def make_minute_bar_data(cls):
# asset1 has trades every minute
# asset2 has trades every 10 minutes
# split_asset trades every minute
# illiquid_split_asset trades every 10 minutes
for sid in (1, cls.SPLIT_ASSET_SID):
yield sid, create_minute_df_for_asset(
cls.env,
cls.bcolz_minute_bar_days[0],
cls.bcolz_minute_bar_days[-1],
)
for sid in (2, cls.ILLIQUID_SPLIT_ASSET_SID):
yield sid, create_minute_df_for_asset(
cls.env,
cls.bcolz_minute_bar_days[0],
cls.bcolz_minute_bar_days[-1],
10,
)
yield cls.HILARIOUSLY_ILLIQUID_ASSET_SID, create_minute_df_for_asset(
cls.env,
cls.bcolz_minute_bar_days[0],
cls.bcolz_minute_bar_days[-1],
50,
)
def make_equity_minute_bar_data(cls):
# asset1 has trades every minute
# asset2 has trades every 10 minutes
# split_asset trades every minute
# illiquid_split_asset trades every 10 minutes
for sid in (1, cls.SPLIT_ASSET_SID):
yield sid, create_minute_df_for_asset(
cls.trading_calendar,
cls.equity_minute_bar_days[0],
cls.equity_minute_bar_days[-1],
)
for sid in (2, cls.ILLIQUID_SPLIT_ASSET_SID):
yield sid, create_minute_df_for_asset(
cls.trading_calendar,
cls.equity_minute_bar_days[0],
cls.equity_minute_bar_days[-1],
10,
)
yield cls.HILARIOUSLY_ILLIQUID_ASSET_SID, create_minute_df_for_asset(
cls.trading_calendar,
cls.equity_minute_bar_days[0],
cls.equity_minute_bar_days[-1],
50,
)
def make_minute_bar_data(cls):
# asset1 has trades every minute
# asset2 has trades every 10 minutes
# split_asset trades every minute
# illiquid_split_asset trades every 10 minutes
return merge(
{
sid: create_minute_df_for_asset(
cls.env,
cls.bcolz_minute_bar_days[0],
cls.bcolz_minute_bar_days[-1],
)
for sid in (1, cls.SPLIT_ASSET_SID)
},
{
sid: create_minute_df_for_asset(
cls.env,
cls.bcolz_minute_bar_days[0],
cls.bcolz_minute_bar_days[-1],
10,
)
for sid in (2, cls.ILLIQUID_SPLIT_ASSET_SID)
},
{
cls.HILARIOUSLY_ILLIQUID_ASSET_SID: create_minute_df_for_asset(
cls.env,
cls.bcolz_minute_bar_days[0],
cls.bcolz_minute_bar_days[-1],
50,
)
},
)
def make_minute_bar_data(cls):
# asset1 has trades every minute
# asset2 has trades every 10 minutes
# split_asset trades every minute
# illiquid_split_asset trades every 10 minutes
return merge(
{
sid: create_minute_df_for_asset(
cls.env,
cls.bcolz_minute_bar_days[0],
cls.bcolz_minute_bar_days[-1],
)
for sid in (1, cls.SPLIT_ASSET_SID)
},
{
sid: create_minute_df_for_asset(
cls.env,
cls.bcolz_minute_bar_days[0],
cls.bcolz_minute_bar_days[-1],
10,
)
for sid in (2, cls.ILLIQUID_SPLIT_ASSET_SID)
},
{
cls.HILARIOUSLY_ILLIQUID_ASSET_SID:
create_minute_df_for_asset(
cls.env,
cls.bcolz_minute_bar_days[0],
cls.bcolz_minute_bar_days[-1],
50,
)
},
)
def make_equity_minute_bar_data(cls):
# asset1 has trades every minute
yield 1, create_minute_df_for_asset(
cls.trading_calendar,
cls.equity_minute_bar_days[0],
cls.equity_minute_bar_days[-1],
)
def make_minute_bar_data(cls):
for sid in cls.sids:
yield sid, create_minute_df_for_asset(
cls.env,
cls.SIM_PARAMS_START,
cls.SIM_PARAMS_END,
)
def make_equity_minute_bar_data(cls):
for sid in cls.sids:
yield sid, create_minute_df_for_asset(
cls.trading_schedule,
cls.SIM_PARAMS_START,
cls.SIM_PARAMS_END,
)
def make_equity_minute_bar_data(cls):
for sid in cls.sids:
yield sid, create_minute_df_for_asset(
cls.trading_schedule,
cls.SIM_PARAMS_START,
cls.SIM_PARAMS_END,
)
def make_equity_minute_bar_data(cls):
# asset1 has trades every minute
yield 1, create_minute_df_for_asset(
cls.trading_calendar,
cls.equity_minute_bar_days[0],
cls.equity_minute_bar_days[-1],
)
def make_minute_bar_data(cls):
return {
sid: create_minute_df_for_asset(
cls.env,
cls.SIM_PARAMS_START,
cls.SIM_PARAMS_END,
)
for sid in cls.sids
}
