知微
fa45d8aa5f
- health_checklist.json: 192.168.1.122→node122
- ocr_client.py: docstring IP→node122
- docs/market-data-requirements.md: IP→node122
- 所有API调用通过ProxyHandler({})绕过系统代理
Privoxy对node122:18003返回500，直连正常
91 lines
2.7 KiB
Python
91 lines
2.7 KiB
Python
from datetime import time
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from zoneinfo import ZoneInfo
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import numpy as np
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import pandas as pd
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from pandas.tseries.holiday import GoodFriday
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from exchange_calendars.calendar_helpers import UTC
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from exchange_calendars.exchange_calendar import ExchangeCalendar, HolidayCalendar
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from exchange_calendars.us_holidays import Christmas, USNewYearsDay
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# Number of hours of offset between the open and close times dictated by this
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# calendar versus the 6:31am to 5:00pm times over which we want to simulate
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# futures algos.
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FUTURES_OPEN_TIME_OFFSET = 12.5
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FUTURES_CLOSE_TIME_OFFSET = -1
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class QuantopianUSFuturesCalendar(ExchangeCalendar):
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"""Synthetic calendar for trading US futures.
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This calendar is a superset of all of the US futures exchange
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calendars provided by Zipline (CFE, CME, ICE), and is intended for
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trading across all of these exchanges.
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Notes
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-----
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Open Time: 6:00 PM, America/New_York
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Close Time: 6:00 PM, America/New_York
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Regularly-Observed Holidays:
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- New Years Day
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- Good Friday
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- Christmas
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In order to align the hours of each session, we ignore the Sunday
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CME Pre-Open hour (5-6pm).
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"""
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name = "us_futures"
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tz = ZoneInfo("America/New_York")
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open_times = ((None, time(18)),)
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close_times = ((None, time(18)),)
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open_offset = -1
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def execution_time_from_open(self, open_dates):
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return open_dates + pd.Timedelta(hours=FUTURES_OPEN_TIME_OFFSET)
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def execution_time_from_close(self, close_dates):
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return close_dates + pd.Timedelta(hours=FUTURES_CLOSE_TIME_OFFSET)
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def execution_minutes_for_session(
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self, session_label: pd.DatetimeIndex
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) -> pd.DatetimeIndex:
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"""
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Given a session label, return the execution minutes for that session.
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Parameters
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----------
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session_label
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A session label whose session's minutes are desired.
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Returns
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-------
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pd.DateTimeIndex
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All the execution minutes for the given session.
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"""
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start = self.execution_time_from_open(self.session_first_minute(session_label))
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end = self.execution_time_from_close(self.session_last_minute(session_label))
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return self.minutes_in_range(start=start, end=end)
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def execution_minutes_for_sessions_in_range(self, start, stop):
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minutes = self.execution_minutes_for_session
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return pd.DatetimeIndex(
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np.concatenate(
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[minutes(session) for session in self.sessions_in_range(start, stop)]
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),
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tz=UTC,
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)
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@property
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def regular_holidays(self):
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return HolidayCalendar(
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[
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USNewYearsDay,
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GoodFriday,
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Christmas,
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]
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)
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