Generated by Cython 3.0.12
Yellow lines hint at Python interaction.
Click on a line that starts with a "+
" to see the C code that Cython generated for it.
Raw output: _minute_bar_internal.c
+001: from numpy cimport ndarray, longlong_t
__pyx_t_3 = __Pyx_PyDict_NewPresized(0); if (unlikely(!__pyx_t_3)) __PYX_ERR(0, 1, __pyx_L1_error) __Pyx_GOTREF(__pyx_t_3); if (PyDict_SetItem(__pyx_d, __pyx_n_s_test, __pyx_t_3) < 0) __PYX_ERR(0, 1, __pyx_L1_error) __Pyx_DECREF(__pyx_t_3); __pyx_t_3 = 0;
+002: from numpy import searchsorted
__pyx_t_2 = PyList_New(1); if (unlikely(!__pyx_t_2)) __PYX_ERR(0, 2, __pyx_L1_error) __Pyx_GOTREF(__pyx_t_2); __Pyx_INCREF(__pyx_n_s_searchsorted); __Pyx_GIVEREF(__pyx_n_s_searchsorted); if (__Pyx_PyList_SET_ITEM(__pyx_t_2, 0, __pyx_n_s_searchsorted)) __PYX_ERR(0, 2, __pyx_L1_error); __pyx_t_3 = __Pyx_Import(__pyx_n_s_numpy, __pyx_t_2, 0); if (unlikely(!__pyx_t_3)) __PYX_ERR(0, 2, __pyx_L1_error) __Pyx_GOTREF(__pyx_t_3); __Pyx_DECREF(__pyx_t_2); __pyx_t_2 = 0; __pyx_t_2 = __Pyx_ImportFrom(__pyx_t_3, __pyx_n_s_searchsorted); if (unlikely(!__pyx_t_2)) __PYX_ERR(0, 2, __pyx_L1_error) __Pyx_GOTREF(__pyx_t_2); if (PyDict_SetItem(__pyx_d, __pyx_n_s_searchsorted, __pyx_t_2) < 0) __PYX_ERR(0, 2, __pyx_L1_error) __Pyx_DECREF(__pyx_t_2); __pyx_t_2 = 0; __Pyx_DECREF(__pyx_t_3); __pyx_t_3 = 0;
003: from cpython cimport bool
004: cimport cython
005:
+006: cdef inline int int_min(int a, int b): return a if a <= b else b
static CYTHON_INLINE int __pyx_f_7zipline_4data_20_minute_bar_internal_int_min(int __pyx_v_a, int __pyx_v_b) { int __pyx_r; __Pyx_TraceDeclarations __Pyx_TraceCall("int_min", __pyx_f[0], 6, 0, __PYX_ERR(0, 6, __pyx_L1_error)); __pyx_t_2 = (__pyx_v_a <= __pyx_v_b); if (__pyx_t_2) { __pyx_t_1 = __pyx_v_a; } else { __pyx_t_1 = __pyx_v_b; } __pyx_r = __pyx_t_1; goto __pyx_L0; /* function exit code */ __pyx_L1_error:; __Pyx_AddTraceback("zipline.data._minute_bar_internal.int_min", __pyx_clineno, __pyx_lineno, __pyx_filename); __pyx_r = -1; __pyx_L0:; __Pyx_TraceReturn(Py_None, 0); return __pyx_r; }
007:
+008: @cython.cdivision(True)
/* Python wrapper */ static PyObject *__pyx_pw_7zipline_4data_20_minute_bar_internal_1minute_value(PyObject *__pyx_self, #if CYTHON_METH_FASTCALL PyObject *const *__pyx_args, Py_ssize_t __pyx_nargs, PyObject *__pyx_kwds #else PyObject *__pyx_args, PyObject *__pyx_kwds #endif ); /*proto*/ PyDoc_STRVAR(__pyx_doc_7zipline_4data_20_minute_bar_internal_minute_value, "\n Finds the value of the minute represented by `pos` in the given array of\n market opens.\n\n Parameters\n ----------\n market_opens: numpy array of ints\n Market opens, in minute epoch values.\n\n pos: int\n The index of the desired minute.\n\n minutes_per_day: int\n The number of minutes per day (e.g. 390 for NYSE).\n\n Returns\n -------\n int: The minute epoch value of the desired minute.\n "); static PyMethodDef __pyx_mdef_7zipline_4data_20_minute_bar_internal_1minute_value = {"minute_value", (PyCFunction)(void*)(__Pyx_PyCFunction_FastCallWithKeywords)__pyx_pw_7zipline_4data_20_minute_bar_internal_1minute_value, __Pyx_METH_FASTCALL|METH_KEYWORDS, __pyx_doc_7zipline_4data_20_minute_bar_internal_minute_value}; static PyObject *__pyx_pw_7zipline_4data_20_minute_bar_internal_1minute_value(PyObject *__pyx_self, #if CYTHON_METH_FASTCALL PyObject *const *__pyx_args, Py_ssize_t __pyx_nargs, PyObject *__pyx_kwds #else PyObject *__pyx_args, PyObject *__pyx_kwds #endif ) { PyArrayObject *__pyx_v_market_opens = 0; Py_ssize_t __pyx_v_pos; short __pyx_v_minutes_per_day; #if !CYTHON_METH_FASTCALL CYTHON_UNUSED Py_ssize_t __pyx_nargs; #endif CYTHON_UNUSED PyObject *const *__pyx_kwvalues; PyObject *__pyx_r = 0; __Pyx_RefNannyDeclarations __Pyx_RefNannySetupContext("minute_value (wrapper)", 0); #if !CYTHON_METH_FASTCALL #if CYTHON_ASSUME_SAFE_MACROS __pyx_nargs = PyTuple_GET_SIZE(__pyx_args); #else __pyx_nargs = PyTuple_Size(__pyx_args); if (unlikely(__pyx_nargs < 0)) return NULL; #endif #endif __pyx_kwvalues = __Pyx_KwValues_FASTCALL(__pyx_args, __pyx_nargs); { PyObject **__pyx_pyargnames[] = {&__pyx_n_s_market_opens,&__pyx_n_s_pos,&__pyx_n_s_minutes_per_day,0}; PyObject* values[3] = {0,0,0}; if (__pyx_kwds) { Py_ssize_t kw_args; switch (__pyx_nargs) { case 3: values[2] = __Pyx_Arg_FASTCALL(__pyx_args, 2); CYTHON_FALLTHROUGH; case 2: values[1] = __Pyx_Arg_FASTCALL(__pyx_args, 1); CYTHON_FALLTHROUGH; case 1: values[0] = __Pyx_Arg_FASTCALL(__pyx_args, 0); CYTHON_FALLTHROUGH; case 0: break; default: goto __pyx_L5_argtuple_error; } kw_args = __Pyx_NumKwargs_FASTCALL(__pyx_kwds); switch (__pyx_nargs) { case 0: if (likely((values[0] = __Pyx_GetKwValue_FASTCALL(__pyx_kwds, __pyx_kwvalues, __pyx_n_s_market_opens)) != 0)) { (void)__Pyx_Arg_NewRef_FASTCALL(values[0]); kw_args--; } else if (unlikely(PyErr_Occurred())) __PYX_ERR(0, 8, __pyx_L3_error) else goto __pyx_L5_argtuple_error; CYTHON_FALLTHROUGH; case 1: if (likely((values[1] = __Pyx_GetKwValue_FASTCALL(__pyx_kwds, __pyx_kwvalues, __pyx_n_s_pos)) != 0)) { (void)__Pyx_Arg_NewRef_FASTCALL(values[1]); kw_args--; } else if (unlikely(PyErr_Occurred())) __PYX_ERR(0, 8, __pyx_L3_error) else { __Pyx_RaiseArgtupleInvalid("minute_value", 1, 3, 3, 1); __PYX_ERR(0, 8, __pyx_L3_error) } CYTHON_FALLTHROUGH; 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009: def minute_value(ndarray[longlong_t, ndim=1] market_opens,
010: Py_ssize_t pos,
011: short minutes_per_day):
012: """
013: Finds the value of the minute represented by `pos` in the given array of
014: market opens.
015:
016: Parameters
017: ----------
018: market_opens: numpy array of ints
019: Market opens, in minute epoch values.
020:
021: pos: int
022: The index of the desired minute.
023:
024: minutes_per_day: int
025: The number of minutes per day (e.g. 390 for NYSE).
026:
027: Returns
028: -------
029: int: The minute epoch value of the desired minute.
030: """
031: cdef short q, r
032:
+033: q = cython.cdiv(pos, minutes_per_day)
__pyx_v_q = (__pyx_v_pos / __pyx_v_minutes_per_day);
+034: r = cython.cmod(pos, minutes_per_day)
__pyx_v_r = (__pyx_v_pos % __pyx_v_minutes_per_day);
035:
+036: return market_opens[q] + r
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037:
+038: def find_position_of_minute(ndarray[longlong_t, ndim=1] market_opens,
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039: ndarray[longlong_t, ndim=1] market_closes,
040: longlong_t minute_val,
041: short minutes_per_day,
042: bool forward_fill):
043: """
044: Finds the position of a given minute in the given array of market opens.
045: If not a market minute, adjusts to the last market minute.
046:
047: Parameters
048: ----------
049: market_opens: numpy array of ints
050: Market opens, in minute epoch values.
051:
052: market_closes: numpy array of ints
053: Market closes, in minute epoch values.
054:
055: minute_val: int
056: The desired minute, as a minute epoch.
057:
058: minutes_per_day: int
059: The number of minutes per day (e.g. 390 for NYSE).
060:
061: forward_fill: bool
062: Whether to use the previous market minute if the given minute does
063: not fall within an open/close pair.
064:
065: Returns
066: -------
067: int: The position of the given minute in the market opens array.
068:
069: Raises
070: ------
071: ValueError
072: If the given minute is not between a single open/close pair AND
073: forward_fill is False. For example, if minute_val is 17:00 Eastern
074: for a given day whose normal hours are 9:30 to 16:00, and we are not
075: forward filling, ValueError is raised.
076: """
077: cdef Py_ssize_t market_open_loc, market_open, delta
078:
079: market_open_loc = \
+080: searchsorted(market_opens, minute_val, side='right') - 1
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+081: market_open = market_opens[market_open_loc]
__pyx_t_6 = __pyx_v_market_open_loc; __pyx_t_7 = -1; if (__pyx_t_6 < 0) { __pyx_t_6 += __pyx_pybuffernd_market_opens.diminfo[0].shape; if (unlikely(__pyx_t_6 < 0)) __pyx_t_7 = 0; } else if (unlikely(__pyx_t_6 >= __pyx_pybuffernd_market_opens.diminfo[0].shape)) __pyx_t_7 = 0; if (unlikely(__pyx_t_7 != -1)) { __Pyx_RaiseBufferIndexError(__pyx_t_7); __PYX_ERR(0, 81, __pyx_L1_error) } __pyx_v_market_open = (*__Pyx_BufPtrStrided1d(__pyx_t_5numpy_longlong_t *, __pyx_pybuffernd_market_opens.rcbuffer->pybuffer.buf, __pyx_t_6, __pyx_pybuffernd_market_opens.diminfo[0].strides));
+082: market_close = market_closes[market_open_loc]
__pyx_t_6 = __pyx_v_market_open_loc; __pyx_t_7 = -1; if (__pyx_t_6 < 0) { __pyx_t_6 += __pyx_pybuffernd_market_closes.diminfo[0].shape; if (unlikely(__pyx_t_6 < 0)) __pyx_t_7 = 0; } else if (unlikely(__pyx_t_6 >= __pyx_pybuffernd_market_closes.diminfo[0].shape)) __pyx_t_7 = 0; if (unlikely(__pyx_t_7 != -1)) { __Pyx_RaiseBufferIndexError(__pyx_t_7); __PYX_ERR(0, 82, __pyx_L1_error) } __pyx_t_2 = __Pyx_PyInt_From_npy_longlong((*__Pyx_BufPtrStrided1d(__pyx_t_5numpy_longlong_t *, __pyx_pybuffernd_market_closes.rcbuffer->pybuffer.buf, __pyx_t_6, __pyx_pybuffernd_market_closes.diminfo[0].strides))); if (unlikely(!__pyx_t_2)) __PYX_ERR(0, 82, __pyx_L1_error) __Pyx_GOTREF(__pyx_t_2); __pyx_v_market_close = __pyx_t_2; __pyx_t_2 = 0;
083:
+084: if not forward_fill and ((minute_val - market_open) >= minutes_per_day):
__pyx_t_9 = __Pyx_PyObject_IsTrue(((PyObject *)__pyx_v_forward_fill)); if (unlikely((__pyx_t_9 < 0))) __PYX_ERR(0, 84, __pyx_L1_error) __pyx_t_10 = (!__pyx_t_9); if (__pyx_t_10) { } else { __pyx_t_8 = __pyx_t_10; goto __pyx_L4_bool_binop_done; } __pyx_t_10 = ((__pyx_v_minute_val - __pyx_v_market_open) >= __pyx_v_minutes_per_day); __pyx_t_8 = __pyx_t_10; __pyx_L4_bool_binop_done:; if (unlikely(__pyx_t_8)) { /* … */ }
+085: raise ValueError("Given minute is not between an open and a close")
__pyx_t_2 = __Pyx_PyObject_Call(__pyx_builtin_ValueError, __pyx_tuple__5, NULL); if (unlikely(!__pyx_t_2)) __PYX_ERR(0, 85, __pyx_L1_error) __Pyx_GOTREF(__pyx_t_2); __Pyx_Raise(__pyx_t_2, 0, 0, 0); __Pyx_DECREF(__pyx_t_2); __pyx_t_2 = 0; __PYX_ERR(0, 85, __pyx_L1_error) /* … */ __pyx_tuple__5 = PyTuple_Pack(1, __pyx_kp_u_Given_minute_is_not_between_an_o); if (unlikely(!__pyx_tuple__5)) __PYX_ERR(0, 85, __pyx_L1_error) __Pyx_GOTREF(__pyx_tuple__5); __Pyx_GIVEREF(__pyx_tuple__5);
086:
+087: delta = int_min(minute_val - market_open, market_close - market_open)
__pyx_t_2 = PyInt_FromSsize_t(__pyx_v_market_open); if (unlikely(!__pyx_t_2)) __PYX_ERR(0, 87, __pyx_L1_error) __Pyx_GOTREF(__pyx_t_2); __pyx_t_4 = PyNumber_Subtract(__pyx_v_market_close, __pyx_t_2); if (unlikely(!__pyx_t_4)) __PYX_ERR(0, 87, __pyx_L1_error) __Pyx_GOTREF(__pyx_t_4); __Pyx_DECREF(__pyx_t_2); __pyx_t_2 = 0; __pyx_t_7 = __Pyx_PyInt_As_int(__pyx_t_4); if (unlikely((__pyx_t_7 == (int)-1) && PyErr_Occurred())) __PYX_ERR(0, 87, __pyx_L1_error) __Pyx_DECREF(__pyx_t_4); __pyx_t_4 = 0; __pyx_t_11 = __pyx_f_7zipline_4data_20_minute_bar_internal_int_min((__pyx_v_minute_val - __pyx_v_market_open), __pyx_t_7); if (unlikely(__pyx_t_11 == ((int)-1) && PyErr_Occurred())) __PYX_ERR(0, 87, __pyx_L1_error) __pyx_v_delta = __pyx_t_11;
088:
+089: return (market_open_loc * minutes_per_day) + delta
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090:
+091: def find_last_traded_position_internal(
/* Python wrapper */ static PyObject *__pyx_pw_7zipline_4data_20_minute_bar_internal_5find_last_traded_position_internal(PyObject *__pyx_self, #if CYTHON_METH_FASTCALL PyObject *const *__pyx_args, Py_ssize_t __pyx_nargs, PyObject *__pyx_kwds #else PyObject *__pyx_args, PyObject *__pyx_kwds #endif ); /*proto*/ PyDoc_STRVAR(__pyx_doc_7zipline_4data_20_minute_bar_internal_4find_last_traded_position_internal, "\n Finds the position of the last traded minute for the given volumes array.\n\n Parameters\n ----------\n market_opens: numpy array of ints\n Market opens, in minute epoch values.\n\n market_closes: numpy array of ints\n Market closes, in minute epoch values.\n\n end_minute: int\n The minute from which to start looking backwards, as a minute epoch.\n\n start_minute: int\n The asset's start date, as a minute epoch. 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092: ndarray[longlong_t, ndim=1] market_opens,
093: ndarray[longlong_t, ndim=1] market_closes,
094: longlong_t end_minute,
095: longlong_t start_minute,
096: volumes,
097: short minutes_per_day):
098:
099: """
100: Finds the position of the last traded minute for the given volumes array.
101:
102: Parameters
103: ----------
104: market_opens: numpy array of ints
105: Market opens, in minute epoch values.
106:
107: market_closes: numpy array of ints
108: Market closes, in minute epoch values.
109:
110: end_minute: int
111: The minute from which to start looking backwards, as a minute epoch.
112:
113: start_minute: int
114: The asset's start date, as a minute epoch. Acts as the bottom limit of
115: how far we can look backwards.
116:
117: volumes: bcolz carray
118: The volume history for the given asset.
119:
120: minutes_per_day: int
121: The number of minutes per day (e.g. 390 for NYSE).
122:
123: Returns
124: -------
125: int: The position of the last traded minute, starting from `minute_val`
126: """
127: cdef Py_ssize_t minute_pos, current_minute, q
128:
+129: minute_pos = int_min(
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133: )
134:
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138: )
139:
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143: market_closes,
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goto __pyx_L3_continue;
148:
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151:
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154:
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156:
157: # we've gone to the beginning of this asset's range, and still haven't
158: # found a trade event
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