main.py

from numpy import (
    average,
)
from pipeline_live.engine import LivePipelineEngine
from pipeline_live.data.sources.iex import list_symbols
from pipeline_live.data.iex.pricing import USEquityPricing
from zipline.pipeline.factors import CustomFactor
from zipline.pipeline import Pipeline
from zipline.utils.numpy_utils import rolling_window
from zipline.pipeline.factors.basic import exponential_weights


class MACDHist(CustomFactor):
    inputs = (USEquityPricing.close,)
    params = ('fast_period', 'slow_period', 'signal_period')

    def __new__(cls,
                fast_period=12,
                slow_period=26,
                signal_period=9,
                *args,
                **kwargs):

        if slow_period <= fast_period:
            raise ValueError(
                "'slow_period' must be greater than 'fast_period', but got\n"
                "slow_period={slow}, fast_period={fast}".format(
                    slow=slow_period,
                    fast=fast_period,
                )
            )

        return super(MACDHist, cls).__new__(
            cls,
            fast_period=fast_period,
            slow_period=slow_period,
            signal_period=signal_period,
            window_length=slow_period + signal_period - 1,
            *args, **kwargs
        )

    def _ewma(self, data, length):
        decay_rate = 1.0 - (2.0 / (1.0 + length))
        return average(
            data,
            axis=1,
            weights=exponential_weights(length, decay_rate)
        )

    def compute(self, today, assets, out, close, fast_period, slow_period,
                signal_period):
        slow_EWMA = self._ewma(
            rolling_window(close, slow_period),
            slow_period
        )
        fast_EWMA = self._ewma(
            rolling_window(close, fast_period)[-signal_period:],
            fast_period
        )
        macd = fast_EWMA - slow_EWMA
        signal = self._ewma(macd.T, signal_period)
        out[:] = macd[-1, :] - signal

macdhist = MACDHist()
pipe = Pipeline({'macdsignal': macdhist}, screen=macdhist > 0)
eng = LivePipelineEngine(list_symbols)
df = eng.run_pipeline(pipe)
print(df)

Pipefile

[[source]]
url = "https://pypi.org/simple"
verify_ssl = true
name = "pypi"

[packages]
pipeline-live = ""
ipython = "*"
ta-lib = "*"

[dev-packages]
pytest = "*"
pytest-cov = "*"

[requires]
python_version = "3.6"