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BUG: #285 #271 changed benchmark to be constant, so it wouldn't ingest data at all, for now

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AvishaiW
2018-03-21 21:19:40 +02:00
parent 9d7a35658b
commit 9f0b3303f1
1 changed files with 18 additions and 5 deletions
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catalyst/finance/trading.py
+18 -5
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@@ -95,11 +95,24 @@ class TradingEnvironment(object):
if not trading_calendar:
trading_calendar = get_calendar("NYSE")
self.benchmark_returns, self.treasury_curves = load(
trading_calendar.day,
trading_calendar.schedule.index,
self.bm_symbol,
)
# todo: uncomment and add a well defined benchmark
# self.benchmark_returns, self.treasury_curves = load(
# trading_calendar.day,
# trading_calendar.schedule.index,
# self.bm_symbol,
# exchange=exchange,
# )
start_data = get_calendar('OPEN').first_trading_session
end_data = pd.Timestamp.utcnow()
treasure_cols = ['1month', '3month', '6month', '1year', '2year',
'3year', '5year', '7year', '10year', '20year', '30year']
self.benchmark_returns = pd.DataFrame(data=0.001,
index=pd.date_range(start_data, end_data),
columns=['close'])
self.treasury_curves = pd.DataFrame(data=0.001,
index=pd.date_range(start_data, end_data),
columns=treasure_cols)
self.exchange_tz = exchange_tz