Chopper.ipynb

{
  "nbformat": 4,
  "nbformat_minor": 0,
  "metadata": {
    "colab": {
      "name": "Chopper",
      "version": "0.3.2",
      "provenance": [],
      "collapsed_sections": [],
      "include_colab_link": true
    },
    "kernelspec": {
      "name": "python3",
      "display_name": "Python 3"
    }
  },
  "cells": [
    {
      "cell_type": "markdown",
      "metadata": {
        "id": "view-in-github",
        "colab_type": "text"
      },
      "source": [
        "<a href=\"https://colab.research.google.com/github/packandsell/AlgoMaschine/blob/master/Chopper.ipynb\" target=\"_parent\"><img src=\"https://colab.research.google.com/assets/colab-badge.svg\" alt=\"Open In Colab\"/></a>"
      ]
    },
    {
      "cell_type": "code",
      "metadata": {
        "id": "k0yc533pqk4I",
        "colab_type": "code",
        "outputId": "05fccd3a-6268-4a74-a424-a2ed55cba5fe",
        "colab": {
          "base_uri": "https://localhost:8080/",
          "height": 15070
        }
      },
      "source": [
        "import matplotlib.pyplot as plt\n",
        "import numpy as np\n",
        "from datetime import datetime, timedelta\n",
        "import pandas as pd\n",
        "from sklearn import preprocessing\n",
        "import os\n",
        "\n",
        "# tutorial https://colab.research.google.com/github/jakevdp/PythonDataScienceHandbook/blob/master/notebooks/04.00-Introduction-To-Matplotlib.ipynb#scrollTo=AuKBYgIn4Hmm\n",
        "\n",
        "altreva_init_bars = 100 # we need to consider 100 bars for initialization\n",
        "chunk_step = 500 # this is minimum chunk size in bars and also is the size of the step for sliding window\n",
        "min_n_chunks = 10 # we want to have a minimum of 10 chunks in the history\n",
        "file = \"USDCAD_1440_1.csv\" # this should actually be read from command line  \n",
        "\n",
        "filename_text_size = 23 # unify that for Altreva configs\n",
        "\n",
        "def comb_chunk_ratio(min_bars, max_bars):\n",
        "    pairs = []\n",
        "    for b in range(min_bars, max_bars, min_bars): # step is assumed to be min_bars\n",
        "        for r in np.arange(0.5, 1, 0.1):\n",
        "            #print(b,round(r,1)) # for some shitty reason need to round explicity...\n",
        "            pairs.append([b,round(r,1)])\n",
        "\n",
        "    return (pairs)\n",
        "  \n",
        "\n",
        "# chop-chop-chop into pieces\n",
        "def calc_chunks(bmax, A, B):\n",
        "  # we move left from the end by every B bars\n",
        "  # but we take chunks of A+B bars\n",
        "  n = 0\n",
        "  print(\"last_bar_index:\",bmax)\n",
        "  chunks = []\n",
        "  while (bmax-n*B-A-altreva_init_bars >= B):\n",
        "      start = bmax-n*B-A-B-altreva_init_bars\n",
        "      end   = bmax-n*B\n",
        "      #print(\"..\",n,start,end)\n",
        "      chunks.append([start,end])\n",
        "      n += 1\n",
        "  return(chunks)\n",
        "      \n",
        "  \n",
        "  \n",
        "  \n",
        "\n",
        "if __name__ == \"__main__\":\n",
        "  \n",
        "  header = \"Date,Time,Open,High,Low,Close\\n\"\n",
        "\n",
        "  quotes = np.genfromtxt(file, delimiter=',', encoding=\"utf-8\", dtype=str, skip_header=True,  usecols = (0,1,2,3,4,5))\n",
        "\n",
        "  \n",
        "  pairs = comb_chunk_ratio(chunk_step, chunk_step*5)\n",
        "  #print(pairs) # pairs of chunk\n",
        "  \n",
        "  bmax = len(quotes) # last bar\n",
        "  for p in pairs: # step/ratio pairs\n",
        "    size = p[0]\n",
        "    ratio = p[1]\n",
        "    print(\"chunk size / ratio:\",size, ratio)\n",
        "    A = int (size*ratio)  # part A should have init bars\n",
        "    B = int(size - A) \n",
        "    chunks = calc_chunks(bmax, A, B)\n",
        "    print(\"chunks:\",len(chunks),A,B)\n",
        "    # create a folder for each size_ratio\n",
        "    path = os.getcwd() \n",
        "    new_dir = path + \"/\" + str(size) + \"_\" + str(ratio) \n",
        "    try:\n",
        "      os.mkdir(new_dir)  \n",
        "    except OSError:  \n",
        "      print (\"ERR: higher dir %s creation failed\" % path) # if the dir excists, it will print this\n",
        "\n",
        "    n = len(chunks)\n",
        "    for c in chunks:\n",
        "        print(c)\n",
        "        start = c[0]\n",
        "        end = c[1]\n",
        "        f_chunk = str(n)+\"_\"+str(start)+\"-\"+str(end)+\".csv\"\n",
        "        folder_name = new_dir + \"/\" + str(n)+\"_\"+str(start)+\"-\"+str(end)\n",
        "        try:\n",
        "          os.mkdir(folder_name) \n",
        "        except OSError:  \n",
        "          print (\"ERR: %s not created\" % path) # if the dir excists, it will print this\n",
        "\n",
        "        while len(f_chunk)<filename_text_size:\n",
        "            f_chunk = f_chunk.replace(\".csv\",\"_.csv\")\n",
        "            \n",
        "        f = open(folder_name + \"/\"+f_chunk,\"w+\")\n",
        "        f.write(header)\n",
        "        print(f_chunk)\n",
        "        for line in range(start,end,1):\n",
        "          l = \"\"\n",
        "          for i in [0,1,2,3,4,5]:\n",
        "            l += str(quotes[line,i])+\",\"\n",
        "          f.write(l[:-1]+\"\\n\")\n",
        "        #d = quotes[start:A+B+altreva_init_bars]\n",
        "        #print(d)\n",
        "        f.close()\n",
        "        n -= 1\n",
        "  \n",
        "  \n",
        "\n",
        "\n"
      ],
      "execution_count": 4,
      "outputs": [
        {
          "output_type": "stream",
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}