROWS","CDL3BLACKCROWS","CDL3INSIDE","CDL3LINESTRIKE","CDL3OUTSIDE","CDL3STARSINSOUTH","CDL3WHITESOLDIERS","CDLABANDONEDBABY","CDLADVANCEBLOCK","CDLBELTHOLD","CDLBREAKAWAY","CDLCLOSINGMARUBOZU","CDLCONCEALBABYSWALL","CDLCOUNTERATTACK","CDLDARKCLOUDCOVER","CDLDOJI","CDLDOJISTAR","CDLDRAGONFLYDOJI","CDLENGULFING","CDLEVENINGDOJISTAR","CDLEVENINGSTAR","CDLGAPSIDESIDEWHITE","CDLGRAVESTONEDOJI","CDLHAMMER","CDLHANGINGMAN","CDLHARAMI","CDLHARAMICROSS","CDLHIGHWAVE","CDLHIKKAKE","CDLHIKKAKEMOD","CDLHOMINGPIGEON","CDLIDENTICAL3CROWS","CDLINNECK","CDLINVERTEDHAMMER","CDLKICKING","CDLKICKINGBYLENGTH","CDLLADDERBOTTOM","CDLLONGLEGGEDDOJI","CDLLONGLINE","CDLMARUBOZU","CDLMATCHINGLOW","CDLMATHOLD","CDLMORNINGDOJISTAR","CDLMORNINGSTAR","CDLONNECK","CDLPIERCING","CDLRICKSHAWMAN","CDLRISEFALL3METHODS","CDLSEPARATINGLINES","CDLSHOOTINGSTAR","CDLSHORTLINE","CDLSPINNINGTOP","CDLSTALLEDPATTERN","CDLSTICKSANDWICH","CDLTAKURI","CDLTASUKIGAP","CDLTHRUSTING","CDLTRISTAR","CDLUNIQUE3RIVER","CDLUPSIDEGAP2CROWS","CDLXSIDEGAP3METHODS","CEIL","CMO","CORREL","COS","COSH","DEMA","DIV","DX","EMA","EXP","FLOOR","HT_DCPERIOD","HT_DCPHASE","HT_PHASOR","HT_SINE","HT_TRENDLINE","HT_TRENDMODE","KAMA","LINEARREG","LINEARREG_ANGLE","LINEARREG_INTERCEPT","LINEARREG_SLOPE","LN","LOG10","MA","MACD","MACDEXT","MACDFIX","MAMA","MAVP","MAX","MAXINDEX","MEDPRICE","MFI","MIDPOINT","MIDPRICE","MIN","MININDEX","MINMAX","MINMAXINDEX","MINUS_DI","MINUS_DM","MOM","MULT","NATR","OBV","PLUS_DI","PLUS_DM","PPO","ROC","ROCP","ROCR","ROCR100","RSI","SAR","SAREXT","SIN","SINH","SMA","SQRT","STDDEV","STOCH","STOCHF","STOCHRSI","SUB","SUM","T3","TAN","TANH","TEMA","TRANGE","TRIMA","TRIX","TSF","TYPPRICE","ULTOSC","VAR","WCLPRICE","WILLR","WMA"]