mirror of
https://github.com/wassname/catalyst.git
synced 2026-07-11 12:16:39 +08:00
Eddie Hebert
16fd6681a6
More documentation to follow in release notes. Based on lazy-mainline branch, see for more details. Also-By: Jean Bredeche <jean@quantopian.com> Also-By: Andrew Liang <aliang@quantopian.com> Also-By: Abhijeet Kalyan <akalyan@quantopian.com>
49 lines
1.3 KiB
Python
49 lines
1.3 KiB
Python
from numpy import (
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float64,
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uint32
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)
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from bcolz import ctable
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from zipline.data.us_equity_pricing import (
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BcolzDailyBarWriter,
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OHLC,
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UINT32_MAX
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)
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class DailyBarWriterFromDataFrames(BcolzDailyBarWriter):
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_csv_dtypes = {
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'open': float64,
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'high': float64,
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'low': float64,
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'close': float64,
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'volume': float64,
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}
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def __init__(self, asset_map):
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self._asset_map = asset_map
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def gen_tables(self, assets):
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for asset in assets:
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yield asset, ctable.fromdataframe(assets[asset])
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def to_uint32(self, array, colname):
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arrmax = array.max()
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if colname in OHLC:
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self.check_uint_safe(arrmax * 1000, colname)
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return (array * 1000).astype(uint32)
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elif colname == 'volume':
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self.check_uint_safe(arrmax, colname)
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return array.astype(uint32)
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elif colname == 'day':
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nanos_per_second = (1000 * 1000 * 1000)
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self.check_uint_safe(arrmax.view(int) / nanos_per_second, colname)
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return (array.view(int) / nanos_per_second).astype(uint32)
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@staticmethod
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def check_uint_safe(value, colname):
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if value >= UINT32_MAX:
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raise ValueError(
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"Value %s from column '%s' is too large" % (value, colname)
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)
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