FSM for Feed

This commit is contained in:
Stephen Diehl
2012-06-11 09:26:48 -04:00
parent 087de66e4c
commit fefca77fe2
6 changed files with 53 additions and 30 deletions
+5 -5
View File
@@ -7,20 +7,20 @@ from zipline.finance.movingaverage import EventWindow
class VWAPTransform(BaseTransform):
def init(self, name, daycount=3):
self.state = {}
self.state['name'] = name
self.props = {}
self.props['name'] = name
self.daycount = daycount
self.by_sid = defaultdict(self.create_vwap)
@property
def get_id(self):
return self.state['name']
return self.props['name']
def transform(self, event):
cur = self.by_sid[event.sid]
cur.update(event)
self.state['value'] = cur.vwap
return self.state
self.props['value'] = cur.vwap
return self.props
def create_vwap(self):
return DailyVWAP(self.daycount)