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Frederic Fortier
74 lines
2.0 KiB
Python
74 lines
2.0 KiB
Python
import json
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import re
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from json import JSONEncoder
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import pandas as pd
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from catalyst.assets._assets import TradingPair
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from catalyst.constants import DATE_TIME_FORMAT
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from six import string_types
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class ExchangeJSONEncoder(json.JSONEncoder):
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def default(self, obj):
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if isinstance(obj, pd.Timestamp):
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return obj.strftime(DATE_TIME_FORMAT)
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elif isinstance(obj, TradingPair):
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return obj.to_dict()
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# Let the base class default method raise the TypeError
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return JSONEncoder.default(self, obj)
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class ExchangeJSONDecoder(json.JSONDecoder):
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def __init__(self, *args, **kwargs):
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json.JSONDecoder.__init__(
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self, object_hook=self.object_hook, *args, **kwargs
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)
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def recursive_iter(self, obj):
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if isinstance(obj, dict):
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for key, value in obj.items():
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match = isinstance(value, string_types) and re.search(
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r'(\d{4}-\d{2}-\d{2}).*', value
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)
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if match:
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try:
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obj[key] = pd.to_datetime(value, utc=True)
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except ValueError:
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pass
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elif any(isinstance(obj, t) for t in (list, tuple)):
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for item in obj:
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self.recursive_iter(item)
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def object_hook(self, obj):
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self.recursive_iter(obj)
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return obj
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def portfolio_to_dict(portfolio):
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positions = []
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for asset in portfolio.positions:
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p = portfolio.positions[asset] # Type: Position
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position = dict(
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symbol=asset.symbol,
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exchange=asset.exchange,
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amount=p.amount,
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cost_basis=p.cost_basis,
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last_sale_price=p.last_sale_price,
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last_sale_date=p.last_sale_date,
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)
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positions.append(position)
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portfolio_dict = vars(portfolio)
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portfolio_dict['positions'] = positions
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return portfolio_dict
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def portfolio_from_dict(self, portfolio_data):
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from catalyst.protocol import Portfolio
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return Portfolio()
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