From 9f0b3303f16a7cbf1df40d3536229e981332d261 Mon Sep 17 00:00:00 2001 From: AvishaiW Date: Wed, 21 Mar 2018 21:19:40 +0200 Subject: [PATCH] BUG: #285 #271 changed benchmark to be constant, so it wouldn't ingest data at all, for now --- catalyst/finance/trading.py | 23 ++++++++++++++++++----- 1 file changed, 18 insertions(+), 5 deletions(-) diff --git a/catalyst/finance/trading.py b/catalyst/finance/trading.py index 9d097cf7..bab89aac 100644 --- a/catalyst/finance/trading.py +++ b/catalyst/finance/trading.py @@ -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