def __init__(self,
pcontracts,
dt_start="1980-1-1",
dt_end="2100-1-1",
n=None,
spec_date={}): # 'symbol':[,]
"""
Args:
pcontracts (list): list of pcontracts(string)
dt_start (datetime/str): start time of all pcontracts
dt_end (datetime/str): end time of all pcontracts
n (int): last n bars
spec_date (dict): time range for specific pcontracts
"""
self.finished_data = []
pcontracts = map(lambda x: x.upper(), pcontracts)
self.pcontracts = pcontracts
self._combs = []
self._data_manager = DataManager()
# str(PContract): DataWrapper
if settings['source'] == 'csv':
self.pcontracts = self._parse_pcontracts(self.pcontracts)
self._default_pcontract = self.pcontracts[0]
self._all_data, self._max_window = self._load_data(
self.pcontracts, dt_start, dt_end, n, spec_date)
self.context = Context(self._all_data, self._max_window)
def add_strategies(self, settings):
for setting in settings:
strategy = setting['strategy']
ctx = Context(self._all_data, strategy.name, setting, strategy,
self._max_window)
ctx.data_ref.default_pcontract = self.pcontracts[0]
self._contexts.append(ctx)
yield (Profile(ctx.marks, ctx.blotter, ctx.data_ref))
def __init__(self, pcontracts, window_size=0, dt_start=datetime(1980,1,1),
dt_end=datetime(2100,1,1), spec_date = { }): # 'symbol':[,]
series.g_rolling = False if window_size == 0 else True
series.g_window = window_size
self.all_data = OrderedDict() # str(PContract): DataWrapper
self.finished_data = []
pcontracts = map(lambda x: x.upper(), pcontracts)
self.pcontracts = pcontracts
self._combs = []
self._window_size = window_size + 1
self._data_manager = DataManager()
for pcon in pcontracts:
if pcon in spec_date:
dt_start = spec_date[pcon][0]
dt_end = spec_date[pcon][1]
assert(dt_start < dt_end)
self.load_data(pcon, dt_start, dt_end)
self.context = Context(self.all_data)
