def make_minute_bar_data(cls): # asset1 has trades every minute # asset2 has trades every 10 minutes # split_asset trades every minute # illiquid_split_asset trades every 10 minutes for sid in (1, cls.SPLIT_ASSET_SID): yield sid, create_minute_df_for_asset( cls.env, cls.bcolz_minute_bar_days[0], cls.bcolz_minute_bar_days[-1], ) for sid in (2, cls.ILLIQUID_SPLIT_ASSET_SID): yield sid, create_minute_df_for_asset( cls.env, cls.bcolz_minute_bar_days[0], cls.bcolz_minute_bar_days[-1], 10, ) yield cls.HILARIOUSLY_ILLIQUID_ASSET_SID, create_minute_df_for_asset( cls.env, cls.bcolz_minute_bar_days[0], cls.bcolz_minute_bar_days[-1], 50, )
def make_equity_minute_bar_data(cls): # asset1 has trades every minute # asset2 has trades every 10 minutes # split_asset trades every minute # illiquid_split_asset trades every 10 minutes for sid in (1, cls.SPLIT_ASSET_SID): yield sid, create_minute_df_for_asset( cls.trading_calendar, cls.equity_minute_bar_days[0], cls.equity_minute_bar_days[-1], ) for sid in (2, cls.ILLIQUID_SPLIT_ASSET_SID): yield sid, create_minute_df_for_asset( cls.trading_calendar, cls.equity_minute_bar_days[0], cls.equity_minute_bar_days[-1], 10, ) yield cls.HILARIOUSLY_ILLIQUID_ASSET_SID, create_minute_df_for_asset( cls.trading_calendar, cls.equity_minute_bar_days[0], cls.equity_minute_bar_days[-1], 50, )
def make_minute_bar_data(cls): # asset1 has trades every minute # asset2 has trades every 10 minutes # split_asset trades every minute # illiquid_split_asset trades every 10 minutes return merge( { sid: create_minute_df_for_asset( cls.env, cls.bcolz_minute_bar_days[0], cls.bcolz_minute_bar_days[-1], ) for sid in (1, cls.SPLIT_ASSET_SID) }, { sid: create_minute_df_for_asset( cls.env, cls.bcolz_minute_bar_days[0], cls.bcolz_minute_bar_days[-1], 10, ) for sid in (2, cls.ILLIQUID_SPLIT_ASSET_SID) }, { cls.HILARIOUSLY_ILLIQUID_ASSET_SID: create_minute_df_for_asset( cls.env, cls.bcolz_minute_bar_days[0], cls.bcolz_minute_bar_days[-1], 50, ) }, )
def make_minute_bar_data(cls): # asset1 has trades every minute # asset2 has trades every 10 minutes # split_asset trades every minute # illiquid_split_asset trades every 10 minutes return merge( { sid: create_minute_df_for_asset( cls.env, cls.bcolz_minute_bar_days[0], cls.bcolz_minute_bar_days[-1], ) for sid in (1, cls.SPLIT_ASSET_SID) }, { sid: create_minute_df_for_asset( cls.env, cls.bcolz_minute_bar_days[0], cls.bcolz_minute_bar_days[-1], 10, ) for sid in (2, cls.ILLIQUID_SPLIT_ASSET_SID) }, { cls.HILARIOUSLY_ILLIQUID_ASSET_SID: create_minute_df_for_asset( cls.env, cls.bcolz_minute_bar_days[0], cls.bcolz_minute_bar_days[-1], 50, ) }, )
def make_equity_minute_bar_data(cls): # asset1 has trades every minute yield 1, create_minute_df_for_asset( cls.trading_calendar, cls.equity_minute_bar_days[0], cls.equity_minute_bar_days[-1], )
def make_minute_bar_data(cls): for sid in cls.sids: yield sid, create_minute_df_for_asset( cls.env, cls.SIM_PARAMS_START, cls.SIM_PARAMS_END, )
def make_equity_minute_bar_data(cls): for sid in cls.sids: yield sid, create_minute_df_for_asset( cls.trading_schedule, cls.SIM_PARAMS_START, cls.SIM_PARAMS_END, )
def make_equity_minute_bar_data(cls): for sid in cls.sids: yield sid, create_minute_df_for_asset( cls.trading_schedule, cls.SIM_PARAMS_START, cls.SIM_PARAMS_END, )
def make_equity_minute_bar_data(cls): # asset1 has trades every minute yield 1, create_minute_df_for_asset( cls.trading_calendar, cls.equity_minute_bar_days[0], cls.equity_minute_bar_days[-1], )
def make_minute_bar_data(cls): return { sid: create_minute_df_for_asset( cls.env, cls.SIM_PARAMS_START, cls.SIM_PARAMS_END, ) for sid in cls.sids }