return [np.nan, count]
else:
return [209, count]
elif frequency == '1m':
if count == 0:
return [np.nan, count]
else:
return [count - 1, count]
MIXED_FREQUENCY_MINUTES = TradingEnvironment.instance().market_minute_window(
to_utc('2013-07-03 9:31AM'),
600,
)
DAILY_OPEN_CLOSE_SPECS = [
HistorySpec(3, '1d', 'open_price', False),
HistorySpec(3, '1d', 'close_price', False),
]
ILLIQUID_PRICES_SPECS = [
HistorySpec(3, '1m', 'price', False),
HistorySpec(5, '1m', 'price', True),
]
MIXED_FREQUENCY_SPECS = [
HistorySpec(1, '1m', 'price', False),
HistorySpec(2, '1m', 'price', False),
HistorySpec(2, '1d', 'price', False),
]
MIXED_FIELDS_SPECS = [
HistorySpec(3, '1m', 'price', True),
HistorySpec(3, '1m', 'open_price', True),
HistorySpec(3, '1m', 'close_price', True),
return [np.nan, count]
else:
return [209, count]
elif frequency == '1m':
if count == 0:
return [np.nan, count]
else:
return [count - 1, count]
MIXED_FREQUENCY_MINUTES = _cases_env.market_minute_window(
to_utc('2013-07-03 9:31AM'),
600,
)
ONE_MINUTE_PRICE_ONLY_SPECS = [
HistorySpec(1, '1m', 'price', True, _cases_env, data_frequency='minute'),
]
DAILY_OPEN_CLOSE_SPECS = [
HistorySpec(3,
'1d',
'open_price',
False,
_cases_env,
data_frequency='minute'),
HistorySpec(3,
'1d',
'close_price',
False,
_cases_env,
data_frequency='minute'),
]