def extract_prices_at_times(prices_dfs: List[pd.DataFrame], seconds_list):
time_prices_dict = {}
for seconds in seconds_list:
time_prices_dict[seconds] = []
sim_index = 0
for price_df in prices_dfs:
for seconds in seconds_list:
price = DataUtils.get_last_price_before(price_df, seconds)
time_prices_dict[seconds].append(price)
sim_index += 1
return time_prices_dict
def extract_mid_prices_at_times(all_sims, seconds_list):
time_prices_dict = {}
for seconds in seconds_list:
time_prices_dict[seconds] = []
sim_index = 0
for sim in all_sims:
midprices_dd = sim[3]
midprices_df = midprices_dd.compute()
midprices_df['time'] = DataUtils().get_times_in_seconds_after_start(midprices_df['time'])
for seconds in seconds_list:
price = DataUtils.get_last_price_before(midprices_df, seconds)
time_prices_dict[seconds].append(price)
sim_index += 1
return time_prices_dict
def get_monte_carlo_data(self, sim_analysis):
sim_prices = {}
times = self.get_xaxis_times()
for index in range(0, len(sim_analysis.all_sims)):
sim_prices[index] = []
for index in range(0, len(sim_analysis.all_sims)):
sim = sim_analysis.all_sims[index]
trades_dd = sim[1]
trades_df = trades_dd.compute()
if len(trades_df) == 0:
continue
trades_df['time'] = DataUtils().get_times_in_seconds_after_start(trades_df['time'])
for seconds in times:
price = DataUtils.get_last_price_before(trades_df, seconds)
sim_prices[index].append(price)
return sim_prices
def get_prices_at_times(self, seconds_list: List[int]):
map(lambda x: DataUtils.get_last_price_before(self.trades_df, x), seconds_list)
