def initializes(self):
"""
initialize the data to be used within generate
"""
# Universe
UH = UniHandler(self.startdate, self.enddate, True, self.altsim_dir)
uni = UH.build_uni(self.uni_name, 'aws_dev')
uni = UH.filter_uni(uni, self.set_exch, self.set_base, self.set_quote,
self.set_exclude, self.set_short_case)
# Data
DH = DataHandler(self.startdate, self.enddate, self.backdays,
self.interval, self.download, self.altsim_dir)
# include data you will use
ohlcv = DH.build_data(uni, 'ohlcv', 'aws_exchanges')
ohlcv_close = apply_to_matrix(ohlcv, 'close', 'ticker', self.startdate,
self.enddate, self.interval)
ohlcv_close = backfill(ohlcv_close)
#import pdb; pdb.set_trace()
# Remove tickers that dont have data
uni = apply_filter_no_data_tickers(uni, ohlcv_close)
# Alpha
AH = AlphaHandler(self.startdate, self.enddate, self.interval)
alpha = AH.build_df(uni)
return uni, alpha, ohlcv, ohlcv_close
def initializes(self):
"""
initialize the data to be used within generate
"""
# Universe
UH = UniHandler(self.startdate,self.enddate,True,self.altsim_dir)
uni = UH.build_uni(self.uni_name,'aws_dev')
uni = UH.filter_uni(uni,self.set_exch,self.set_base,self.set_quote,self.set_exclude,self.set_short_case)
uni['BTC-USDT-BINA'] = True
# Data
DH = DataHandler(self.startdate,self.enddate,self.backdays,self.interval,self.download,self.altsim_dir)
# include data you will use
ohlcv = DH.build_data(uni,'ohlcv','aws_exchanges')
ohlcv_close = apply_to_matrix(ohlcv,'close','ticker',self.startdate,self.enddate,self.interval)
ohlcv_close = backfill(ohlcv_close)
# Remove tickers that dont have data
uni = apply_filter_no_data_tickers(uni, ohlcv_close)
# Alpha
AH = AlphaHandler(self.startdate,self.enddate,self.interval)
alpha = AH.build_df(uni)
del alpha['BTC-USDT-BINA']
# Recalculate */BTC to */USDT for BINA
for col in alpha:
if col.split('-')[2] == 'BINA':
x = ohlcv_close.loc[:,col]
btc = ohlcv_close.loc[:,'BTC-USDT-BINA']
for i in x.index:
x.loc[i] = x.loc[i] * btc.loc[i]
return uni, alpha, ohlcv, ohlcv_close