def raw_data_gen(self):
bt_data = self._get_backtest_data()
for date in self.index:
backtest_is_done = False
date = date.replace(hour=self.market_open.hour,
minute=self.market_open.minute)
close_hour = date.replace(hour=self.market_close.hour,
minute=self.market_close.minute)
# Trade until the end of the trading day
while date < close_hour:
# Set to opening of the market
self.log.debug('--> next tick {}'.format(date))
# NOTE Make _is_live a property ?
self._is_live = utils.next_tick(date)
data = self._agnostic_get_data_at(date, bt_data)
if not data.empty:
for sid, series in data.iterkv():
if backtest_is_done and not self._is_live:
# TODO Use previous and next data to extrapolate
# random values
self.log.debug('extrapoling intraday data')
yield _build_safe_event(series.to_dict(), date, sid)
backtest_is_done = True
# Done for this event, when is the next ?
date = self._set_next_tick(date)
def raw_data_gen(self):
bt_data = self._get_backtest_data()
for date in self.index:
backtest_is_done = False
date = date.replace(hour=self.market_open.hour,
minute=self.market_open.minute)
close_hour = date.replace(hour=self.market_close.hour,
minute=self.market_close.minute)
# Trade until the end of the trading day
while date < close_hour:
# Set to opening of the market
self.log.debug('--> next tick {}'.format(date))
# NOTE Make _is_live a property ?
self._is_live = utils.next_tick(date)
data = self._agnostic_get_data_at(date, bt_data)
if not data.empty:
for sid, series in data.iterkv():
if backtest_is_done and not self._is_live:
# TODO Use previous and next data to extrapolate
# random values
self.log.debug('extrapoling intraday data')
yield _build_safe_event(series.to_dict(), date, sid)
backtest_is_done = True
# Done for this event, when is the next ?
date = self._set_next_tick(date)
def test_wait_backtest_next_tick(self):
old_dt = dt.datetime(2010, 12, 1, tzinfo=pytz.utc)
self.assertFalse(utils.next_tick(old_dt))
def test_wait_backtest_next_tick(self):
old_dt = dt.datetime(2010, 12, 1, tzinfo=pytz.utc)
self.assertFalse(utils.next_tick(old_dt))
