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mementum/generate-candles.py

Created October 26, 2019 08:42
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generate-candles.py
import numpy as np
import pandas as pd
COLUMNS = ['open', 'high', 'low', 'close', 'volume', 'openinterest']
CANDLES = 20000
STOCKS
dateindex = pd.date_range(start='2010-01-01', periods=CANDLES, freq='15min')
for i in range(STOCKS):
data = np.random.randint(10, 20, size=(CANDLES, len(COLUMNS)))
df = pd.DataFrame(data * 1.01, dateindex, columns=COLUMNS)
df = df.rename_axis('datetime')
df.to_csv('candles{:02d}.csv'.format(i))
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