-
Notifications
You must be signed in to change notification settings - Fork 6
/
Copy pathfunctions.py
176 lines (148 loc) · 6.28 KB
/
functions.py
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
import numpy as np
def next_batch(num, data, labels):
'''
Return a total of `num` random samples and labels.
'''
idx = np.arange(0, len(data))
np.random.shuffle(idx)
idx = idx[:num]
data_shuffle = [data[i] for i in idx]
labels_shuffle = [labels[i] for i in idx]
return np.asarray(data_shuffle), np.asarray(labels_shuffle)
def HiddenVOI(i, raw):
# compute the hidden Volume Order Imbalance (VOI)
## compute BidVolDelta
name = 'BID' + str(i)
BidPriceChg = raw[[name]].diff()
col1 = name + 'PriceChg'
raw[col1] = BidPriceChg[name]
name = 'BIDVOLUME' + str(i)
BidVolChg = raw[[name]].diff()
col2 = 'Bid' + str(i) + 'VolChg'
raw[col2] = BidVolChg[name]
BidDelta = 'Bid' + str(i) + 'VolDelta'
raw[BidDelta] = 0
raw[BidDelta][raw[col1] > 0] = raw[raw[col1] > 0][name]
raw[BidDelta][raw[col1] == 0] = raw[raw[col1] == 0][col2]
## compute AskVolDelta
name = 'ASK' + str(i)
AskPriceChg = raw[[name]].diff()
col1 = name + 'PriceChg'
raw[col1] = AskPriceChg[name]
name = 'ASKVOLUME' + str(i)
AskVolChg = raw[[name]].diff()
col2 = 'Ask' + str(i) + 'VolChg'
raw[col2] = AskVolChg[name]
AskDelta = 'Ask' + str(i) + 'VolDelta'
raw[AskDelta] = 0
raw[AskDelta][raw[col1] < 0] = raw[raw[col1] < 0][name]
raw[AskDelta][raw[col1] == 0] = raw[raw[col1] == 0][col2]
## compute the hidden VOI
HVOI = 'HiddenVOI' + str(i)
raw[HVOI] = raw[BidDelta] - raw[AskDelta]
pass
def VOI(raw):
# compute Volume Order Imbalance (VOI)
## compute BidVolDelta
BidPriceChg = raw[['BID']].diff()
raw['BidPriceChg'] = BidPriceChg['BID']
BidVolChg = raw[['BIDSIZE']].diff()
raw['BidVolChg'] = BidVolChg['BIDSIZE']
raw['BidVolDelta'] = 0
raw['BidVolDelta'][raw['BidPriceChg'] > 0] = raw[raw['BidPriceChg'] > 0]['BIDSIZE']
raw['BidVolDelta'][raw['BidPriceChg'] == 0] = raw[raw['BidPriceChg'] == 0]['BidVolChg']
## compute AskVolDelta
AskPriceChg = raw[['ASK']].diff()
raw['AskPriceChg'] = AskPriceChg['ASK']
AskVolChg = raw[['ASKSIZE']].diff()
raw['AskVolChg'] = AskVolChg['ASKSIZE']
raw['AskVolDelta'] = 0
raw['AskVolDelta'][raw['AskPriceChg'] < 0] = raw[raw['AskPriceChg'] < 0]['ASKSIZE']
raw['AskVolDelta'][raw['AskPriceChg'] == 0] = raw[raw['AskPriceChg'] == 0]['AskVolChg']
## compute VOI
raw['VOI'] = raw['BidVolDelta'] - raw['AskVolDelta']
pass
def DailyExtract(date, data):
raw, namelist, hiddenVOIlist, oldlist = _prepare_raw_and_name_list(date, data)
namelist = ['TRADEDATE', 'TIME', 'BidAskSpd', 'BIDASKIMBALANCE', 'VOI', 'MPB', 'TenDPriceChg'] \
+ namelist + hiddenVOIlist \
+ ['BIDTRADE', 'BIDTRADE1', 'BIDTRADE2', 'BIDTRADE3', 'ASKTRADE', 'ASKTRADE1', 'ASKTRADE2', 'ASKTRADE3'] \
+ ['TICKDIR']
output = raw[namelist]
output = output[output['BidAskSpd'] >= 0.00001]
output = output.dropna()
return output
def DailyExtractAll(date, data):
raw, namelist, hiddenVOIlist, oldlist = _prepare_raw_and_name_list(date, data)
# classify the tick direction
raw.replace("UP", 1, inplace=True)
raw.replace("UPCYCLE", 1, inplace=True)
raw.replace("DOWN", -1, inplace=True)
raw.replace("DOWNCYCLE", -1, inplace=True)
raw.replace("FLAT", 0, inplace=True)
for i in range(4):
if i == 0:
col2 = "LASTTICKDURATION"
else:
col2 = "LASTTICKDURATION" + str(i)
totaltime = np.max(raw['MARKETTIME'])
raw[col2] = raw[col2] / totaltime
namelist = ['TRADEDATE', 'TIME', 'BidAskSpd', 'BIDASKIMBALANCE', 'VOI', 'MPB', 'TenDPriceChg'] \
+ namelist + hiddenVOIlist \
+ ['BIDTRADE', 'BIDTRADE1', 'BIDTRADE2', 'BIDTRADE3', 'ASKTRADE', 'ASKTRADE1', 'ASKTRADE2', 'ASKTRADE3']
namelist = np.union1d(oldlist, namelist)
output = raw[namelist]
output = output[output['BidAskSpd'] >= 0.00001]
output = output.dropna()
return output
def _prepare_raw_and_name_list(date, data):
raw = data[data['TRADEDATE'] == date].reset_index(drop=True)
oldlist = raw.columns
midprice = (raw['BID'] + raw['ASK']) / 2
raw['midprice'] = midprice
length = len(midprice)
raw['BidAskSpd'] = raw['ASK'] - raw['BID']
# compute ten days mid-price change
TenDPriceChg = midprice.rolling(20).mean()[20:].reset_index(drop=True) \
- midprice[:length - 20].reset_index(drop=True)
raw['TenDPriceChg'] = TenDPriceChg
# Compute the VOI and hidden VOI
VOI(raw)
hiddenVOIlist = []
for i in range(3):
num = i + 1
HiddenVOI(num, raw)
HVOI = 'HiddenVOI' + str(i + 1)
raw[HVOI] = raw[HVOI] / raw['BidAskSpd']
hiddenVOIlist.append(HVOI)
# compute the mid-price basis (MPB)
## compute the average traded price
TradeAtBid = raw[['BIDVOLUME']].diff()
raw['TradeAtBid'] = TradeAtBid['BIDVOLUME']
TradeAtAsk = raw[['ASKVOLUME']].diff()
raw['TradeAtAsk'] = TradeAtAsk['ASKVOLUME']
raw['TradeValue'] = raw['BID'] * raw['TradeAtBid'] + raw['ASK'] * raw['TradeAtAsk']
raw['AvgTradePrice'] = np.where(raw['TradeValue'] != 0,
raw['TradeValue'] / (raw['TradeAtBid'] + raw['TradeAtAsk']), np.nan)
raw['AvgTradePrice'].iloc[0] = raw['midprice'].iloc[0]
raw[['AvgTradePrice']] = raw[['AvgTradePrice']].fillna(method='ffill')
## compute MPB
raw['MPB'] = raw['AvgTradePrice'] - midprice.rolling(2).mean()
raw['MPB'][0] = 0
# lag by L
L = 5
namelist = []
for i in range(L):
name = "VOI" + str(i + 1)
namelist.append(name)
raw[name] = raw['VOI'][i + 1:].reset_index(drop=True)
raw[name] = raw[name] / raw['BidAskSpd']
name = "BIDASKIMBALANCE" + str(i + 1)
namelist.append(name)
raw[name] = raw['BIDASKIMBALANCE'][i + 1:].reset_index(drop=True)
raw[name] = raw[name] / raw['BidAskSpd']
# scaled by bid ask spread
raw['VOI'] = raw['VOI'] / raw['BidAskSpd']
raw['BIDASKIMBALANCE'] = raw['BIDASKIMBALANCE'] / raw['BidAskSpd']
raw['MPB'] = raw['MPB'] / raw['BidAskSpd']
return raw, namelist, hiddenVOIlist, oldlist