def _get_all_cost_data(self):
"""
Get a data frame of cost data
:returns: pd.DataFrame
>>> data=csvFuturesConfigDataForSim(datapath_dict=dict(config_data = "sysdata.tests.configtestdata"))
>>> data._get_all_cost_data()
Instrument Slippage PerBlock Percentage PerTrade
Instrument
BUND BUND 0.0050 2.00 0 0
US10 US10 0.0080 1.51 0 0
EDOLLAR EDOLLAR 0.0025 2.11 0 0
>>> data.get_raw_cost_data("EDOLLAR")['price_slippage']
0.0025000000000000001
"""
self.log.msg("Loading csv cost file")
pathname = get_pathname_for_package(
self._resolve_path("config_data", DEFAULT_SIM_CONFIG_PATH))
filename = os.path.join(pathname, "costs_analysis.csv")
try:
instr_data = pd.read_csv(filename)
instr_data.index = instr_data.Instrument
return instr_data
except OSError:
self.log.warn("Cost file not found %s" % filename)
return None
def __init__(self, datapath=None):
"""
Create a FuturesData object for reading .csv files from datapath
inherits from FuturesData
We look for data in .csv files
:param datapath: path to find .csv files (defaults to LEGACY_DATA_MODULE/LEGACY_DATA_DIR
:type datapath: None or str
:returns: new csvFuturesData object
>>> data=csvFuturesData("sysdata.tests")
>>> data
FuturesData object with 3 instruments
"""
super().__init__()
if datapath is None:
datapath = LEGACY_DATA_PATH
datapath = get_pathname_for_package(datapath)
"""
Most Data objects that read data from a specific place have a 'source' of some kind
Here it's a directory
"""
setattr(self, "_datapath", datapath)
def __init__(self, datapath=None):
"""
Create a FuturesData object for reading .csv files from datapath
inherits from FuturesData
We look for data in .csv files
:param datapath: path to find .csv files (defaults to LEGACY_DATA_MODULE/LEGACY_DATA_DIR
:type datapath: None or str
:returns: new csvFuturesData object
>>> data = csvFuturesData()
>>> data
FuturesData object with 38 instruments
"""
super().__init__()
if datapath is None:
datapath = LEGACY_DATA_PATH
datapath = get_pathname_for_package(datapath)
"""
Most Data objects that read data from a specific place have a 'source' of some kind
Here it's a directory
"""
setattr(self, "_datapath", datapath)
def __init__(self, datapath=None, absolute_datapath=None):
"""
Create a FuturesData object for reading .csv files from datapath
inherits from FuturesData
We look for data in .csv files
:param datapath: relative path to find .csv files (defaults to LEGACY_DATA_MODULE/LEGACY_DATA_DIR
:type datapath: None or str
:param absolute_datapath: absolute path to find .csv files (not used if datapath specified)
:type datapath: None or str
:returns: new csvFuturesData object
>>> data=csvFuturesData("sysdata.tests")
>>> data
FuturesData object with 3 instruments
"""
super().__init__()
## Use (1) provided relative datapath, (2) absolute_datapath, (3) default relative datapath
if datapath is not None:
resolved_datapath=get_pathname_for_package(datapath)
else:
if absolute_datapath is not None:
resolved_datapath = absolute_datapath
else:
resolved_datapath = get_pathname_for_package(LEGACY_DATA_PATH)
"""
Most Data objects that read data from a specific place have a 'source' of some kind
Here it's a directory
"""
setattr(self, "_datapath", resolved_datapath)
def __init__(self, datapath=None, absolute_datapath=None):
"""
Create a FuturesData object for reading .csv files from datapath
inherits from FuturesData
We look for data in .csv files
:param datapath: relative path to find .csv files (defaults to LEGACY_DATA_MODULE/LEGACY_DATA_DIR
:type datapath: None or str
:param absolute_datapath: absolute path to find .csv files (not used if datapath specified)
:type datapath: None or str
:returns: new csvFuturesData object
>>> data=csvFuturesData("sysdata.tests")
>>> data
FuturesData object with 3 instruments
"""
super().__init__()
## Use (1) provided relative datapath, (2) absolute_datapath, (3) default relative datapath
if datapath is not None:
resolved_datapath = get_pathname_for_package(datapath)
else:
if absolute_datapath is not None:
resolved_datapath = absolute_datapath
else:
resolved_datapath = get_pathname_for_package(LEGACY_DATA_PATH)
"""
Most Data objects that read data from a specific place have a 'source' of some kind
Here it's a directory
"""
setattr(self, "_datapath", resolved_datapath)
def _get_instrument_data(self):
"""
Get a data frame of interesting information about instruments, either
from a file or cached
:returns: pd.DataFrame
>>> data=csvFuturesConfigDataForSim(datapath_dict=dict(config_data = "sysdata.tests.configtestdata"))
>>> data._get_instrument_data()
Instrument Pointsize AssetClass Currency Shortonly
Instrument
EDOLLAR EDOLLAR 2500 STIR USD False
US10 US10 1000 Bond USD False
BUND BUND 1000 Bond EUR False
>>> data.get_instrument_asset_classes()
Instrument
EDOLLAR STIR
US10 Bond
BUND Bond
Name: AssetClass, dtype: object
>>> data.get_value_of_block_price_move("EDOLLAR")
2500
>>> data.get_instrument_currency("US10")
'USD'
"""
self.log.msg("Loading csv instrument config")
pathname = get_pathname_for_package(
self._resolve_path("config_data", DEFAULT_SIM_CONFIG_PATH))
filename = os.path.join(pathname, "instrumentconfig.csv")
instr_data = pd.read_csv(filename)
instr_data.index = instr_data.Instrument
return instr_data
