def __init__(self, start_time: datetime.datetime, end_time: datetime.datetime, frequency: str):
assert is_aware_datetime(start_time)
assert is_aware_datetime(end_time)
if start_time >= end_time:
raise SettingError(_("START TIME can not bigger than END TIME"))
self.start_time = start_time
self.end_time = end_time
self.frequency = FREQ_DICT.get(frequency)
self.current = start_time
def active_instruments(
self, date_time: datetime.datetime) -> Dict[str, Instrument]:
assert is_aware_datetime(date_time)
active = {}
for instrument in self.instruments.values():
if instrument.expiry_date is None:
active[instrument.symbol] = instrument
continue
if instrument.listing_date is None:
continue
if instrument.listing_date < date_time and instrument.expiry_date > date_time:
active[instrument.symbol] = instrument
return active
def get_last_price(self, symbol: str,
date_time: datetime.datetime) -> float:
assert is_aware_datetime(date_time)
kline = self._kline_store.get(symbol)
time_target = make_datetime_exactly(date_time, "T", forward=False)
try:
bar = kline.loc[time_target]
return bar['close']
except KeyError:
logger.warning(
_("Instrument {} on {} has no bar data., Use 0 as last price".
format(symbol, date_time)))
return 0.0
def get_kline(self, symbol: str, date_time: datetime.datetime,
count: int) -> pandas.DataFrame:
assert is_aware_datetime(date_time)
kline_frame = self._kline_store.get(symbol)
target_klines = kline_count_window(kline_frame, date_time, count)
return target_klines
def test_aware_datetime() -> None:
d1 = datetime.datetime(2018, 1, 1, 12, 0, 0)
assert not is_aware_datetime(d1)
d2 = datetime.datetime(2018, 1, 1, 12, tzinfo=pytz.utc)
assert is_aware_datetime(d2)