forked from letianzj/quanttrader
-
Notifications
You must be signed in to change notification settings - Fork 0
/
Copy pathdata.html
304 lines (174 loc) · 12.5 KB
/
data.html
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
228
229
230
231
232
233
234
235
236
237
238
239
240
241
242
243
244
245
246
247
248
249
250
251
252
253
254
255
256
257
258
259
260
261
262
263
264
265
266
267
268
269
270
271
272
273
274
275
276
277
278
279
280
281
282
283
284
285
286
287
288
289
290
291
292
293
294
295
296
297
298
299
300
301
302
303
304
<!DOCTYPE html>
<html class="writer-html5" lang="en" >
<head>
<meta charset="utf-8">
<meta name="viewport" content="width=device-width, initial-scale=1.0">
<title>Data — quanttrader 0.5.0 documentation</title>
<link rel="stylesheet" href="_static/css/theme.css" type="text/css" />
<link rel="stylesheet" href="_static/pygments.css" type="text/css" />
<!--[if lt IE 9]>
<script src="_static/js/html5shiv.min.js"></script>
<![endif]-->
<script type="text/javascript" id="documentation_options" data-url_root="./" src="_static/documentation_options.js"></script>
<script src="_static/jquery.js"></script>
<script src="_static/underscore.js"></script>
<script src="_static/doctools.js"></script>
<script src="_static/language_data.js"></script>
<script type="text/javascript" src="_static/js/theme.js"></script>
<link rel="index" title="Index" href="genindex.html" />
<link rel="search" title="Search" href="search.html" />
<link rel="next" title="Event" href="event.html" />
<link rel="prev" title="Brokerage" href="brokerage.html" />
</head>
<body class="wy-body-for-nav">
<div class="wy-grid-for-nav">
<nav data-toggle="wy-nav-shift" class="wy-nav-side">
<div class="wy-side-scroll">
<div class="wy-side-nav-search" >
<a href="index.html" class="icon icon-home" alt="Documentation Home"> quanttrader
</a>
<div role="search">
<form id="rtd-search-form" class="wy-form" action="search.html" method="get">
<input type="text" name="q" placeholder="Search docs" />
<input type="hidden" name="check_keywords" value="yes" />
<input type="hidden" name="area" value="default" />
</form>
</div>
</div>
<div class="wy-menu wy-menu-vertical" data-spy="affix" role="navigation" aria-label="main navigation">
<p class="caption"><span class="caption-text">Content</span></p>
<ul>
<li class="toctree-l1"><a class="reference internal" href="introduction.html">Introduction</a></li>
<li class="toctree-l1"><a class="reference internal" href="installation.html">Installation</a></li>
<li class="toctree-l1"><a class="reference internal" href="backtest.html">Backtest</a></li>
<li class="toctree-l1"><a class="reference internal" href="livetrading.html">Live Trading</a></li>
</ul>
<p class="caption"><span class="caption-text">Code Structure</span></p>
<ul class="current">
<li class="toctree-l1"><a class="reference internal" href="brokerage.html">Brokerage</a></li>
<li class="toctree-l1 current"><a class="current reference internal" href="#">Data</a></li>
<li class="toctree-l1"><a class="reference internal" href="event.html">Event</a></li>
<li class="toctree-l1"><a class="reference internal" href="gui.html">GUI</a></li>
<li class="toctree-l1"><a class="reference internal" href="order.html">Order</a></li>
<li class="toctree-l1"><a class="reference internal" href="performance.html">Performance</a></li>
<li class="toctree-l1"><a class="reference internal" href="position.html">Position</a></li>
<li class="toctree-l1"><a class="reference internal" href="risk.html">Risk</a></li>
<li class="toctree-l1"><a class="reference internal" href="strategy.html">Strategy</a></li>
<li class="toctree-l1"><a class="reference internal" href="tradingengine.html">Trading Engine</a></li>
</ul>
</div>
</div>
</nav>
<section data-toggle="wy-nav-shift" class="wy-nav-content-wrap">
<nav class="wy-nav-top" aria-label="top navigation">
<i data-toggle="wy-nav-top" class="fa fa-bars"></i>
<a href="index.html">quanttrader</a>
</nav>
<div class="wy-nav-content">
<div class="rst-content">
<div role="navigation" aria-label="breadcrumbs navigation">
<ul class="wy-breadcrumbs">
<li><a href="index.html" class="icon icon-home"></a> »</li>
<li>Data</li>
<li class="wy-breadcrumbs-aside">
<a href="_sources/data.rst.txt" rel="nofollow"> View page source</a>
</li>
</ul>
<hr/>
</div>
<div role="main" class="document" itemscope="itemscope" itemtype="http://schema.org/Article">
<div itemprop="articleBody">
<div class="section" id="module-quanttrader.data.backtest_data_feed">
<span id="data"></span><h1>Data<a class="headerlink" href="#module-quanttrader.data.backtest_data_feed" title="Permalink to this headline">¶</a></h1>
<dl class="py class">
<dt id="quanttrader.data.backtest_data_feed.BacktestDataFeed">
<em class="property">class </em><code class="sig-prename descclassname">quanttrader.data.backtest_data_feed.</code><code class="sig-name descname">BacktestDataFeed</code><span class="sig-paren">(</span><em class="sig-param"><span class="n">start_date</span><span class="o">=</span><span class="default_value">None</span></em>, <em class="sig-param"><span class="n">end_date</span><span class="o">=</span><span class="default_value">None</span></em><span class="sig-paren">)</span><a class="headerlink" href="#quanttrader.data.backtest_data_feed.BacktestDataFeed" title="Permalink to this definition">¶</a></dt>
<dd><p>BacktestDataFeed uses PLACEHOLDER to stream_next; actual data comes from data_board.get_hist_price
This is an easy way to handle multiple sources</p>
<dl class="py method">
<dt id="quanttrader.data.backtest_data_feed.BacktestDataFeed.stream_next">
<code class="sig-name descname">stream_next</code><span class="sig-paren">(</span><span class="sig-paren">)</span><a class="headerlink" href="#quanttrader.data.backtest_data_feed.BacktestDataFeed.stream_next" title="Permalink to this definition">¶</a></dt>
<dd><p>Place the next TickEvent into the event queue.</p>
</dd></dl>
<dl class="py method">
<dt id="quanttrader.data.backtest_data_feed.BacktestDataFeed.subscribe_market_data">
<code class="sig-name descname">subscribe_market_data</code><span class="sig-paren">(</span><em class="sig-param"><span class="n">symbols</span><span class="o">=</span><span class="default_value">None</span></em><span class="sig-paren">)</span><a class="headerlink" href="#quanttrader.data.backtest_data_feed.BacktestDataFeed.subscribe_market_data" title="Permalink to this definition">¶</a></dt>
<dd><p>subscribe to market data</p>
</dd></dl>
<dl class="py method">
<dt id="quanttrader.data.backtest_data_feed.BacktestDataFeed.unsubscribe_market_data">
<code class="sig-name descname">unsubscribe_market_data</code><span class="sig-paren">(</span><em class="sig-param"><span class="n">symbols</span><span class="o">=</span><span class="default_value">None</span></em><span class="sig-paren">)</span><a class="headerlink" href="#quanttrader.data.backtest_data_feed.BacktestDataFeed.unsubscribe_market_data" title="Permalink to this definition">¶</a></dt>
<dd><p>unsubscribe market data</p>
</dd></dl>
</dd></dl>
<span class="target" id="module-quanttrader.data.data_board"></span><dl class="py class">
<dt id="quanttrader.data.data_board.DataBoard">
<em class="property">class </em><code class="sig-prename descclassname">quanttrader.data.data_board.</code><code class="sig-name descname">DataBoard</code><a class="headerlink" href="#quanttrader.data.data_board.DataBoard" title="Permalink to this definition">¶</a></dt>
<dd><p>Data tracker that holds current market data info</p>
<dl class="py method">
<dt id="quanttrader.data.data_board.DataBoard.get_hist_sym_time_index">
<code class="sig-name descname">get_hist_sym_time_index</code><span class="sig-paren">(</span><em class="sig-param"><span class="n">symbol</span></em><span class="sig-paren">)</span><a class="headerlink" href="#quanttrader.data.data_board.DataBoard.get_hist_sym_time_index" title="Permalink to this definition">¶</a></dt>
<dd><p>retrieve historical calendar for a symbol
this is not look forwward</p>
</dd></dl>
<dl class="py method">
<dt id="quanttrader.data.data_board.DataBoard.get_hist_time_index">
<code class="sig-name descname">get_hist_time_index</code><span class="sig-paren">(</span><span class="sig-paren">)</span><a class="headerlink" href="#quanttrader.data.data_board.DataBoard.get_hist_time_index" title="Permalink to this definition">¶</a></dt>
<dd><p>retrieve historical calendar
this is not look forwward</p>
</dd></dl>
<dl class="py method">
<dt id="quanttrader.data.data_board.DataBoard.get_last_price">
<code class="sig-name descname">get_last_price</code><span class="sig-paren">(</span><em class="sig-param"><span class="n">symbol</span></em><span class="sig-paren">)</span><a class="headerlink" href="#quanttrader.data.data_board.DataBoard.get_last_price" title="Permalink to this definition">¶</a></dt>
<dd><p>Returns the most recent price for a given ticker</p>
</dd></dl>
<dl class="py method">
<dt id="quanttrader.data.data_board.DataBoard.get_last_timestamp">
<code class="sig-name descname">get_last_timestamp</code><span class="sig-paren">(</span><em class="sig-param"><span class="n">symbol</span></em><span class="sig-paren">)</span><a class="headerlink" href="#quanttrader.data.data_board.DataBoard.get_last_timestamp" title="Permalink to this definition">¶</a></dt>
<dd><p>Returns the most recent timestamp for a given ticker</p>
</dd></dl>
</dd></dl>
<span class="target" id="module-quanttrader.data.live_data_feed"></span><dl class="py class">
<dt id="quanttrader.data.live_data_feed.LiveDataFeed">
<em class="property">class </em><code class="sig-prename descclassname">quanttrader.data.live_data_feed.</code><code class="sig-name descname">LiveDataFeed</code><span class="sig-paren">(</span><em class="sig-param"><span class="n">events_queue</span></em>, <em class="sig-param"><span class="n">init_tickers</span><span class="o">=</span><span class="default_value">None</span></em>, <em class="sig-param"><span class="n">start_date</span><span class="o">=</span><span class="default_value">None</span></em>, <em class="sig-param"><span class="n">end_date</span><span class="o">=</span><span class="default_value">None</span></em>, <em class="sig-param"><span class="n">calc_adj_returns</span><span class="o">=</span><span class="default_value">False</span></em><span class="sig-paren">)</span><a class="headerlink" href="#quanttrader.data.live_data_feed.LiveDataFeed" title="Permalink to this definition">¶</a></dt>
<dd><p>Live DataFeed class</p>
<dl class="py method">
<dt id="quanttrader.data.live_data_feed.LiveDataFeed.stream_next">
<code class="sig-name descname">stream_next</code><span class="sig-paren">(</span><span class="sig-paren">)</span><a class="headerlink" href="#quanttrader.data.live_data_feed.LiveDataFeed.stream_next" title="Permalink to this definition">¶</a></dt>
<dd><p>Place the next BarEvent onto the event queue.</p>
</dd></dl>
<dl class="py method">
<dt id="quanttrader.data.live_data_feed.LiveDataFeed.subscribe_ticker">
<code class="sig-name descname">subscribe_ticker</code><span class="sig-paren">(</span><em class="sig-param"><span class="n">ticker</span></em><span class="sig-paren">)</span><a class="headerlink" href="#quanttrader.data.live_data_feed.LiveDataFeed.subscribe_ticker" title="Permalink to this definition">¶</a></dt>
<dd><p>Subscribes the price handler to a new ticker symbol.</p>
</dd></dl>
</dd></dl>
</div>
</div>
</div>
<footer>
<div class="rst-footer-buttons" role="navigation" aria-label="footer navigation">
<a href="event.html" class="btn btn-neutral float-right" title="Event" accesskey="n" rel="next">Next <span class="fa fa-arrow-circle-right"></span></a>
<a href="brokerage.html" class="btn btn-neutral float-left" title="Brokerage" accesskey="p" rel="prev"><span class="fa fa-arrow-circle-left"></span> Previous</a>
</div>
<hr/>
<div role="contentinfo">
<p>
© Copyright 2020, Letian Wang
</p>
</div>
Built with <a href="http://sphinx-doc.org/">Sphinx</a> using a
<a href="https://github.com/rtfd/sphinx_rtd_theme">theme</a>
provided by <a href="https://readthedocs.org">Read the Docs</a>.
</footer>
</div>
</div>
</section>
</div>
<script type="text/javascript">
jQuery(function () {
SphinxRtdTheme.Navigation.enable(true);
});
</script>
</body>
</html>