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 ticker_to_contract(self, ticker: Ticker) -> IBContract:
ticker = ticker.get_current_specific_ticker() if isinstance(
ticker, FutureTicker) else ticker
contract = self._ticker_to_contract_dict.get(ticker, None)
if not contract and ticker.security_type == SecurityType.FUTURE:
contract = self._create_futures_contract(ticker)
return contract
def get_signal(self, ticker: Ticker, current_exposure: Exposure) -> Signal:
self.ticker_name_to_ticker[ticker.name] = ticker
suggested_exposure = self.calculate_exposure(ticker, current_exposure)
fraction_at_risk = self.calculate_fraction_at_risk(ticker)
specific_ticker = ticker.get_current_specific_ticker() if isinstance(
ticker, FutureTicker) else ticker
last_available_price = self.data_handler.get_last_available_price(
specific_ticker)
signal = Signal(ticker,
suggested_exposure,
fraction_at_risk,
last_available_price,
alpha_model=self)
return signal
def get_signal(self,
ticker: Ticker,
current_exposure: Exposure,
current_time: Optional[datetime] = None,
frequency: Frequency = Frequency.DAILY) -> Signal:
current_time = current_time or datetime.now()
self.ticker_name_to_ticker[ticker.name] = ticker
suggested_exposure = self.calculate_exposure(ticker, current_exposure)
fraction_at_risk = self.calculate_fraction_at_risk(ticker)
specific_ticker = ticker.get_current_specific_ticker() if isinstance(
ticker, FutureTicker) else ticker
last_available_price = self.data_provider.get_last_available_price(
specific_ticker, frequency, current_time)
signal = Signal(ticker,
suggested_exposure,
fraction_at_risk,
last_available_price,
current_time,
alpha_model=self)
return signal
def ticker_to_contract(self, ticker: Ticker) -> Ticker:
""" Maps contract parameters to corresponding ticker. """
contract = ticker.get_current_specific_ticker() if isinstance(
ticker, FutureTicker) else ticker
return contract
def _get_specific_ticker(ticker: Ticker):
return ticker.get_current_specific_ticker() if isinstance(ticker, FutureTicker) else ticker