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This commit is contained in:
David Brazda
2024-10-16 17:29:07 +02:00
parent 3c1c2969a2
commit b498d8df3d
2 changed files with 10 additions and 3 deletions
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11
ttools/vbtutils.py
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@ -17,6 +17,8 @@ def create_mask_from_window(entries: Any, entry_window_opens:int, entry_window_c
entry_window_closes : int
Number of minutes from market start to close the window.
TODO: test with entries not covering whole main session
Returns
-------
type of entries
@ -28,9 +30,13 @@ def create_mask_from_window(entries: Any, entry_window_opens:int, entry_window_c
market_hours =market_hours.tz_localize(nyse.tz)
# Ensure both entries and market_hours are timezone-aware and in the same timezone
if entries.index.tz is None:
entries.index = entries.index.tz_localize('America/New_York')
# Use merge_asof to align entries with the nearest market_open in market_hours
merged = pd.merge_asof(
entries,
entries.to_frame(),
market_hours[['market_open', 'market_close']],
left_index=True,
right_index=True,
@ -48,7 +54,8 @@ def create_mask_from_window(entries: Any, entry_window_opens:int, entry_window_c
# Create a boolean mask for entries that are within the window
window_opened = (elapsed_minutes >= entry_window_opens) & (elapsed_minutes < entry_window_closes)
return window_opened
# Return the mask as a series with the same index as entries
return pd.Series(window_opened.values, index=entries.index)
class AnchoredIndicator: