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