wassname/catalyst
1
0
Fork 0
mirror of https://github.com/wassname/catalyst.git synced 2026-08-18 11:50:11 +08:00
Code Issues Packages Projects Releases Wiki Activity

Fixed an issue with minute bundles

Browse Source
This commit is contained in:
fredfortier
2017-10-18 20:30:24 -04:00
parent 874a4bb682
commit 2e46323a9e
3 changed files with 14 additions and 10 deletions
Download Patch File Download Diff File Expand all files Collapse all files
catalyst/exchange/exchange_bcolz.py
+11 -6
View File
@@ -41,12 +41,14 @@ class BcolzExchangeBarReader(BcolzMinuteBarReader):
def load_raw_arrays(self, fields, start_dt, end_dt, sids):
if self._data_frequency == 'minute':
return super(BcolzExchangeBarReader, self) \
.load_raw_arrays(fields, start_dt, end_dt, sids)
# if self._data_frequency == 'minute':
# return super(BcolzExchangeBarReader, self) \
# .load_raw_arrays(fields, start_dt, end_dt, sids)
#
# else:
# return self._load_daily_raw_arrays(fields, start_dt, end_dt, sids)
else:
return self._load_daily_raw_arrays(fields, start_dt, end_dt, sids)
return self._load_daily_raw_arrays(fields, start_dt, end_dt, sids)
def _load_daily_raw_arrays(self, fields, start_dt, end_dt, sids):
start_idx = self._find_position_of_minute(start_dt)
@@ -62,7 +64,10 @@ class BcolzExchangeBarReader(BcolzMinuteBarReader):
mask = None
data = []
for field in fields:
out = np.full(shape, np.nan)
if field != 'volume':
out = np.full(shape, np.nan)
else:
out = np.zeros(shape, dtype=np.float64)
for i, sid in enumerate(sids):
carray = self._open_minute_file(field, sid)
catalyst/exchange/exchange_bundle.py
-1
View File
@@ -319,7 +319,6 @@ class ExchangeBundle:
for index, field in enumerate(
['open', 'high', 'low', 'close', 'volume']):
ohlcv[field] = arrays[index].flatten()
ohlcv[field] = ohlcv[field][~np.isnan(ohlcv[field])]
df = pd.DataFrame(
data=ohlcv,