mirror of
https://github.com/wassname/catalyst.git
synced 2026-07-16 11:18:11 +08:00
Eddie HebertandJean Bredeche
16fd6681a6
More documentation to follow in release notes. Based on lazy-mainline branch, see for more details. Also-By: Jean Bredeche <jean@quantopian.com> Also-By: Andrew Liang <aliang@quantopian.com> Also-By: Abhijeet Kalyan <akalyan@quantopian.com>
99 lines
2.9 KiB
Cython
99 lines
2.9 KiB
Cython
#
|
|
# Copyright 2015 Quantopian, Inc.
|
|
#
|
|
# Licensed under the Apache License, Version 2.0 (the "License");
|
|
# you may not use this file except in compliance with the License.
|
|
# You may obtain a copy of the License at
|
|
#
|
|
# http://www.apache.org/licenses/LICENSE-2.0
|
|
#
|
|
# Unless required by applicable law or agreed to in writing, software
|
|
# distributed under the License is distributed on an "AS IS" BASIS,
|
|
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
|
|
# See the License for the specific language governing permissions and
|
|
# limitations under the License.
|
|
|
|
cimport numpy as np
|
|
import numpy as np
|
|
import pandas as pd
|
|
cimport cython
|
|
from cpython cimport bool
|
|
|
|
cdef np.int64_t _nanos_in_minute = 60000000000
|
|
NANOS_IN_MINUTE = _nanos_in_minute
|
|
|
|
cpdef enum:
|
|
BAR = 0
|
|
DAY_START = 1
|
|
DAY_END = 2
|
|
MINUTE_END = 3
|
|
|
|
cdef class MinuteSimulationClock:
|
|
cdef object trading_days
|
|
cdef object all_trading_days
|
|
cdef bool minute_emission
|
|
cdef np.int64_t[:] market_opens, market_closes
|
|
cdef public dict minutes_by_day, minutes_to_day
|
|
|
|
def __init__(self,
|
|
trading_days,
|
|
market_opens,
|
|
market_closes,
|
|
all_trading_days,
|
|
minute_emission=False):
|
|
self.minute_emission = minute_emission
|
|
self.market_opens = market_opens
|
|
self.market_closes = market_closes
|
|
self.trading_days = trading_days
|
|
self.all_trading_days = all_trading_days
|
|
self.minutes_by_day = self.calc_minutes_by_day()
|
|
|
|
@cython.boundscheck(False)
|
|
@cython.wraparound(False)
|
|
cpdef market_minutes(self, np.intp_t i):
|
|
cdef np.int64_t[:] market_opens, market_closes
|
|
market_opens = self.market_opens
|
|
market_closes = self.market_closes
|
|
|
|
return np.arange(market_opens[i],
|
|
market_closes[i] + _nanos_in_minute,
|
|
_nanos_in_minute)
|
|
|
|
cpdef calc_minutes_by_day(self):
|
|
minutes_by_day = {}
|
|
for day_idx, day in enumerate(self.trading_days):
|
|
minutes = pd.to_datetime(
|
|
self.market_minutes(day_idx), utc=True, box=True)
|
|
minutes_by_day[day] = minutes
|
|
return minutes_by_day
|
|
|
|
def __iter__(self):
|
|
|
|
minute_emission = self.minute_emission
|
|
|
|
for day in self.trading_days:
|
|
yield day, DAY_START
|
|
|
|
minutes = self.minutes_by_day[day]
|
|
|
|
for minute in minutes:
|
|
yield minute, BAR
|
|
if minute_emission:
|
|
yield minute, MINUTE_END
|
|
|
|
if not minute_emission:
|
|
yield minutes[-1], DAY_END
|
|
|
|
|
|
cdef class DailySimulationClock:
|
|
cdef object trading_days
|
|
|
|
def __init__(self, trading_days):
|
|
self.trading_days = trading_days
|
|
|
|
def __iter__(self):
|
|
for i, day in enumerate(self.trading_days):
|
|
yield day, DAY_START
|
|
yield day, BAR
|
|
yield day, DAY_END
|