def get_simple_transform(self,
asset,
transform_name,
dt,
data_frequency,
bars=None):
if transform_name == "returns":
# returns is always calculated over the last 2 days, regardless
# of the simulation's data frequency.
hst = self.get_history_window([asset],
dt,
2,
"1d",
"price",
ffill=True)[asset]
return (hst.iloc[-1] - hst.iloc[0]) / hst.iloc[0]
if bars is None:
raise ValueError("bars cannot be None!")
if data_frequency == "minute":
freq_str = "1m"
calculated_bar_count = int(
self._get_minute_count_for_transform(dt, bars))
else:
freq_str = "1d"
calculated_bar_count = bars
price_arr = self.get_history_window([asset],
dt,
calculated_bar_count,
freq_str,
"price",
ffill=True)[asset]
if transform_name == "mavg":
return nanmean(price_arr)
elif transform_name == "stddev":
return nanstd(price_arr, ddof=1)
elif transform_name == "vwap":
volume_arr = self.get_history_window([asset],
dt,
calculated_bar_count,
freq_str,
"volume",
ffill=True)[asset]
vol_sum = nansum(volume_arr)
try:
ret = nansum(price_arr * volume_arr) / vol_sum
except ZeroDivisionError:
ret = np.nan
return ret
def get_simple_transform(self, asset, transform_name, dt, data_frequency,
bars=None):
if transform_name == "returns":
# returns is always calculated over the last 2 days, regardless
# of the simulation's data frequency.
hst = self.get_history_window(
[asset], dt, 2, "1d", "price", ffill=True
)[asset]
return (hst.iloc[-1] - hst.iloc[0]) / hst.iloc[0]
if bars is None:
raise ValueError("bars cannot be None!")
if data_frequency == "minute":
freq_str = "1m"
calculated_bar_count = int(self._get_minute_count_for_transform(
dt, bars
))
else:
freq_str = "1d"
calculated_bar_count = bars
price_arr = self.get_history_window(
[asset], dt, calculated_bar_count, freq_str, "price", ffill=True
)[asset]
if transform_name == "mavg":
return nanmean(price_arr)
elif transform_name == "stddev":
return nanstd(price_arr, ddof=1)
elif transform_name == "vwap":
volume_arr = self.get_history_window(
[asset], dt, calculated_bar_count, freq_str, "volume",
ffill=True
)[asset]
vol_sum = nansum(volume_arr)
try:
ret = nansum(price_arr * volume_arr) / vol_sum
except ZeroDivisionError:
ret = np.nan
return ret
def compute(self, today, assets, out, data):
ndays = data.shape[0]
# Initialize weights array
weights = arange(1, ndays + 1, dtype=float64_dtype).reshape(ndays, 1)
# Compute normalizer
normalizer = (ndays * (ndays + 1)) / 2
# Weight the data
weighted_data = data * weights
# Compute weighted averages
out[:] = nansum(weighted_data, axis=0) / normalizer
def compute(self, today, assets, out, data):
ndays = data.shape[0]
# Initialize weights array
weights = arange(1, ndays + 1, dtype=float64_dtype).reshape(ndays, 1)
# Compute normalizer
normalizer = (ndays * (ndays + 1)) / 2
# Weight the data
weighted_data = data * weights
# Compute weighted averages
out[:] = nansum(weighted_data, axis=0) / normalizer
def compute(self, today, assets, out, close, volume):
out[:] = nansum(close * volume, axis=0) / len(close)
def compute(self, today, assets, out, base, weight):
out[:] = nansum(base * weight, axis=0) / nansum(weight, axis=0)
def compute(self, today, assets, out, base, weight):
out[:] = nansum(base * weight, axis=0) / nansum(weight, axis=0)
def compute(self, today, assets, out, close, volume):
out[:] = nansum(close * volume, axis=0) / len(close)