def recursive_inputs_shape(
base_calc_type: DataType.Enum, incr_calc_type: DataType.Enum,
t: time.Time, time_spec: calc.CalcTimeSpecs) -> calc.RecursiveInputs:
# TODO: same here, think about how to get it work with period other than
# days. e.g week-based moving averages.
the_day_before = trading_days.get_last_n(time.ToCivil(t),
1,
include_input_date=False)[0]
return (DataEntry(
data_type=base_calc_type,
timestamp=time_util.from_time(time.FromCivil(the_day_before)),
), DataEntry(
data_type=incr_calc_type,
timestamp=time_util.from_time(t),
))
def _make_close_price(value: float, t: time.Time) -> _DataEntry:
return _DataEntry(
symbol='TEST',
data_space=_DataEntry.STOCK_DATA,
data_type=data_type_pb2.DataType.CLOSE_PRICE,
value=value,
timestamp=time_util.from_time(t),
)
def _make_data_base(self, symbol: str, data_date: time.CivilTime,
now: time.time) -> _DataEntry:
data_entry = _DataEntry()
data_entry.symbol = symbol
data_entry.data_space = _DataEntry.STOCK_DATA
data_entry.timestamp.CopyFrom(time_util.from_civil(data_date))
data_entry.updated_at.CopyFrom(time_util.from_time(now))
return data_entry
def get_recursive_inputs_for_ema20(t: time.Time,
symbol: str) -> List[DataEntry]:
return [
DataEntry(
symbol=symbol,
data_space=DataEntry.STOCK_DATA,
data_type=DataType.EMA_20D,
value=58.31,
timestamp=time_util.from_time(t - time.Hours(24)),
),
_make_close_price(symbol, 59.85, t)
]
def series_source_inputs_shape(
source_calc_type: DataType.Enum, t: time.Time,
time_spec: calc.CalcTimeSpecs) -> calc.SourceInputs:
# TODO: right now this is still no properly generalized. For time span
# longer than a day, they should all work. However for day and shorter span,
# they need to be checked against trading days and trading hours.
# NOTE: both FromCivil and ToCivil assumes UTC, which later might
# be updated to take into account the exchange timezone of a
# security.
timestamps = [
time.FromCivil(day) for day in trading_days.get_last_n(
time.ToCivil(t), time_spec.num_periods)
]
return [
DataEntry(
data_type=source_calc_type,
timestamp=time_util.from_time(timestmap),
) for timestmap in timestamps
]
def calculate(self, inputs: calc.CalcInputs) -> DataEntry:
if not inputs:
raise errors.InvalidArgumentError('Inputs cannot be empty')
symbol = input_util.are_for_stock(inputs)
t = time_util.to_time(inputs[-1].timestamp)
try:
input_util.validate_inputs(inputs, self.recursive_inputs_shape(t))
ema = self._recur(inputs)
except errors.InvalidArgumentError:
input_util.validate_inputs(inputs, self.source_inputs_shape(t))
ema = self._initial(inputs)
except errors.InvalidArgumentError as e:
raise e
return DataEntry(
symbol=symbol,
data_space=data_entry_pb2.DataEntry.STOCK_DATA,
data_type=self._calc_type,
value=ema,
timestamp=time_util.from_time(t),
)
def test_ema20_recursive_calculation(self):
date = time.FromCivil(time.CivilTime(2020, 1, 1))
close_now = _make_close_price(60.84, date)
ema_last = _DataEntry(
symbol='TEST',
data_space=_DataEntry.STOCK_DATA,
data_type=data_type_pb2.DataType.EMA_20D,
value=58.46,
timestamp=time_util.from_time(date - time.Hours(24)),
)
assert_that(
ema.make_ema_20d_producer().calculate((ema_last, close_now)),
equals_proto(f"""
symbol: "TEST"
data_space: STOCK_DATA
data_type: EMA_20D
value: 58.68666666666667
timestamp {{
seconds: {time.as_seconds(2020, 1, 1)}
}}"""))