Basic support for upscale/downscale

src/naiback/broker/broker.py

@@ -25,9 +25,9 @@ class Broker:
 
     def add_position(self, ticker, price, amount, bar_index):
         volume = abs(price * amount)
-        if amount > 0:
-            if volume * (1 + 0.01 * self.commission_percentage) > self.cash_:
-                return None
+        #if amount > 0:
+        #    if volume * (1 + 0.01 * self.commission_percentage) > self.cash_:
+        #        return None
         pos = Position(ticker)
         pos.enter(price, amount, bar=bar_index, timestamp=self.timestamp)
         self.cash_ -= price * amount

src/naiback/data/bars.py

@@ -1,12 +1,24 @@
 
 from ..exceptions import NaibackException
 
+import datetime
+import numpy as np
+
+def bar_number(timeframe, timestamp):
+    return timestamp.timestamp() // timeframe
+
+def timestamp_from_bar_number(timeframe, bar_number):
+    return datetime.datetime.utcfromtimestamp(bar_number * timeframe)
 
 class Bars:
     """
     Basic bar series structure
     """
 
+    DAILY = 86400
+    HOUR = 3600
+    MINUTE = 60
+
     def __init__(self, ticker):
         self.ticker = ticker
         self.index = []
@@ -55,3 +67,131 @@ class Bars:
             if bar.timestamp >= from_time and bar.timestamp <= to_time:
                 bars.append_bar(bar.open, bar.high, bar.low, bar.close, bar.volume, bar.timestamp)
         return bars
+
+    def upscale(self, new_timeframe):
+        assert(len(self.open) == len(self.high))
+        assert(len(self.open) == len(self.low))
+        assert(len(self.open) == len(self.close))
+        assert(len(self.open) == len(self.volume))
+        assert(len(self.open) == len(self.timestamp))
+        assert(len(self.open) > 0)
+
+        new_open = []
+        new_high = []
+        new_low = []
+        new_close = []
+        new_volume = []
+        new_timestamp = []
+
+        current_bar = [self.open[0], self.high[0], self.low[0], self.close[0], self.volume[0]]
+        current_bar_number = bar_number(new_timeframe, self.timestamp[0])
+        for i in range(1, len(self.open)):
+            next_bar_number = bar_number(new_timeframe, self.timestamp[i])
+            if next_bar_number == current_bar_number:
+                current_bar[1] = max(current_bar[1], self.high[i])
+                current_bar[2] = min(current_bar[2], self.low[i])
+                current_bar[3] = self.close[i]
+                current_bar[4] += self.volume[i]
+            else:
+                new_open.append(current_bar[0])
+                new_high.append(current_bar[1])
+                new_low.append(current_bar[2])
+                new_close.append(current_bar[3])
+                new_volume.append(current_bar[4])
+                new_timestamp.append(timestamp_from_bar_number(new_timeframe, current_bar_number))
+                current_bar = [self.open[i], self.high[i], self.low[i], self.close[i], self.volume[i]]
+                current_bar_number = next_bar_number
+
+        new_open.append(current_bar[0])
+        new_high.append(current_bar[1])
+        new_low.append(current_bar[2])
+        new_close.append(current_bar[3])
+        new_volume.append(current_bar[4])
+        new_timestamp.append(timestamp_from_bar_number(new_timeframe, current_bar_number))
+
+        b = Bars(self.ticker)
+        b.index = range(0, len(new_open))
+        b.open = new_open
+        b.high = new_high
+        b.low = new_low
+        b.close = new_close
+        b.volume = new_volume
+        b.timestamp = new_timestamp
+        return b
+
+    def synchronize_indicator(self, indicator, other):
+        ix1 = 0
+        ix2 = 0
+
+        new_indicator = []
+
+        for ix2 in range(0, len(other.open)):
+            if ix1 > 0:
+                if ix1 < len(indicator) - 1:
+                    if other.timestamp[ix2] < self.timestamp[ix1 + 1]:
+                        new_indicator.append(indicator[ix1 - 1])
+                    else:
+                        ix1 += 1
+                        new_indicator.append(indicator[ix1 - 1])
+                else:
+                    new_indicator.append(0)
+            else:
+                if other.timestamp[ix2] >= self.timestamp[ix1 + 1]:
+                    ix1 += 1
+                new_indicator.append(0)
+        
+        return np.array(new_indicator)
+                
+    def synchronize_to(self, other):
+        ix1 = 0
+        ix2 = 0
+
+        new_open = []
+        new_high = []
+        new_low = []
+        new_close = []
+        new_volume = []
+        new_timestamp = []
+
+        for i in range(0, len(other.open)):
+            if ix1 < len(self.open) - 1:
+                if other.timestamp[ix2] < self.timestamp[ix1 + 1]:
+                    new_open.append(self.open[ix1 + 1])
+                    new_high.append(self.high[ix1 + 1])
+                    new_low.append(self.low[ix1 + 1])
+                    new_close.append(self.close[ix1 + 1])
+                    new_volume.append(0)
+                    new_timestamp.append(other.timestamp[ix2])
+                else:
+                    if ix1 < len(self.open) - 2:
+                        ix1 += 1
+                        new_open.append(self.open[ix1 + 1])
+                        new_high.append(self.high[ix1 + 1])
+                        new_low.append(self.low[ix1 + 1])
+                        new_close.append(self.close[ix1 + 1])
+                        new_volume.append(0)
+                        new_timestamp.append(other.timestamp[ix2])
+                    else:
+                        new_open.append(self.open[ix1])
+                        new_high.append(self.high[ix1])
+                        new_low.append(self.low[ix1])
+                        new_close.append(self.close[ix1])
+                        new_volume.append(0)
+                        new_timestamp.append(other.timestamp[ix2])
+            else:
+                new_open.append(self.open[ix1])
+                new_high.append(self.high[ix1])
+                new_low.append(self.low[ix1])
+                new_close.append(self.close[ix1])
+                new_volume.append(0)
+                new_timestamp.append(other.timestamp[ix2])
+            ix2 += 1
+
+        self.index = range(0, len(new_open))
+        self.open = new_open
+        self.high = new_high
+        self.low = new_low
+        self.close = new_close
+        self.volume = new_volume
+        self.timestamp = new_timestamp
+