def symbols_btw(self,startdate=None,enddate=None):
if(startdate is None):
startdate = str_to_dt('1970-01-01')
if(enddate is None):
enddate = datetime.datetime.now().date()
# --
uni = self.__membership
uni = uni[inrange(uni.index,ge=startdate,le=enddate)]
return uni.columns.to_numpy()
def trade_dates_btw_(self, startdate=None, enddate=None):
if (startdate is None):
# startdate = __0_date_str__('1970-01-01')
startdate = str_to_dt('1970-01-01')
if (enddate is None):
enddate = datetime.datetime.now().date()
# --
uni = self.__universe
# uni = uni[__inrange__(uni.index,ge=startdate,le=enddate)]
uni = uni[inrange(uni.index, ge=startdate, le=enddate)]
return list(uni.index)
def __load(self, *, symbol, loader_fn=None, date_range=None, **kv):
bm_hist = ngu.load_ng_historical(symbol)
bm_hist = pd.Series(data=bm_hist.index)
if (date_range is not None):
bm_hist = bm_hist[inrange(bm_hist,
ge=date_range[0],
lt=date_range[1])]
if (loader_fn is None):
self._d0 = self.__def_load_fn(bm_hist, **kv)
elif (type(loader_fn) == "function"):
self._d0 = loader_fn(bm_hist, **kv)
elif (loader_fn == "ALGO_1"):
self._d0 = self.__def_load_fn(bm_hist, **kv)
elif (loader_fn == "ALGO_2"):
self._d0 = bm_hist
else:
raise RuntimeError("unknown loader_fn:{}".format(loader_fn))
def __load_d0(self,pp_opt): symbols = self.__membership.columns.to_numpy() df = ngu.load_history_for_symbols(symbols,pp_opt,startdate=self.__startdate,enddate=self.__enddate) df = df[inrange(df.index,ge=self.__startdate,le=self.__enddate)] return df
def __load_membership(self): df = ngu.load_index_membership(self.__indexname) df = df[inrange(df.index,ge=self.__startdate,le=self.__enddate)] membership = df.dropna(axis=1,how='all') nominal_size = ngu.member_count_for(self.__indexname) return (membership,nominal_size)
def __load_d0(self, pp_opt):
df = ngu.load_history_for_symbols(self.__symbols, pp_opt)
df = df[inrange(df.index, ge=self.__startdate, le=self.__enddate)]
return df