core.py 文件源码

def make_trade_panel_for_asset_info(dates,
                                    asset_info,
                                    price_start,
                                    price_step_by_date,
                                    price_step_by_sid,
                                    volume_start,
                                    volume_step_by_date,
                                    volume_step_by_sid):
    """

    locations where assets did not exist.
    """
    sids = list(asset_info.index)

    price_sid_deltas = np.arange(len(sids), dtype=float) * price_step_by_sid
    price_date_deltas = np.arange(len(dates), dtype=float) * price_step_by_date
    prices = (price_sid_deltas + price_date_deltas[:, None]) + price_start

    volume_sid_deltas = np.arange(len(sids)) * volume_step_by_sid
    volume_date_deltas = np.arange(len(dates)) * volume_step_by_date
    volumes = (volume_sid_deltas + volume_date_deltas[:, None]) + volume_start

    for j, sid in enumerate(sids):
        start_date, end_date = asset_info.loc[sid, ['start_date', 'end_date']]
        # Normalize here so the we still generate non-NaN values on the minutes
        # for an asset's last trading day.
        for i, date in enumerate(dates.normalize()):
            if not (start_date <= date <= end_date):
                prices[i, j] = np.nan
                volumes[i, j] = 0

    # Legacy panel sources use a flipped convention from what we return
    # elsewhere.
    return pd.Panel(
        {
            'price': prices,
            'volume': volumes,
        },
        major_axis=dates,
        minor_axis=sids,
    ).transpose(2, 1, 0)