factory.py 文件源码

def create_test_df_source(sim_params=None, env=None, bars='daily'):
    if bars == 'daily':
        freq = pd.datetools.BDay()
    elif bars == 'minute':
        freq = pd.datetools.Minute()
    else:
        raise ValueError('%s bars not understood.' % bars)

    if sim_params and bars == 'daily':
        index = sim_params.trading_days
    else:
        if env is None:
            env = TradingEnvironment(load=noop_load)

        start = pd.datetime(1990, 1, 3, 0, 0, 0, 0, pytz.utc)
        end = pd.datetime(1990, 1, 8, 0, 0, 0, 0, pytz.utc)

        days = env.days_in_range(start, end)

        if bars == 'daily':
            index = days
        if bars == 'minute':
            index = pd.DatetimeIndex([], freq=freq)

            for day in days:
                day_index = env.market_minutes_for_day(day)
                index = index.append(day_index)

    x = np.arange(1, len(index) + 1)

    df = pd.DataFrame(x, index=index, columns=[0])

    return DataFrameSource(df), df