gbm_ohlc module¶

Module with GBMOHLCData.

GBMOHLCData class¶

GBMOHLCData(
    wrapper,
    data,
    single_key=True,
    classes=None,
    level_name=None,
    fetch_kwargs=None,
    returned_kwargs=None,
    last_index=None,
    delisted=None,
    tz_localize=None,
    tz_convert=None,
    missing_index=None,
    missing_columns=None,
    **kwargs
)

SyntheticData for data generated using generate_gbm_data_1d_nb() and then resampled using ohlc_every_1d_nb().

Superclasses

• Analyzable
• AttrResolverMixin
• BaseDataMixin
• Cacheable
• Chainable
• Comparable
• Configured
• CustomData
• Data
• DataWithFeatures
• ExtPandasIndexer
• HasSettings
• IndexApplier
• IndexingBase
• Itemable
• OHLCDataMixin
• PandasIndexer
• Paramable
• Pickleable
• PlotsBuilderMixin
• Prettified
• StatsBuilderMixin
• SyntheticData
• Wrapping

Inherited members

• AttrResolverMixin.deep_getattr()
• AttrResolverMixin.post_resolve_attr()
• AttrResolverMixin.pre_resolve_attr()
• AttrResolverMixin.resolve_attr()
• AttrResolverMixin.resolve_shortcut_attr()
• BaseDataMixin.assert_has_feature()
• BaseDataMixin.assert_has_symbol()
• BaseDataMixin.get_feature()
• BaseDataMixin.get_feature_idx()
• BaseDataMixin.get_symbol()
• BaseDataMixin.get_symbol_idx()
• BaseDataMixin.has_feature()
• BaseDataMixin.has_multiple_keys()
• BaseDataMixin.has_symbol()
• BaseDataMixin.prepare_key()
• BaseDataMixin.select_features()
• BaseDataMixin.select_symbols()
• Cacheable.get_ca_setup()
• Chainable.pipe()
• Configured.copy()
• Configured.equals()
• Configured.get_writeable_attrs()
• Configured.prettify()
• Configured.resolve_merge_kwargs()
• Configured.update_config()
• CustomData.get_custom_setting()
• CustomData.get_custom_settings()
• CustomData.has_custom_setting()
• CustomData.has_custom_settings()
• CustomData.key_match()
• CustomData.resolve_custom_setting()
• CustomData.set_custom_settings()
• Data.add()
• Data.add_column()
• Data.add_feature()
• Data.add_key()
• Data.add_symbol()
• Data.align_columns()
• Data.align_data()
• Data.align_index()
• Data.build_feature_config_doc()
• Data.check_dict_type()
• Data.column_stack()
• Data.concat()
• Data.dropna()
• Data.fetch()
• Data.fix_data_dict_type()
• Data.fix_dict_types_in_kwargs()
• Data.from_csv()
• Data.from_data()
• Data.from_data_str()
• Data.from_duckdb()
• Data.from_feather()
• Data.from_hdf()
• Data.from_parquet()
• Data.from_sql()
• Data.get()
• Data.get_base_setting()
• Data.get_base_settings()
• Data.get_feature_wrapper()
• Data.get_intersection_dict()
• Data.get_key_index()
• Data.get_key_wrapper()
• Data.get_keys()
• Data.get_level_name()
• Data.get_symbol_wrapper()
• Data.has_base_setting()
• Data.has_base_settings()
• Data.has_key_dict()
• Data.indexing_func()
• Data.invert()
• Data.invert_data()
• Data.items()
• Data.merge()
• Data.modify_state()
• Data.override_feature_config_doc()
• Data.plot()
• Data.prepare_dt()
• Data.prepare_dt_column()
• Data.prepare_dt_index()
• Data.prepare_tzaware_index()
• Data.pull()
• Data.realign()
• Data.remove()
• Data.remove_columns()
• Data.remove_features()
• Data.remove_keys()
• Data.remove_symbols()
• Data.rename()
• Data.rename_columns()
• Data.rename_features()
• Data.rename_in_dict()
• Data.rename_keys()
• Data.rename_symbols()
• Data.replace()
• Data.resample()
• Data.resolve_base_setting()
• Data.resolve_columns()
• Data.resolve_features()
• Data.resolve_key_arg()
• Data.resolve_keys()
• Data.resolve_keys_meta()
• Data.resolve_symbols()
• Data.row_stack()
• Data.run()
• Data.select()
• Data.select_classes()
• Data.select_columns()
• Data.select_delisted()
• Data.select_feature_from_dict()
• Data.select_feature_idxs()
• Data.select_feature_kwargs()
• Data.select_fetch_kwargs()
• Data.select_from_dict()
• Data.select_key_from_dict()
• Data.select_key_kwargs()
• Data.select_keys()
• Data.select_last_index()
• Data.select_returned_kwargs()
• Data.select_run_func_args()
• Data.select_run_func_kwargs()
• Data.select_symbol_from_dict()
• Data.select_symbol_idxs()
• Data.select_symbol_kwargs()
• Data.set_base_settings()
• Data.sql()
• Data.switch_class()
• Data.to_csv()
• Data.to_duckdb()
• Data.to_feather()
• Data.to_feature_oriented()
• Data.to_hdf()
• Data.to_parquet()
• Data.to_sql()
• Data.to_symbol_oriented()
• Data.transform()
• Data.try_fetch_feature()
• Data.try_fetch_symbol()
• Data.try_run()
• Data.try_update_feature()
• Data.try_update_symbol()
• Data.update()
• Data.update_classes()
• Data.update_fetch_kwargs()
• Data.update_returned_kwargs()
• Data.use_feature_config_of()
• HasSettings.get_path_setting()
• HasSettings.get_path_settings()
• HasSettings.get_setting()
• HasSettings.get_settings()
• HasSettings.has_path_setting()
• HasSettings.has_path_settings()
• HasSettings.has_setting()
• HasSettings.has_settings()
• HasSettings.reset_settings()
• HasSettings.resolve_setting()
• HasSettings.resolve_settings_paths()
• HasSettings.set_settings()
• IndexApplier.add_levels()
• IndexApplier.drop_duplicate_levels()
• IndexApplier.drop_levels()
• IndexApplier.drop_redundant_levels()
• IndexApplier.rename_levels()
• IndexApplier.select_levels()
• IndexingBase.indexing_setter_func()
• OHLCDataMixin.get_daily_log_returns()
• OHLCDataMixin.get_daily_returns()
• OHLCDataMixin.get_drawdowns()
• OHLCDataMixin.get_log_returns()
• OHLCDataMixin.get_returns()
• OHLCDataMixin.get_returns_acc()
• PandasIndexer.xs()
• Pickleable.decode_config()
• Pickleable.decode_config_node()
• Pickleable.dumps()
• Pickleable.encode_config()
• Pickleable.encode_config_node()
• Pickleable.file_exists()
• Pickleable.getsize()
• Pickleable.load()
• Pickleable.loads()
• Pickleable.resolve_file_path()
• Pickleable.save()
• PlotsBuilderMixin.build_subplots_doc()
• PlotsBuilderMixin.override_subplots_doc()
• PlotsBuilderMixin.plots()
• StatsBuilderMixin.build_metrics_doc()
• StatsBuilderMixin.override_metrics_doc()
• StatsBuilderMixin.stats()
• SyntheticData.classes
• SyntheticData.close
• SyntheticData.cls_dir
• SyntheticData.column_only_select
• SyntheticData.column_type
• SyntheticData.columns
• SyntheticData.config
• SyntheticData.daily_log_returns
• SyntheticData.daily_returns
• SyntheticData.data
• SyntheticData.delisted
• SyntheticData.dict_type
• SyntheticData.drawdowns
• SyntheticData.feature_classes
• SyntheticData.feature_config
• SyntheticData.feature_oriented
• SyntheticData.feature_wrapper
• SyntheticData.features
• SyntheticData.fetch_feature()
• SyntheticData.fetch_key()
• SyntheticData.fetch_kwargs
• SyntheticData.fetch_symbol()
• SyntheticData.freq
• SyntheticData.generate_feature()
• SyntheticData.generate_key()
• SyntheticData.group_select
• SyntheticData.has_any_ohlc
• SyntheticData.has_any_ohlcv
• SyntheticData.has_ohlc
• SyntheticData.has_ohlcv
• SyntheticData.high
• SyntheticData.hlc3
• SyntheticData.iloc
• SyntheticData.index
• SyntheticData.indexing_kwargs
• SyntheticData.key_index
• SyntheticData.key_wrapper
• SyntheticData.keys
• SyntheticData.last_index
• SyntheticData.level_name
• SyntheticData.loc
• SyntheticData.log_returns
• SyntheticData.low
• SyntheticData.missing_columns
• SyntheticData.missing_index
• SyntheticData.ndim
• SyntheticData.ohlc
• SyntheticData.ohlc4
• SyntheticData.ohlcv
• SyntheticData.open
• SyntheticData.plots_defaults
• SyntheticData.range_only_select
• SyntheticData.rec_state
• SyntheticData.returned_kwargs
• SyntheticData.returns
• SyntheticData.returns_acc
• SyntheticData.self_aliases
• SyntheticData.shape
• SyntheticData.shape_2d
• SyntheticData.single_feature
• SyntheticData.single_key
• SyntheticData.single_symbol
• SyntheticData.stats_defaults
• SyntheticData.symbol_classes
• SyntheticData.symbol_oriented
• SyntheticData.symbol_wrapper
• SyntheticData.symbols
• SyntheticData.trade_count
• SyntheticData.tz_convert
• SyntheticData.tz_localize
• SyntheticData.update_feature()
• SyntheticData.update_key()
• SyntheticData.update_symbol()
• SyntheticData.volume
• SyntheticData.vwap
• SyntheticData.wrapper
• SyntheticData.xloc
• Wrapping.apply_to_index()
• Wrapping.as_param()
• Wrapping.regroup()
• Wrapping.resolve_column_stack_kwargs()
• Wrapping.resolve_row_stack_kwargs()
• Wrapping.resolve_self()
• Wrapping.resolve_stack_kwargs()
• Wrapping.select_col()
• Wrapping.select_col_from_obj()
• Wrapping.split()
• Wrapping.split_apply()

generate_symbol class method¶

GBMOHLCData.generate_symbol(
    symbol,
    index,
    n_ticks=None,
    start_value=None,
    mean=None,
    std=None,
    dt=None,
    seed=None,
    jitted=None,
    template_context=None,
    **kwargs
)

Generate a symbol.

Args

symbol : hashable

Symbol.

index : pd.Index

Pandas index.

n_ticks : int or array_like

Number of ticks per bar.

Flexible argument. Can be a template with a context containing symbol and index.

start_value : float

Value at time 0.

Does not appear as the first value in the output data.

mean : float

Drift, or mean of the percentage change.

std : float

Standard deviation of the percentage change.

dt : float

Time change (one period of time).

seed : int

Seed to make output deterministic.

jitted : any

See resolve_jitted_option().

template_context : dict

Context used to substitute templates.

For defaults, see custom.gbm in data.