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