PyAlgoTrade has inbuilt technicals and supports TA-Lib integration. Unfortunately, none of them include pivot points (PP).

This extension addresses that.

This is a working repo of the PP:

• main.py is just to execute the dummy strategy that instantiates the PP
• strategies/PivotPoints.py is the dummy strategy called from main. It is meant to show how PP are called and the data structures. The PP themselves aren't used in the strategy.
• data/forex/EURUSD1_small_2.csv. Self explanatory.
• technicals/pivotpoints. This is the file which should be put together with the other PyAlgoTrade technicals, so an import would look like:

from pyalgotrade.technical import vwap, pivotpoints.

There are 2 ways that the PP can be instantiated, and they differ in the way the data is returned and the underlying library process. Nothing else. Both were left here for reference but you should only use one method.

# Method 1    
self._pp = pivotpoints.PivotPointsSequenceBased(feed[instrument], vwapWindowSize, 1, pivotpoints.PivotPointsPeriod.daily)
        
# Method 2
self._pp_e = pivotpoints.PivotPointsEventBased(feed[instrument], vwapWindowSize, 1, pivotpoints.PivotPointsPeriod.daily)

See the strategy example for more info.

Whilst I disagree with the non-Pythonic naming convension that the author of the library adopted, I continued on with the same convension for clarity.