mirror of
https://github.com/wassname/catalyst.git
synced 2026-07-06 05:14:38 +08:00
Jean Bredeche
0fd35e7fd1
DataPortal now catches the NoDataOnDate exception and returns nan for OHLC and 0 for V. Price is still forward filled, unchanged.
151 lines
4.3 KiB
Cython
151 lines
4.3 KiB
Cython
from numpy cimport ndarray, long_t
|
|
from numpy import searchsorted
|
|
from cpython cimport bool
|
|
cimport cython
|
|
|
|
cdef inline int int_min(int a, int b): return a if a <= b else b
|
|
|
|
@cython.cdivision(True)
|
|
def minute_value(ndarray[long_t, ndim=1] market_opens,
|
|
Py_ssize_t pos,
|
|
short minutes_per_day):
|
|
"""
|
|
Finds the value of the minute represented by `pos` in the given array of
|
|
market opens.
|
|
|
|
Parameters
|
|
----------
|
|
market_opens: numpy array of ints
|
|
Market opens, in minute epoch values.
|
|
|
|
pos: int
|
|
The index of the desired minute.
|
|
|
|
minutes_per_day: int
|
|
The number of minutes per day (e.g. 390 for NYSE).
|
|
|
|
Returns
|
|
-------
|
|
int: The minute epoch value of the desired minute.
|
|
"""
|
|
cdef short q, r
|
|
|
|
q = cython.cdiv(pos, minutes_per_day)
|
|
r = cython.cmod(pos, minutes_per_day)
|
|
|
|
return market_opens[q] + r
|
|
|
|
def find_position_of_minute(ndarray[long_t, ndim=1] market_opens,
|
|
ndarray[long_t, ndim=1] market_closes,
|
|
long_t minute_val,
|
|
short minutes_per_day,
|
|
bool forward_fill):
|
|
"""
|
|
Finds the position of a given minute in the given array of market opens.
|
|
If not a market minute, adjusts to the last market minute.
|
|
|
|
Parameters
|
|
----------
|
|
market_opens: numpy array of ints
|
|
Market opens, in minute epoch values.
|
|
|
|
market_closes: numpy array of ints
|
|
Market closes, in minute epoch values.
|
|
|
|
minute_val: int
|
|
The desired minute, as a minute epoch.
|
|
|
|
minutes_per_day: int
|
|
The number of minutes per day (e.g. 390 for NYSE).
|
|
|
|
forward_fill: bool
|
|
Whether to use the previous market minute if the given minute does
|
|
not fall within an open/close pair.
|
|
|
|
Returns
|
|
-------
|
|
int: The position of the given minute in the market opens array.
|
|
|
|
Raises
|
|
------
|
|
ValueError
|
|
If the given minute is not between a single open/close pair AND
|
|
forward_fill is False. For example, if minute_val is 17:00 Eastern
|
|
for a given day whose normal hours are 9:30 to 16:00, and we are not
|
|
forward filling, ValueError is raised.
|
|
"""
|
|
cdef Py_ssize_t market_open_loc, market_open, delta
|
|
|
|
market_open_loc = \
|
|
searchsorted(market_opens, minute_val, side='right') - 1
|
|
market_open = market_opens[market_open_loc]
|
|
market_close = market_closes[market_open_loc]
|
|
|
|
if not forward_fill and ((minute_val - market_open) >= minutes_per_day):
|
|
raise ValueError("Given minute is not between an open and a close")
|
|
|
|
delta = int_min(minute_val - market_open, market_close - market_open)
|
|
|
|
return (market_open_loc * minutes_per_day) + delta
|
|
|
|
def find_last_traded_position_internal(
|
|
ndarray[long_t, ndim=1] market_opens,
|
|
ndarray[long_t, ndim=1] market_closes,
|
|
long_t end_minute,
|
|
long_t start_minute,
|
|
volumes,
|
|
short minutes_per_day):
|
|
|
|
"""
|
|
Finds the position of the last traded minute for the given volumes array.
|
|
|
|
Parameters
|
|
----------
|
|
market_opens: numpy array of ints
|
|
Market opens, in minute epoch values.
|
|
|
|
market_closes: numpy array of ints
|
|
Market closes, in minute epoch values.
|
|
|
|
end_minute: int
|
|
The minute from which to start looking backwards, as a minute epoch.
|
|
|
|
start_minute: int
|
|
The asset's start date, as a minute epoch. Acts as the bottom limit of
|
|
how far we can look backwards.
|
|
|
|
volumes: bcolz carray
|
|
The volume history for the given asset.
|
|
|
|
minutes_per_day: int
|
|
The number of minutes per day (e.g. 390 for NYSE).
|
|
|
|
Returns
|
|
-------
|
|
int: The position of the last traded minute, starting from `minute_val`
|
|
"""
|
|
cdef Py_ssize_t minute_pos, current_minute
|
|
|
|
minute_pos = int_min(
|
|
find_position_of_minute(market_opens, market_closes, end_minute,
|
|
minutes_per_day, True),
|
|
len(volumes) - 1
|
|
)
|
|
|
|
while minute_pos >= 0:
|
|
current_minute = minute_value(
|
|
market_opens, minute_pos, minutes_per_day
|
|
)
|
|
|
|
if current_minute < start_minute:
|
|
return -1
|
|
|
|
if volumes[minute_pos] != 0:
|
|
return minute_pos
|
|
|
|
minute_pos -= 1
|
|
|
|
# we've gone to the beginning of this asset's range, and still haven't
|
|
# found a trade event
|
|
return -1
|