mirror of
https://github.com/wassname/catalyst.git
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Jean Bredeche
118 lines
4.1 KiB
Cython
118 lines
4.1 KiB
Cython
#
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# Copyright 2015 Quantopian, Inc.
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#
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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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cimport numpy as np
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import numpy as np
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import pandas as pd
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cimport cython
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from cpython cimport bool
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cdef np.int64_t _nanos_in_minute = 60000000000
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NANOS_IN_MINUTE = _nanos_in_minute
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cpdef enum:
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BAR = 0
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SESSION_START = 1
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SESSION_END = 2
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MINUTE_END = 3
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BEFORE_TRADING_START_BAR = 4
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cdef class MinuteSimulationClock:
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cdef bool minute_emission
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cdef np.int64_t[:] market_opens_nanos, market_closes_nanos, bts_nanos, \
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sessions_nanos
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cdef dict minutes_by_session
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def __init__(self,
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sessions,
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market_opens,
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market_closes,
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before_trading_start_minutes,
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minute_emission=False):
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self.minute_emission = minute_emission
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self.market_opens_nanos = market_opens.values.astype(np.int64)
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self.market_closes_nanos = market_closes.values.astype(np.int64)
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self.sessions_nanos = sessions.values.astype(np.int64)
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self.bts_nanos = before_trading_start_minutes.values.astype(np.int64)
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self.minutes_by_session = self.calc_minutes_by_session()
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@cython.boundscheck(False)
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@cython.wraparound(False)
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cdef dict calc_minutes_by_session(self):
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cdef dict minutes_by_session
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cdef int session_idx
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cdef np.int64_t session_nano
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cdef np.ndarray[np.int64_t, ndim=1] minutes_nanos
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minutes_by_session = {}
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for session_idx, session_nano in enumerate(self.sessions_nanos):
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minutes_nanos = np.arange(
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self.market_opens_nanos[session_idx],
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self.market_closes_nanos[session_idx] + _nanos_in_minute,
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_nanos_in_minute
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)
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minutes_by_session[session_nano] = pd.to_datetime(
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minutes_nanos, utc=True, box=True
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)
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return minutes_by_session
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def __iter__(self):
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minute_emission = self.minute_emission
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for idx, session_nano in enumerate(self.sessions_nanos):
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yield pd.Timestamp(session_nano, tz='UTC'), SESSION_START
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bts_minute = pd.Timestamp(self.bts_nanos[idx], tz='UTC')
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regular_minutes = self.minutes_by_session[session_nano]
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if bts_minute > regular_minutes[-1]:
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# before_trading_start is after the last close,
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# so don't emit it
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for minute, evt in self._get_minutes_for_list(
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regular_minutes,
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minute_emission
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):
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yield minute, evt
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else:
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# we have to search anew every session, because there is no
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# guarantee that any two session start on the same minute
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bts_idx = regular_minutes.searchsorted(bts_minute)
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# emit all the minutes before bts_minute
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for minute, evt in self._get_minutes_for_list(
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regular_minutes[0:bts_idx],
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minute_emission
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):
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yield minute, evt
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yield bts_minute, BEFORE_TRADING_START_BAR
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# emit all the minutes after bts_minute
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for minute, evt in self._get_minutes_for_list(
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regular_minutes[bts_idx:],
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minute_emission
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):
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yield minute, evt
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yield regular_minutes[-1], SESSION_END
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def _get_minutes_for_list(self, minutes, minute_emission):
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for minute in minutes:
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yield minute, BAR
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if minute_emission:
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yield minute, MINUTE_END
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