def create_trade_history(sid, prices, amounts, interval, trading_calendar):
trades = []
current = trading_calendar.first_open
for price, amount in zip(prices, amounts):
trade = create_trade(sid, price, amount, current)
trades.append(trade)
current = get_next_trading_dt(current, interval, trading_calendar)
assert len(trades) == len(prices)
return trades
def create_trade_history(sid, prices, amounts, interval, trading_calendar):
trades = []
current = trading_calendar.first_open
for price, amount in zip(prices, amounts):
trade = create_trade(sid, price, amount, current)
trades.append(trade)
current = get_next_trading_dt(current, interval, trading_calendar)
assert len(trades) == len(prices)
return trades
def create_trade_history(sid, prices, amounts, interval, sim_params,
source_id="test_factory"):
trades = []
current = sim_params.first_open
for price, amount in zip(prices, amounts):
trade = create_trade(sid, price, amount, current, source_id)
trades.append(trade)
current = get_next_trading_dt(current, interval)
assert len(trades) == len(prices)
return trades
def create_fresh_generator(self):
if self.event_list:
event_gen = (event for event in self.event_list)
unfiltered = self.update_source_id(event_gen)
# Set up iterators for each expected field.
else:
if self.concurrent:
# in this context the count is the number of
# trades per sid, not the total.
dates = date_gen(
count=self.count,
start=self.start,
delta=self.delta,
repeats=len(self.sids),
)
else:
dates = date_gen(
count=self.count,
start=self.start,
delta=self.delta
)
prices = mock_prices(self.count)
volumes = mock_volumes(self.count)
sids = cycle(self.sids)
# Combine the iterators into a single iterator of arguments
arg_gen = izip(sids, prices, volumes, dates)
# Convert argument packages into events.
unfiltered = (create_trade(*args, source_id=self.get_hash())
for args in arg_gen)
# If we specified a sid filter, filter out elements that don't
# match the filter.
if self.filter:
filtered = ifilter(
lambda event: event.sid in self.filter, unfiltered)
# Otherwise just use all events.
else:
filtered = unfiltered
# Return the filtered event stream.
return filtered
def create_fresh_generator(self):
if self.event_list:
event_gen = (event for event in self.event_list)
unfiltered = self.update_source_id(event_gen)
# Set up iterators for each expected field.
else:
if self.concurrent:
# in this context the count is the number of
# trades per sid, not the total.
dates = date_gen(
count=self.count,
start=self.start,
delta=self.delta,
repeats=len(self.sids),
)
else:
dates = date_gen(
count=self.count,
start=self.start,
delta=self.delta
)
prices = mock_prices(self.count)
volumes = mock_volumes(self.count)
sids = cycle(self.sids)
# Combine the iterators into a single iterator of arguments
arg_gen = izip(sids, prices, volumes, dates)
# Convert argument packages into events.
unfiltered = (create_trade(*args, source_id=self.get_hash())
for args in arg_gen)
# If we specified a sid filter, filter out elements that don't
# match the filter.
if self.filter:
filtered = ifilter(
lambda event: event.sid in self.filter, unfiltered)
# Otherwise just use all events.
else:
filtered = unfiltered
# Return the filtered event stream.
return filtered
def create_trade_history(sid,
prices,
amounts,
interval,
sim_params,
source_id="test_factory"):
trades = []
current = sim_params.first_open
for price, amount in zip(prices, amounts):
trade = create_trade(sid, price, amount, current, source_id)
trades.append(trade)
current = get_next_trading_dt(current, interval)
assert len(trades) == len(prices)
return trades
