def calc_flow(df1):
amount = df1['amount']
volume = df1['volume']
price = df1['close']
price_diff = price.diff(1)
abs_price_diff = np.abs(price_diff)
in_out = (price_diff / abs_price_diff).fillna(0)
amount_inout = (price * volume * in_out * 100).values
total_amount = np.sum(amount)
flow = np.sum(amount_inout) / total_amount
return flow
import numpy as np
import pandas as pd
data = [[100,100, 2.3],
[98,100, 2.3],
[100,100, 2.4],
[100,99, 2.1],
[100,100, 2.6],
[100,100, 2.2],
[100,100, 2.1],]
df = pd.DataFrame(data,columns=['amount', 'volume', 'close'],dtype=float)
df['diff_close'] = df['close'].diff(1)
df['in_out'] = (df['diff_close'] / np.abs(df['diff_close'])).fillna(0)
df['amount_inout'] = df['close'] * df['volume'] * df['in_out']
df['amount_inout_md'] = pd.DataFrame(df['amount_inout'].rolling(2, min_periods = 1).mean())
df['amount_md'] = pd.DataFrame(df['amount'].rolling(2, min_periods = 1).mean())
df['wei'] = df['amount_inout_md'] / df['amount_md']
print(df)
