def _get_prices_df(self, ticker: Ticker, start_date: datetime, end_date: datetime) -> PricesDataFrame:
""" Returns non-adjusted open and close prices, indexed with the Market Open and Market Close time."""
if isinstance(ticker, FutureTicker):
ticker.initialize_data_provider(SettableTimer(end_date), self._data_provider)
tickers_chain = ticker.get_expiration_dates()
if start_date >= tickers_chain.index[-1] or end_date <= tickers_chain.index[0]:
# If the futures chain starts after the _end_date or ends before the _start_date - no data available
return PricesDataFrame()
# Get all tickers from the chain that were valid between the start_date and expiration date of the
# currently valid ticker
end_date = tickers_chain[tickers_chain == ticker.get_current_specific_ticker()].index[0]
tickers_chain = tickers_chain.loc[start_date:end_date]
tickers = tickers_chain.values.tolist()
open_prices = self._data_provider.get_price(tickers, PriceField.Open, start_date, end_date)
close_prices = self._data_provider.get_price(tickers, PriceField.Close, start_date, end_date)
else:
open_prices = self._data_provider.get_price([ticker], PriceField.Open, start_date, end_date)
close_prices = self._data_provider.get_price([ticker], PriceField.Close, start_date, end_date)
open_prices.index = [dt + MarketOpenEvent.trigger_time() for dt in open_prices.index]
close_prices.index = [dt + MarketCloseEvent.trigger_time() for dt in close_prices.index]
prices = concat([open_prices, close_prices]).sort_index()
return prices
def _generate_buy_and_hold_returns(self,
ticker: Ticker) -> SimpleReturnsSeries:
""" Computes series of simple returns, which would be returned by the Buy and Hold strategy. """
if isinstance(ticker, FutureTicker):
try:
ticker.initialize_data_provider(SettableTimer(self._end_date),
self._data_provider)
futures_chain = FuturesChain(
ticker, self._data_provider,
FuturesAdjustmentMethod.BACK_ADJUSTED)
prices_series = futures_chain.get_price(
PriceField.Close, self._start_date, self._end_date)
except NoValidTickerException:
prices_series = PricesSeries()
else:
prices_series = self._data_provider.get_price(
ticker, PriceField.Close, self._start_date, self._end_date)
returns_tms = prices_series.to_simple_returns().replace(
[-np.inf, np.inf], np.nan).fillna(0.0)
returns_tms.name = "Buy and Hold"
return returns_tms