tensortrade.stochastic.processes.fbm module

tensortrade.stochastic.processes.fbm.fbm(base_price: int = 1, base_volume: int = 1, start_date: str = '2010-01-01', start_date_format: str = '%Y-%m-%d', times_to_generate: int = 1000, hurst: float = 0.61, time_frame: str = '1h') → pandas.core.frame.DataFrame[source]

Generates price data from the FBM process.

Parameters

  • base_price (int, default 1) – The base price to use for price generation.

  • base_volume (int, default 1) – The base volume to use for volume generation.

  • start_date (str, default '2010-01-01') – The start date of the generated data

  • start_date_format (str, default '%Y-%m-%d') – The format for the start date of the generated data.

  • times_to_generate (int, default 1000) – The number of bars to make.

  • hurst (float, default 0.61) – The hurst parameter for the FBM process.

  • time_frame (str, default '1h') – The time frame.

Returns

pd.DataFrame – The generated data frame containing the OHLCV bars.

References

[1] https://en.wikipedia.org/wiki/Fractional_Brownian_motion