mirror of
https://github.com/wassname/catalyst.git
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Frederic Fortier
61 lines
1.8 KiB
Python
61 lines
1.8 KiB
Python
#
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# Licensed under the Apache License, Version 2.0 (the "License");
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# you may not use this file except in compliance with the License.
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# You may obtain a copy of the License at
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#
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# http://www.apache.org/licenses/LICENSE-2.0
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#
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# Unless required by applicable law or agreed to in writing, software
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# distributed under the License is distributed on an "AS IS" BASIS,
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# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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# See the License for the specific language governing permissions and
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# limitations under the License.
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from time import sleep
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import pandas as pd
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from catalyst.gens.sim_engine import (
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BAR,
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SESSION_START,
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MINUTE_END,
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SESSION_END
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)
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from logbook import Logger
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log = Logger('ExchangeClock')
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class ExchangeClock(object):
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"""Realtime clock for live trading.
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This class is a drop-in replacement for
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:class:`zipline.gens.sim_engine.MinuteSimulationClock`.
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This is a stripped down version because crypto exchanges run around the clock.
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The :param:`time_skew` parameter represents the time difference between
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the Broker and the live trading machine's clock.
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"""
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def __init__(self, sessions, time_skew=pd.Timedelta("0s")):
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self.sessions = sessions
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self.time_skew = time_skew
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self._last_emit = None
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self._before_trading_start_bar_yielded = True
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def __iter__(self):
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yield pd.Timestamp.utcnow(), SESSION_START
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while True:
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current_time = pd.Timestamp.utcnow()
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current_minute = current_time.floor('1 min')
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if self._last_emit is None or current_minute > self._last_emit:
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log.debug('emitting minutely bar: {}'.format(current_minute))
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self._last_emit = current_minute
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yield current_minute, BAR
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else:
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sleep(1)
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