Created
January 3, 2022 03:32
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An OOP approach to Backtrader Timers
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#!/usr/bin/env python | |
# -*- coding: utf-8; py-indent-offset:4 -*- | |
############################################################################### | |
# | |
# Copyright (C) 2021 Emmanuel Katchy | |
# | |
# This program is free software: you can redistribute it and/or modify | |
# it under the terms of the GNU General Public License as published by | |
# the Free Software Foundation, either version 3 of the License, or | |
# (at your option) any later version. | |
# | |
# This program is distributed in the hope that it will be useful, | |
# but WITHOUT ANY WARRANTY; without even the implied warranty of | |
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the | |
# GNU General Public License for more details. | |
# | |
# You should have received a copy of the GNU General Public License | |
# along with this program. If not, see <http://www.gnu.org/licenses/>. | |
# | |
############################################################################### | |
import datetime | |
from pandas.core.indexes.base import ensure_index | |
import pandas_market_calendars as pmcal | |
import pandas as pd | |
import pytz | |
dtime = datetime.datetime | |
class CustFreq: | |
def __init__(self, start_date, end_date, *args, **kwargs): | |
start_date = start_date.replace(tzinfo=pytz.UTC) | |
end_date = end_date.replace(tzinfo=pytz.UTC) | |
self.cal = pmcal.get_calendar(kwargs.get("cal","NYSE")) | |
self.freq = kwargs.get("freq","D") | |
self.valid_days = self.cal.valid_days(start_date, end_date) | |
self.timer_valid_days = [] | |
self.bd_dts = [] | |
cal_range = pd.bdate_range(start_date, end_date) | |
cal_df = pd.DataFrame(index=cal_range, data=cal_range) | |
cal_range = list(cal_df.resample(self.freq).groups) | |
self.timer_valid_days = list(map(pd.Timestamp.to_pydatetime,cal_range)) | |
self.generate_market_dates() | |
def _get_nearest_date(self, dt): | |
later = list(filter(lambda d: d > dt, self.valid_days)) | |
if len(later) == 0: | |
return None | |
closest_date = min(later) | |
return closest_date | |
def generate_market_dates(self): | |
self.bd_dts = [] # Dates that need to be changed to match calendar | |
for indx,i in enumerate(self.timer_valid_days): | |
nd = self._get_nearest_date(i) | |
if i != nd: | |
self.bd_dts.append((i, nd)) | |
else: | |
pass | |
self._replace_out_of_cal_vals() | |
def _replace_out_of_cal_vals(self): | |
for (b,g) in self.bd_dts: | |
indx = self.timer_valid_days.index(b) | |
self.timer_valid_days.remove(b) | |
self.timer_valid_days.insert(indx, g) | |
self._pdtimestamp_to_date() | |
def _pdtimestamp_to_date(self): | |
self.timer_valid_days = list(map(pd.Timestamp, self.timer_valid_days)) | |
self.timer_valid_days = list(map(pd.Timestamp.date, self.timer_valid_days)) | |
def __call__(self, d): | |
if d in self.timer_valid_days: | |
return True | |
return False |
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