def run(pair_name: str, opt: dict, signal_func) -> pd.DataFrame:
print(pair_name)
mid_freq = opt['mid_freq']
window_size = opt['window_size']
threshold = opt['threshold']
intercept = opt['intercept']
wavelet = opt['wavelet']
ln = opt['ln']
pair_bid, pair_ask, pair_mid = aux.create_bid_ask_mid(pair_name, data)
pair_mid = pair_mid.groupby(
pd.Grouper(freq='D')).resample(mid_freq).mean().droplevel(0)
pair_mid = pair_mid.resample('D').apply(aux.fill_nan).droplevel(0)
if ln:
pair_mid = np.log(pair_mid)
pair_ask = pair_ask.resample('D').apply(aux.fill_nan).droplevel(0)
pair_bid = pair_bid.resample('D').apply(aux.fill_nan).droplevel(0)
pair_mid.dropna(inplace=True)
pair_ask.dropna(inplace=True)
pair_bid.dropna(inplace=True)
trade_table = trading_table(pair_mid, pair_ask, pair_bid, window_size,
threshold, intercept, wavelet, signal_func)
return trade_table
def run(pair_name):
print("Hesaplanan çift: ", pair_name)
pair_bid, pair_ask, pair_mid = aux.create_bid_ask_mid(pair_name, data)
pair_bid, pair_ask, pair_mid = aux.convert_bid_ask_mid(
pair_bid, pair_ask, pair_mid, mid_freq, ln)
date_ranges = get_date_ranges(pair_mid.index, step)
arx_values = ar_x(pair_mid, date_ranges, intercept, wavelet)
return arx_values
def run(pair_name: str, opt: dict, signal_func) -> pd.DataFrame:
print(pair_name)
mid_freq = opt['mid_freq']
window_size = opt['window_size']
coeff_negative = opt['coeff_negative']
coeff_positive = opt['coeff_positive']
intercept = opt['intercept']
wavelet = opt['wavelet']
ln = opt['ln']
pair_bid, pair_ask, pair_mid = aux.create_bid_ask_mid(pair_name, data)
pair_bid, pair_ask, pair_mid = aux.convert_bid_ask_mid(
pair_bid, pair_ask, pair_mid, mid_freq, ln)
trade_table = trading_table(pair_mid, pair_ask, pair_bid, window_size,
coeff_negative, coeff_positive, intercept,
wavelet, signal_func, mid_freq)
return trade_table
data = pd.read_csv(folder_path, parse_dates=['time'])
data = data[data.time.dt.hour < 15]
data['mid_price'] = (data['bid_price'] + data['ask_price']) / 2
pair_name = ('DOHOL', 'PETKM')
mid_freq = '10Min'
window_size = 300
threshold = 1
intercept = True
wavelet = False
ln = True
signal_func = signals.get_signal2
name = '_'.join(pair_name) + '_' + signal_func.__name__.split('_')[1]
pair_bid, pair_ask, pair_mid = aux.create_bid_ask_mid(pair_name, data)
pair_mid = pair_mid.groupby(
pd.Grouper(freq='D')).resample(mid_freq).mean().droplevel(0)
pair_mid = pair_mid.resample('D').apply(aux.fill_nan).droplevel(0)
if ln:
pair_mid = np.log(pair_mid)
pair_ask = pair_ask.resample('D').apply(aux.fill_nan).droplevel(0)
pair_bid = pair_bid.resample('D').apply(aux.fill_nan).droplevel(0)
pair_mid.dropna(inplace=True)
pair_ask.dropna(inplace=True)
pair_bid.dropna(inplace=True)