mirror of
https://github.com/wassname/catalyst.git
synced 2026-07-09 19:39:41 +08:00
Eddie Hebert
0a3c9c8448
The argument was only needed for mapping the positions which need to be removed on adjusted windows. The start and end position of each range can be derived from the early closes' positions and the market open, respectively. Remove to reduce moving parts.
135 lines
3.7 KiB
Cython
135 lines
3.7 KiB
Cython
from numpy cimport ndarray, long_t
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from numpy import searchsorted
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from cpython cimport bool
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cimport cython
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cdef inline int int_min(int a, int b): return a if a <= b else b
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@cython.cdivision(True)
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def minute_value(ndarray[long_t, ndim=1] market_opens,
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Py_ssize_t pos,
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short minutes_per_day):
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"""
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Finds the value of the minute represented by `pos` in the given array of
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market opens.
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Parameters
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----------
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market_opens: numpy array of ints
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Market opens, in minute epoch values.
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pos: int
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The index of the desired minute.
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minutes_per_day: int
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The number of minutes per day (e.g. 390 for NYSE).
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Returns
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-------
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int: The minute epoch value of the desired minute.
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"""
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cdef short q, r
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q = cython.cdiv(pos, minutes_per_day)
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r = cython.cmod(pos, minutes_per_day)
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return market_opens[q] + r
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def find_position_of_minute(ndarray[long_t, ndim=1] market_opens,
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ndarray[long_t, ndim=1] market_closes,
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long_t minute_val,
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short minutes_per_day):
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"""
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Finds the position of a given minute in the given array of market opens.
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If not a market minute, adjusts to the last market minute.
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Parameters
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----------
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market_opens: numpy array of ints
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Market opens, in minute epoch values.
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market_closes: numpy array of ints
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Market closes, in minute epoch values.
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minute_val: int
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The desired minute, as a minute epoch.
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minutes_per_day: int
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The number of minutes per day (e.g. 390 for NYSE).
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Returns
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-------
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int: The position of the given minute in the market opens array.
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"""
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cdef Py_ssize_t market_open_loc, market_open, delta
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market_open_loc = \
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searchsorted(market_opens, minute_val, side='right') - 1
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market_open = market_opens[market_open_loc]
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market_close = market_closes[market_open_loc]
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delta = int_min(minute_val - market_open, market_close - market_open)
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return (market_open_loc * minutes_per_day) + delta
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def find_last_traded_position_internal(
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ndarray[long_t, ndim=1] market_opens,
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ndarray[long_t, ndim=1] market_closes,
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long_t end_minute,
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long_t start_minute,
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volumes,
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short minutes_per_day):
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"""
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Finds the position of the last traded minute for the given volumes array.
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Parameters
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----------
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market_opens: numpy array of ints
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Market opens, in minute epoch values.
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market_closes: numpy array of ints
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Market closes, in minute epoch values.
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end_minute: int
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The minute from which to start looking backwards, as a minute epoch.
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start_minute: int
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The asset's start date, as a minute epoch. Acts as the bottom limit of
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how far we can look backwards.
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volumes: bcolz carray
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The volume history for the given asset.
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minutes_per_day: int
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The number of minutes per day (e.g. 390 for NYSE).
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Returns
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-------
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int: The position of the last traded minute, starting from `minute_val`
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"""
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cdef Py_ssize_t minute_pos, current_minute
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minute_pos = int_min(
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find_position_of_minute(market_opens, market_closes, end_minute,
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minutes_per_day),
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len(volumes) - 1
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)
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while minute_pos >= 0:
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current_minute = minute_value(
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market_opens, minute_pos, minutes_per_day
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)
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if current_minute < start_minute:
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return -1
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if volumes[minute_pos] != 0:
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return minute_pos
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minute_pos -= 1
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# we've gone to the beginning of this asset's range, and still haven't
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# found a trade event
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return -1
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