Yuxuan Yan
39 lines
1.0 KiB
Python
39 lines
1.0 KiB
Python
"""Base class for daily derived-data plugins."""
|
|
|
|
from abc import ABC, abstractmethod
|
|
|
|
import pandas as pd
|
|
|
|
|
|
class BaseDerivedData(ABC):
|
|
"""Compute daily, symbol-keyed numeric derived data.
|
|
|
|
Derived-data plugins may use daily bars, minute bars, or both as inputs, but
|
|
they must always return daily rows keyed by ``symbol_id,date``.
|
|
"""
|
|
|
|
#: Unique registry key. Every concrete derived-data plugin must set this.
|
|
name: str = ""
|
|
|
|
@abstractmethod
|
|
def compute(
|
|
self,
|
|
daily: pd.DataFrame | None = None,
|
|
minute: pd.DataFrame | None = None,
|
|
) -> pd.DataFrame:
|
|
"""Compute daily derived data.
|
|
|
|
Args:
|
|
daily: Optional daily market data.
|
|
minute: Optional raw minute bars.
|
|
|
|
Returns:
|
|
DataFrame with ``symbol_id``, ``date``, and one or more numeric
|
|
derived-data columns.
|
|
"""
|
|
|
|
def __repr__(self) -> str:
|
|
params = ", ".join(f"{k}={v!r}" for k, v in vars(self).items())
|
|
return f"{type(self).__name__}({params})"
|
|
|