void market_data::load_from_file()
{
std::string filename = resolve_path(m_filename);
std::ifstream is(filename);
if( ! is)
throw std::runtime_error("Cannot load filename " + filename);
std::string line;
int i_line=0;
INFO("market_data", "loading histo file " + filename);
while(getline(is, line))
{
i_line++;
line=trim(line);
if(line.size() && line[0] == '#')
continue;
if(line.empty())
continue;
s_vs tab = split(line, ';', false);
if(tab->size() < 6)
{
ERR("market_data", "loading file " + filename + ", line " + std::to_string(i_line));
continue;
}
tp ddate=strtotp(tab->at(1));
if( ! is_business_day(ddate))
continue;
double open=strtod(tab->at(2).c_str(), NULL);
double high=strtod(tab->at(3).c_str(), NULL);
double low=strtod(tab->at(4).c_str(), NULL);
double close=strtod(tab->at(5).c_str(), NULL);
double volume=strtod(tab->at(6).c_str(), NULL);
m_bars.emplace_back(this, ddate, open, high, low, close, volume);
}
transformer<bar,tp> t = [](const bar & b){return b.start_date();};
comparer<bar> by_start_date = bar::compare_by<tp>(t);
tp tp_min = tp::min();
for(auto & b : m_bars)
if(tp_min > b.start_date() ) // need sort
{
std::sort(m_bars.begin(), m_bars.end(), by_start_date);
break;
}else tp_min = b.start_date();
}
/*
* This is the 'is_busday' function exposed for calling
* from Python.
*/
NPY_NO_EXPORT PyObject *
array_is_busday(PyObject *NPY_UNUSED(self),
PyObject *args, PyObject *kwds)
{
char *kwlist[] = {"dates",
"weekmask", "holidays", "busdaycal", "out", NULL};
PyObject *dates_in = NULL, *out_in = NULL;
PyArrayObject *dates = NULL,*out = NULL, *ret;
npy_bool weekmask[7] = {2, 1, 1, 1, 1, 0, 0};
NpyBusDayCalendar *busdaycal = NULL;
int i, busdays_in_weekmask;
npy_holidayslist holidays = {NULL, NULL};
int allocated_holidays = 1;
if (!PyArg_ParseTupleAndKeywords(args, kwds,
"O|O&O&O!O:is_busday", kwlist,
&dates_in,
&PyArray_WeekMaskConverter, &weekmask[0],
&PyArray_HolidaysConverter, &holidays,
&NpyBusDayCalendar_Type, &busdaycal,
&out_in)) {
goto fail;
}
/* Make sure only one of the weekmask/holidays and busdaycal is supplied */
if (busdaycal != NULL) {
if (weekmask[0] != 2 || holidays.begin != NULL) {
PyErr_SetString(PyExc_ValueError,
"Cannot supply both the weekmask/holidays and the "
"busdaycal parameters to is_busday()");
goto fail;
}
/* Indicate that the holidays weren't allocated by us */
allocated_holidays = 0;
/* Copy the private normalized weekmask/holidays data */
holidays = busdaycal->holidays;
busdays_in_weekmask = busdaycal->busdays_in_weekmask;
memcpy(weekmask, busdaycal->weekmask, 7);
}
else {
/*
* Fix up the weekmask from the uninitialized
* signal value to a proper default.
*/
if (weekmask[0] == 2) {
weekmask[0] = 1;
}
/* Count the number of business days in a week */
busdays_in_weekmask = 0;
for (i = 0; i < 7; ++i) {
busdays_in_weekmask += weekmask[i];
}
/* The holidays list must be normalized before using it */
normalize_holidays_list(&holidays, weekmask);
}
/* Make 'dates' into an array */
if (PyArray_Check(dates_in)) {
dates = (PyArrayObject *)dates_in;
Py_INCREF(dates);
}
else {
PyArray_Descr *datetime_dtype;
/* Use the datetime dtype with generic units so it fills it in */
datetime_dtype = PyArray_DescrFromType(NPY_DATETIME);
if (datetime_dtype == NULL) {
goto fail;
}
/* This steals the datetime_dtype reference */
dates = (PyArrayObject *)PyArray_FromAny(dates_in,
datetime_dtype,
0, 0, 0, dates_in);
if (dates == NULL) {
goto fail;
}
}
/* Make sure 'out' is an array if it's provided */
if (out_in != NULL) {
if (!PyArray_Check(out_in)) {
PyErr_SetString(PyExc_ValueError,
"busday_offset: must provide a NumPy array for 'out'");
goto fail;
}
out = (PyArrayObject *)out_in;
}
ret = is_business_day(dates, out,
weekmask, busdays_in_weekmask,
holidays.begin, holidays.end);
Py_DECREF(dates);
if (allocated_holidays && holidays.begin != NULL) {
PyArray_free(holidays.begin);
}
return out == NULL ? PyArray_Return(ret) : (PyObject *)ret;
fail:
Py_XDECREF(dates);
if (allocated_holidays && holidays.begin != NULL) {
PyArray_free(holidays.begin);
}
return NULL;
}
