Generated by Cython 3.0.12
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Raw output: sim_engine.c
+001: #
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002: # Copyright 2015 Quantopian, Inc.
003: #
004: # Licensed under the Apache License, Version 2.0 (the "License");
005: # you may not use this file except in compliance with the License.
006: # You may obtain a copy of the License at
007: #
008: # http://www.apache.org/licenses/LICENSE-2.0
009: #
010: # Unless required by applicable law or agreed to in writing, software
011: # distributed under the License is distributed on an "AS IS" BASIS,
012: # WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
013: # See the License for the specific language governing permissions and
014: # limitations under the License.
015:
016: cimport cython
017: cimport numpy as np
+018: import numpy as np
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+019: import pandas as pd
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020: from cpython cimport bool
021:
+022: cdef np.int64_t _nanos_in_minute = 60000000000
__pyx_v_7zipline_4gens_10sim_engine__nanos_in_minute = 0xDF8475800;
+023: NANOS_IN_MINUTE = _nanos_in_minute
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024:
+025: cpdef enum:
enum { __pyx_e_7zipline_4gens_10sim_engine_BAR = 0, __pyx_e_7zipline_4gens_10sim_engine_SESSION_START = 1, __pyx_e_7zipline_4gens_10sim_engine_SESSION_END = 2, __pyx_e_7zipline_4gens_10sim_engine_MINUTE_END = 3, __pyx_e_7zipline_4gens_10sim_engine_BEFORE_TRADING_START_BAR = 4 };
026: BAR = 0
027: SESSION_START = 1
028: SESSION_END = 2
029: MINUTE_END = 3
030: BEFORE_TRADING_START_BAR = 4
031:
+032: cdef class MinuteSimulationClock:
struct __pyx_obj_7zipline_4gens_10sim_engine_MinuteSimulationClock { PyObject_HEAD struct __pyx_vtabstruct_7zipline_4gens_10sim_engine_MinuteSimulationClock *__pyx_vtab; PyBoolObject *minute_emission; __Pyx_memviewslice market_opens_nanos; __Pyx_memviewslice market_closes_nanos; __Pyx_memviewslice bts_nanos; __Pyx_memviewslice sessions_nanos; PyObject *minutes_by_session; }; /* … */ struct __pyx_vtabstruct_7zipline_4gens_10sim_engine_MinuteSimulationClock { PyObject *(*calc_minutes_by_session)(struct __pyx_obj_7zipline_4gens_10sim_engine_MinuteSimulationClock *); }; static struct __pyx_vtabstruct_7zipline_4gens_10sim_engine_MinuteSimulationClock *__pyx_vtabptr_7zipline_4gens_10sim_engine_MinuteSimulationClock;
033: cdef bool minute_emission
034: cdef np.int64_t[:] market_opens_nanos, market_closes_nanos, bts_nanos, \
035: sessions_nanos
036: cdef dict minutes_by_session
037:
+038: def __init__(self,
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039: sessions,
040: market_opens,
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042: before_trading_start_minutes,
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050:
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052:
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054: @cython.wraparound(False)
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056: cdef dict minutes_by_session
057: cdef int session_idx
058: cdef np.int64_t session_nano
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060:
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067: )
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072:
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080:
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085: # before_trading_start is after the last close,
086: # so don't emit it
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088: regular_minutes,
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090: ):
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092: else:
093: # we have to search anew every session, because there is no
094: # guarantee that any two session start on the same minute
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097: # emit all the minutes before bts_minute
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101: ):
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103:
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105:
106: # emit all the minutes after bts_minute
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114:
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#endif __pyx_generator->resume_label = -1; __Pyx_Coroutine_clear((PyObject*)__pyx_generator); __Pyx_TraceReturn(__pyx_r, 0); __Pyx_RefNannyFinishContext(); return __pyx_r; } /* … */ __pyx_tuple__27 = PyTuple_Pack(4, __pyx_n_s_self, __pyx_n_s_minutes, __pyx_n_s_minute_emission, __pyx_n_s_minute); if (unlikely(!__pyx_tuple__27)) __PYX_ERR(0, 115, __pyx_L1_error) __Pyx_GOTREF(__pyx_tuple__27); __Pyx_GIVEREF(__pyx_tuple__27); /* … */ __pyx_t_7 = __Pyx_CyFunction_New(&__pyx_mdef_7zipline_4gens_10sim_engine_21MinuteSimulationClock_6_get_minutes_for_list, __Pyx_CYFUNCTION_CCLASS, __pyx_n_s_MinuteSimulationClock__get_minut, NULL, __pyx_n_s_zipline_gens_sim_engine, __pyx_d, ((PyObject *)__pyx_codeobj__11)); if (unlikely(!__pyx_t_7)) __PYX_ERR(0, 115, __pyx_L1_error) __Pyx_GOTREF(__pyx_t_7); if (__Pyx_SetItemOnTypeDict((PyObject *)__pyx_ptype_7zipline_4gens_10sim_engine_MinuteSimulationClock, __pyx_n_s_get_minutes_for_list, __pyx_t_7) < 0) __PYX_ERR(0, 115, __pyx_L1_error) __Pyx_DECREF(__pyx_t_7); 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+116: for minute in minutes:
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+117: yield minute, BAR
__pyx_t_4 = __Pyx_PyInt_From___pyx_anon_enum(__pyx_e_7zipline_4gens_10sim_engine_BAR); if (unlikely(!__pyx_t_4)) __PYX_ERR(0, 117, __pyx_L1_error) __Pyx_GOTREF(__pyx_t_4); __pyx_t_5 = PyTuple_New(2); if (unlikely(!__pyx_t_5)) __PYX_ERR(0, 117, __pyx_L1_error) __Pyx_GOTREF(__pyx_t_5); __Pyx_INCREF(__pyx_cur_scope->__pyx_v_minute); __Pyx_GIVEREF(__pyx_cur_scope->__pyx_v_minute); if (__Pyx_PyTuple_SET_ITEM(__pyx_t_5, 0, __pyx_cur_scope->__pyx_v_minute)) __PYX_ERR(0, 117, __pyx_L1_error); __Pyx_GIVEREF(__pyx_t_4); if (__Pyx_PyTuple_SET_ITEM(__pyx_t_5, 1, __pyx_t_4)) __PYX_ERR(0, 117, __pyx_L1_error); __pyx_t_4 = 0; __pyx_r = __pyx_t_5; __pyx_t_5 = 0; __Pyx_XGIVEREF(__pyx_t_1); __pyx_cur_scope->__pyx_t_0 = __pyx_t_1; __pyx_cur_scope->__pyx_t_1 = __pyx_t_2; __pyx_cur_scope->__pyx_t_2 = __pyx_t_3; __Pyx_XGIVEREF(__pyx_r); __Pyx_TraceReturn(__pyx_r, 0); __Pyx_RefNannyFinishContext(); __Pyx_Coroutine_ResetAndClearException(__pyx_generator); /* return from generator, yielding value */ __pyx_generator->resume_label = 1; return __pyx_r; __pyx_L6_resume_from_yield:; __pyx_t_1 = __pyx_cur_scope->__pyx_t_0; __pyx_cur_scope->__pyx_t_0 = 0; __Pyx_XGOTREF(__pyx_t_1); __pyx_t_2 = __pyx_cur_scope->__pyx_t_1; __pyx_t_3 = __pyx_cur_scope->__pyx_t_2; if (unlikely(!__pyx_sent_value)) __PYX_ERR(0, 117, __pyx_L1_error)
+118: if minute_emission:
__pyx_t_6 = __Pyx_PyObject_IsTrue(__pyx_cur_scope->__pyx_v_minute_emission); if (unlikely((__pyx_t_6 < 0))) __PYX_ERR(0, 118, __pyx_L1_error) if (__pyx_t_6) { /* … */ }
+119: yield minute, MINUTE_END
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