def _convert_tuple_to_market_trade(self, market_trade_order_tuple):
volatile_cache = Mediator.get_volatile_cache(volatile_cache_engine=self._volatile_cache_engine)
# Gather market and trade/order data (which might be stored in a list)
if isinstance(market_trade_order_tuple, list):
market_df_list = []
trade_order_holder = DataFrameHolder()
for market_df_single, trade_order_holder_single in market_trade_order_tuple:
market_df_list.append(market_df_single)
trade_order_holder.add_dataframe_holder(trade_order_holder_single)
market_df_list = volatile_cache.get_dataframe_handle(market_df_list, burn_after_reading=True)
# to ensure that any spurious/None elements are removed
market_df_list = [x for x in market_df_list if isinstance(x, pd.DataFrame)]
# want to make sure the data is properly ordered too (not guarenteed we'll get it back in right order)
market_df = self._time_series_ops.concat_dataframe_list(market_df_list)
else:
market_df = volatile_cache.get_dataframe_handle(market_trade_order_tuple[0], burn_after_reading=True)
trade_order_holder = market_trade_order_tuple[1]
return market_df, trade_order_holder
def get_trade_order_holder(self, tca_request):
"""Gets the trades/orders in the form of a TradeOrderHolder
Parameters
----------
tca_request : TCARequest
Parameters for the TCA computation
Returns
-------
TradeOrderHolder
"""
tca_ticker_loader = Mediator.get_tca_ticker_loader(
version=self._version)
if isinstance(tca_request.ticker, list):
if len(tca_request.ticker) > 1:
tca_request_list = self._split_tca_request_into_list(
tca_request)
trade_order_holder = DataFrameHolder()
for tca_request_single in tca_request_list:
trade_order_holder.add_dataframe_holder(
tca_ticker_loader(version=self._version).
get_trade_order_holder(tca_request_single))
return tca_ticker_loader(
version=self._version).get_trade_order_holder(tca_request)
def get_trade_order_holder(self, tca_request):
tca_ticker_loader = Mediator.get_tca_ticker_loader(
version=self._version)
if isinstance(tca_request.ticker, list):
if len(tca_request.ticker) > 1:
tca_request_list = self._split_tca_request_into_list(
tca_request)
trade_order_holder = DataFrameHolder()
for tca_request_single in tca_request_list:
trade_order_holder.add_dataframe_holder(
tca_ticker_loader(version=self._version).
get_trade_order_holder(tca_request_single))
return tca_ticker_loader(
version=self._version).get_trade_order_holder(tca_request)