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https://github.com/wassname/catalyst.git
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Nathan Wolfe
4865ade9b2
The new TradingCalendar method is called `minute_index_to_session_labels`. It takes a DatetimeIndex of in-order market minutes and returns a DatetimeIndex of the corresponding sessions. The new method is approximately 100x faster than mapping `minute_to_session_label` over a large DatetimeIndex.
75 lines
2.3 KiB
Cython
75 lines
2.3 KiB
Cython
from numpy cimport ndarray, int64_t
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from numpy import empty, searchsorted, int64
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cimport cython
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@cython.boundscheck(False)
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@cython.wraparound(False)
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cpdef int next_divider_idx(ndarray[int64_t, ndim=1] dividers, int64_t minute_val):
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cdef int divider_idx
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cdef int64_t target
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divider_idx = searchsorted(dividers, minute_val, side="right")
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target = dividers[divider_idx]
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if minute_val == target:
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# if dt is exactly on the divider, go to the next value
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return divider_idx + 1
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else:
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return divider_idx
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@cython.boundscheck(False)
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@cython.wraparound(False)
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def previous_divider_idx(ndarray[int64_t, ndim=1] dividers,
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int64_t minute_val):
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cdef int divider_idx
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divider_idx = searchsorted(dividers, minute_val)
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if divider_idx == 0:
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raise ValueError("Cannot go earlier in calendar!")
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return divider_idx - 1
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def is_open(ndarray[int64_t, ndim=1] opens,
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ndarray[int64_t, ndim=1] closes,
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int64_t minute_val):
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cdef open_idx, close_idx
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open_idx = searchsorted(opens, minute_val)
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close_idx = searchsorted(closes, minute_val)
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if open_idx != close_idx:
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# if the indices are not same, that means the market is open
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return True
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else:
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try:
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# if they are the same, it might be the first minute of a
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# session
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return minute_val == opens[open_idx]
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except IndexError:
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# this can happen if we're outside the schedule's range (like
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# after the last close)
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return False
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@cython.boundscheck(False)
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@cython.wraparound(False)
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def minutes_to_session_labels(ndarray[int64_t, ndim=1] minutes,
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minute_to_session_label,
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ndarray[int64_t, ndim=1] closes):
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cdef int current_idx, next_idx, close_idx
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current_idx = next_idx = close_idx = 0
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cdef ndarray[int64_t, ndim=1] results = empty(len(minutes), dtype=int64)
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while current_idx < len(minutes):
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close_idx += searchsorted(closes[close_idx:],
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minutes[current_idx], side="right")
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next_idx += next_divider_idx(minutes[next_idx:], closes[close_idx])
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results[current_idx:next_idx] = minute_to_session_label(
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minutes[current_idx]
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)
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current_idx = next_idx
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return results
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