Work (yes)

src/naiback/data/bars.py

@@ -144,7 +144,7 @@ class Bars:
                 
     def synchronize_to(self, other):
         ix1 = 0
-        ix2 = 0
+        ix2 = -1
 
         new_open = []
         new_high = []
@@ -153,39 +153,29 @@ class Bars:
         new_volume = []
         new_timestamp = []
 
+        prev_open = 0
+        prev_high = 0
+        prev_low = 0
+        prev_close = 0
+        
         for i in range(0, len(other.open)):
-            if ix1 < len(self.open) - 1:
+            if ix2 < len(self.timestamp) - 1 and other.timestamp[i] > self.timestamp[ix2 + 1]:
-                if other.timestamp[ix2] < self.timestamp[ix1 + 1]:
+                if ix2 != -1:
-                    new_open.append(self.open[ix1 + 1])
+                    prev_open = self.open[ix2]
-                    new_high.append(self.high[ix1 + 1])
+                    prev_high = self.high[ix2]
-                    new_low.append(self.low[ix1 + 1])
+                    prev_low = self.low[ix2]
-                    new_close.append(self.close[ix1 + 1])
+                    prev_close = self.close[ix2]
-                    new_volume.append(0)
-                    new_timestamp.append(other.timestamp[ix2])
                 else:
-                    if ix1 < len(self.open) - 2:
+                    prev_open = 0
-                        ix1 += 1
+                    prev_high = 0
-                        new_open.append(self.open[ix1 + 1])
+                    prev_low = 0
-                        new_high.append(self.high[ix1 + 1])
+                    prev_close = 0
-                        new_low.append(self.low[ix1 + 1])
+                ix2 += 1
-                        new_close.append(self.close[ix1 + 1])
+            new_open.append(prev_open)
-                        new_volume.append(0)
+            new_high.append(prev_high)
-                        new_timestamp.append(other.timestamp[ix2])
+            new_low.append(prev_high)
-                    else:
+            new_close.append(prev_close)
-                        new_open.append(self.open[ix1])
+            new_timestamp.append(other.timestamp[i])
-                        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

src/naiback/data/feeds/yahoofeed.py

@@ -13,7 +13,6 @@ class YahooCSVFeed(Feed):
         next(reader)
         for row in reader:
             try:
-                self.ticker_ = row[0]
                 open_ = float(row[1])
                 high = float(row[2])
                 low = float(row[3])
@@ -25,6 +24,9 @@ class YahooCSVFeed(Feed):
             except IndexError:
                 pass
 
+    def set_ticker(self, ticker):
+        self.ticker_ = ticker
+
     def type(self):
         return 'bars'
 

src/naiback/strategy/strategy.py

@@ -8,6 +8,7 @@ from naiback.analyzers.equityanalyzer import EquityAnalyzer
 from naiback.exceptions import NaibackException
 
 import math
+import time
 
 class Strategy:
     """
@@ -55,9 +56,11 @@ class Strategy:
         self.bars = self._get_bars(ticker)
 
     def _prepare_bars(self, from_time, to_time):
+        start = time.time()
         if len(self.feeds) == 0:
             raise NaibackException('No feeds added to strategy')
 
+        v1 = time.time()
         self.all_bars.clear()
         for feed in self.feeds:
             if from_time is None or to_time is None:
@@ -65,11 +68,15 @@ class Strategy:
             else:
                 self.all_bars.append(Bars.from_feed_filter(feed, from_time, to_time))
 
+        v2 = time.time()
         all_dates = list(sorted(self._combine_dates()))
 
+        v3 = time.time()
         for bars in self.all_bars:
             self._synchronize_bars(bars, all_dates)
             bars.index = range(0, len(bars.close))
+        v4 = time.time()
+        print("prepare bars: {} {} {} {}".format(v1 - start, v2 - v1, v3 - v2, v4 - v3))
 
     def get_bars(self, ticker):
         return self._get_bars(ticker)
@@ -99,10 +106,10 @@ class Strategy:
         volume = bars.volume[bar_pos]
         for dt in all_dates:
             if len(bars.timestamp) > bar_pos:
-                print("new close: {} ({})".format(close, dt))
+                #print("new close: {} ({})".format(close, dt))
 
                 if bars.timestamp[bar_pos] > dt:
-                    print("Inserting at {}: {}".format(dt, close))
+                    #print("Inserting at {}: {}".format(dt, close))
                     bars.insert_bar(bar_pos, open_, high, low, close, volume, dt)
                 else:
                     open_ = bars.open[bar_pos]
@@ -112,11 +119,11 @@ class Strategy:
                     volume = bars.volume[bar_pos]
                     if bars.timestamp[bar_pos] > dt:
                         bars.insert_bar(bar_pos, open_, high, low, close, volume, dt)
-                    print("new close: {} ({})".format(close, dt))
+                    #print("new close: {} ({})".format(close, dt))
                     
             else:
                 bars.insert_bar(bar_pos, open_, high, low, close, volume, dt)
-                print("Inserting[2] at {}: {}".format(dt, close))
+                #print("Inserting[2] at {}: {}".format(dt, close))
                     
             bar_pos += 1