Hello,
Would someone be so kind to post an example of the batch transform that runs on minute data? I just can't seem to sort out what I might be doing wrong in the code below.
Thanks,
Grant
import numpy as np
# globals for get_data batch transform decorator
R_P = 1 # refresh period in days
W_L = 3 # window length in days
def initialize(context):
context.stocks = [sid(24),sid(8229),sid(8554),sid(5061),sid(8459)]
def handle_data(context, data):
# get data (select prices, volume, etc. in batch transform get_data)
d = get_data(data, context.stocks)
if d is None:
return
current_prices = np.zeros(len(context.stocks))
for i,stock in enumerate(context.stocks):
current_prices[i] = data[stock].price
timestamp = data[context.stocks[0]].datetime
print ' ----------------------------'
print timestamp
print ' ----------------------------'
print ' Securities'
print context.stocks
print ' Current prices'
print current_prices
print ' Trailing price window'
print d
@batch_transform(refresh_period=R_P, window_length=W_L) # set globals R_P & W_L above
def get_data(datapanel,sids):
return datapanel['price'].as_matrix(sids) 