def __init__(self, alpha: float or list or None = EMA_ALPHA):
"""
Data Pipeline constructor.
"""
self.alpha = alpha
self.ema = load_ema(alpha=alpha)
self._scaler = StandardScaler()
def __init__(self, use_arctic=False, z_score=True, alpha=None):
"""
Simulator constructor
:param use_arctic: If TRUE, Simulator creates a connection to Arctic,
Otherwise, no connection is attempted
:param z_score: If TRUE, normalize data with z-score,
ELSE use min-max scaler
"""
self._scaler = StandardScaler() if z_score else MinMaxScaler()
self.cwd = os.path.dirname(os.path.realpath(__file__))
self.ema = load_ema(alpha=alpha)
try:
if use_arctic:
print('Attempting to connect to Arctic...')
self.arctic = Arctic(MONGO_ENDPOINT)
self.arctic.initialize_library(ARCTIC_NAME,
lib_type=TICK_STORE)
self.library = self.arctic[ARCTIC_NAME]
print('Connected to Arctic.')
else:
self.arctic = self.library = None
except Exception as ex:
self.arctic = self.library = None
print('Unable to connect to Arctic database')
print(ex)
def __init__(self, window=INDICATOR_WINDOW, alpha=None):
"""
Indicator constructor
:param window: (int) rolling window used for indicators
:param alpha: (float) decay rate for EMA; if NONE, raw values returned
"""
self.window = window
self.all_history_queue = deque(maxlen=self.window)
self.ema = load_ema(alpha=alpha)
self._value = None
def __init__(self, z_score=True, alpha=None):
"""
Simulator constructor
:param z_score: If TRUE, normalize data with z-score,
ELSE use min-max scaler
"""
self._scaler = StandardScaler() if z_score else MinMaxScaler()
self.cwd = os.path.dirname(os.path.realpath(__file__))
self.ema = load_ema(alpha=alpha)
self.alpha = alpha
self.db = Database(sym='None', exchange='None', record_data=False)