def does_cross_return(hdf):
ccy = hdf.attrs['ccy']
ccy2 = hdf.attrs['ccy2']
cross_returns = []
bids = hdf['bid'][:]
offers = hdf['offer'][:]
bid_vol = hdf['bid_vol'][:]
offer_vol = hdf['offer_vol'][:]
min_vol = np.min([bid_vol, offer_vol], 0)
t = hdf['t'][:]
n = len(t)
result = []
for cross in cross_info.find_crossed_markets_in_hdf(hdf):
if cross.amt
if cross.dur >= MIN_DUR:
i = cross.end_idx
end_bid = bids[i]
end_offer = offers[i]
future_idx = bisect.bisect_right(t, t[i] + FUTURE_HORIZON, i, n)
future_vol_ok = min_vol[i:future_idx] >= cross.min_vol
future_bid_ok = bids[i:future_idx] >= cross.bid
future_offer_ok = offers[i:future_idx] >= cross.offer
# CAVEAT: I'm assuming that if the cross stuck around for less than 50ms
# we might have missed both sides
if cross.dur > 50 and end_bid != cross.bid and end_offer == cross.offer:
# bid uncrossed first
returns = np.sum(future_bid_ok & future_vol_ok)
# offer uncrossed first
elif cross.dur > 50 and end_bid == cross.bid and end_offer != cross.offer:
returns = np.sum(future_offer_ok & future_vol_ok)
# both bid and offer changed
else:
# either the cross was shorter than 50ms or both prices changed
# at the end
returns = np.sum(future_bid_ok & future_offer_ok & future_vol_ok)
print cross, "returns", returns, "times in", FUTURE_HORIZON / 1000.0, "seconds"
result.append(returns > 0)
return ccy, result
def combine(all_amts, (ccy,amts)):
all_amts.setdefault(ccy, []).extend(amts)
def cross_amounts(hdf):
ccy = hdf.attrs['ccy']
amts = [cross.amt * cross.min_vol \
for cross in cross_info.find_crossed_markets_in_hdf(hdf)
if MIN_DUR is None or cross.dur >= MIN_DUR]
return ccy, amts
def cross_durations(hdf): ccy = hdf.attrs['ccy'] durs = [cross.dur for cross in cross_info.find_crossed_markets_in_hdf(hdf)] return ccy, durs
def cross_amounts(hdf):
ccy = hdf.attrs['ccy']
amts = [cross.amt * cross.min_vol \
for cross in cross_info.find_crossed_markets_in_hdf(hdf)
if MIN_DUR is None or cross.dur >= MIN_DUR]
return ccy, amts
