Generated by Cython 3.1.8
Yellow lines hint at Python interaction.
Click on a line that starts with a "+" to see the C code that Cython generated for it.
Raw output: _minute_bar_internal.c
+001: from numpy cimport ndarray, int64_t
__pyx_t_3 = __Pyx_PyDict_NewPresized(0); if (unlikely(!__pyx_t_3)) __PYX_ERR(0, 1, __pyx_L1_error) __Pyx_GOTREF(__pyx_t_3); if (PyDict_SetItem(__pyx_mstate_global->__pyx_d, __pyx_mstate_global->__pyx_n_u_test, __pyx_t_3) < (0)) __PYX_ERR(0, 1, __pyx_L1_error) __Pyx_DECREF(__pyx_t_3); __pyx_t_3 = 0;
+002: from numpy import searchsorted
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003: from cpython cimport bool
004: cimport cython
005:
+006: cdef inline int int_min(int a, int b): return a if a <= b else b
static CYTHON_INLINE int __pyx_f_7zipline_4data_20_minute_bar_internal_int_min(int __pyx_v_a, int __pyx_v_b) {
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__pyx_t_2 = (__pyx_v_a <= __pyx_v_b);
if (__pyx_t_2) {
__pyx_t_1 = __pyx_v_a;
} else {
__pyx_t_1 = __pyx_v_b;
}
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__Pyx_TraceReturnCValue(__pyx_r, __Pyx_PyLong_From_int, 2, 0, __PYX_ERR(0, 6, __pyx_L1_error));
goto __pyx_L0;
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return __pyx_r;
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007:
+008: @cython.cdivision(True)
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static PyObject *__pyx_pw_7zipline_4data_20_minute_bar_internal_1minute_value(PyObject *__pyx_self, #if CYTHON_METH_FASTCALL PyObject *const *__pyx_args, Py_ssize_t __pyx_nargs, PyObject *__pyx_kwds #else PyObject *__pyx_args, PyObject *__pyx_kwds #endif ) { PyArrayObject *__pyx_v_market_opens = 0; Py_ssize_t __pyx_v_pos; short __pyx_v_minutes_per_day; #if !CYTHON_METH_FASTCALL CYTHON_UNUSED Py_ssize_t __pyx_nargs; #endif CYTHON_UNUSED PyObject *const *__pyx_kwvalues; PyObject *__pyx_r = 0; __Pyx_RefNannyDeclarations __Pyx_RefNannySetupContext("minute_value (wrapper)", 0); #if !CYTHON_METH_FASTCALL #if CYTHON_ASSUME_SAFE_SIZE __pyx_nargs = PyTuple_GET_SIZE(__pyx_args); #else __pyx_nargs = PyTuple_Size(__pyx_args); if (unlikely(__pyx_nargs < 0)) return NULL; #endif #endif __pyx_kwvalues = __Pyx_KwValues_FASTCALL(__pyx_args, __pyx_nargs); { PyObject ** const __pyx_pyargnames[] = {&__pyx_mstate_global->__pyx_n_u_market_opens,&__pyx_mstate_global->__pyx_n_u_pos,&__pyx_mstate_global->__pyx_n_u_minutes_per_day,0}; PyObject* values[3] = {0,0,0}; const Py_ssize_t __pyx_kwds_len = (__pyx_kwds) ? __Pyx_NumKwargs_FASTCALL(__pyx_kwds) : 0; if (unlikely(__pyx_kwds_len) < 0) __PYX_ERR(0, 8, __pyx_L3_error) if (__pyx_kwds_len > 0) { switch (__pyx_nargs) { case 3: values[2] = __Pyx_ArgRef_FASTCALL(__pyx_args, 2); if (!CYTHON_ASSUME_SAFE_MACROS && unlikely(!values[2])) __PYX_ERR(0, 8, __pyx_L3_error) CYTHON_FALLTHROUGH; case 2: values[1] = __Pyx_ArgRef_FASTCALL(__pyx_args, 1); if (!CYTHON_ASSUME_SAFE_MACROS && unlikely(!values[1])) __PYX_ERR(0, 8, __pyx_L3_error) CYTHON_FALLTHROUGH; case 1: values[0] = __Pyx_ArgRef_FASTCALL(__pyx_args, 0); if (!CYTHON_ASSUME_SAFE_MACROS && unlikely(!values[0])) __PYX_ERR(0, 8, __pyx_L3_error) CYTHON_FALLTHROUGH; case 0: break; default: goto __pyx_L5_argtuple_error; } const Py_ssize_t kwd_pos_args = __pyx_nargs; if (__Pyx_ParseKeywords(__pyx_kwds, __pyx_kwvalues, __pyx_pyargnames, 0, values, kwd_pos_args, __pyx_kwds_len, "minute_value", 0) < (0)) __PYX_ERR(0, 8, __pyx_L3_error) for (Py_ssize_t i = __pyx_nargs; i < 3; i++) { if (unlikely(!values[i])) { __Pyx_RaiseArgtupleInvalid("minute_value", 1, 3, 3, i); __PYX_ERR(0, 8, __pyx_L3_error) } } } else if (unlikely(__pyx_nargs != 3)) { goto __pyx_L5_argtuple_error; } else { values[0] = __Pyx_ArgRef_FASTCALL(__pyx_args, 0); if (!CYTHON_ASSUME_SAFE_MACROS && unlikely(!values[0])) __PYX_ERR(0, 8, __pyx_L3_error) values[1] = __Pyx_ArgRef_FASTCALL(__pyx_args, 1); if (!CYTHON_ASSUME_SAFE_MACROS && unlikely(!values[1])) __PYX_ERR(0, 8, __pyx_L3_error) values[2] = __Pyx_ArgRef_FASTCALL(__pyx_args, 2); if (!CYTHON_ASSUME_SAFE_MACROS && unlikely(!values[2])) __PYX_ERR(0, 8, __pyx_L3_error) } __pyx_v_market_opens = ((PyArrayObject *)values[0]); __pyx_v_pos = __Pyx_PyIndex_AsSsize_t(values[1]); if (unlikely((__pyx_v_pos == (Py_ssize_t)-1) && PyErr_Occurred())) __PYX_ERR(0, 10, __pyx_L3_error) __pyx_v_minutes_per_day = __Pyx_PyLong_As_short(values[2]); if (unlikely((__pyx_v_minutes_per_day == (short)-1) && PyErr_Occurred())) __PYX_ERR(0, 11, __pyx_L3_error) } goto __pyx_L6_skip; 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for (Py_ssize_t __pyx_temp=0; __pyx_temp < (Py_ssize_t)(sizeof(values)/sizeof(values[0])); ++__pyx_temp) { Py_XDECREF(values[__pyx_temp]); } goto __pyx_L7_cleaned_up; __pyx_L0:; for (Py_ssize_t __pyx_temp=0; __pyx_temp < (Py_ssize_t)(sizeof(values)/sizeof(values[0])); ++__pyx_temp) { Py_XDECREF(values[__pyx_temp]); } __pyx_L7_cleaned_up:; __Pyx_RefNannyFinishContext(); return __pyx_r; } static PyObject *__pyx_pf_7zipline_4data_20_minute_bar_internal_minute_value(CYTHON_UNUSED PyObject *__pyx_self, PyArrayObject *__pyx_v_market_opens, Py_ssize_t __pyx_v_pos, short __pyx_v_minutes_per_day) { short __pyx_v_q; short __pyx_v_r; __Pyx_LocalBuf_ND __pyx_pybuffernd_market_opens; __Pyx_Buffer __pyx_pybuffer_market_opens; PyObject *__pyx_r = NULL; __Pyx_TraceDeclarationsFunc __Pyx_TraceFrameInit(((PyObject *)__pyx_mstate_global->__pyx_codeobj_tab[40])) __Pyx_TraceStartFunc("minute_value", __pyx_f[0], 8, 0, 0, 0, __PYX_ERR(0, 8, __pyx_L1_error)); __pyx_pybuffer_market_opens.pybuffer.buf = NULL; __pyx_pybuffer_market_opens.refcount = 0; 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009: def minute_value(ndarray[int64_t, ndim=1] market_opens,
010: Py_ssize_t pos,
011: short minutes_per_day):
012: """Finds the value of the minute represented by `pos` in the given array of
013: market opens.
014:
015: Parameters
016: ----------
017: market_opens: numpy array of ints
018: Market opens, in minute epoch values.
019:
020: pos: int
021: The index of the desired minute.
022:
023: minutes_per_day: int
024: The number of minutes per day (e.g. 390 for NYSE).
025:
026: Returns
027: -------
028: int: The minute epoch value of the desired minute.
029: """
030: cdef short q, r
031:
+032: q = cython.cdiv(pos, minutes_per_day)
__pyx_v_q = (__pyx_v_pos / __pyx_v_minutes_per_day);
+033: r = cython.cmod(pos, minutes_per_day)
__pyx_v_r = (__pyx_v_pos % __pyx_v_minutes_per_day);
034:
+035: return market_opens[q] + r
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036:
+037: def find_position_of_minute(ndarray[int64_t, ndim=1] market_opens,
/* Python wrapper */ static PyObject *__pyx_pw_7zipline_4data_20_minute_bar_internal_3find_position_of_minute(PyObject *__pyx_self, #if CYTHON_METH_FASTCALL PyObject *const *__pyx_args, Py_ssize_t __pyx_nargs, PyObject *__pyx_kwds #else PyObject *__pyx_args, PyObject *__pyx_kwds #endif ); /*proto*/ PyDoc_STRVAR(__pyx_doc_7zipline_4data_20_minute_bar_internal_2find_position_of_minute, "Finds the position of a given minute in the given array of market opens.\n If not a market minute, adjusts to the last market minute.\n\n Parameters\n ----------\n market_opens: numpy array of ints\n Market opens, in minute epoch values.\n\n market_closes: numpy array of ints\n Market closes, in minute epoch values.\n\n minute_val: int\n The desired minute, as a minute epoch.\n\n minutes_per_day: int\n The number of minutes per day (e.g. 390 for NYSE).\n\n forward_fill: bool\n Whether to use the previous market minute if the given minute does\n not fall within an open/close pair.\n\n Returns\n -------\n int: The position of the given minute in the market opens array.\n\n Raises\n ------\n ValueError\n If the given minute is not between a single open/close pair AND\n forward_fill is False. 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038: ndarray[int64_t, ndim=1] market_closes,
039: int64_t minute_val,
040: short minutes_per_day,
041: bool forward_fill):
042: """Finds the position of a given minute in the given array of market opens.
043: If not a market minute, adjusts to the last market minute.
044:
045: Parameters
046: ----------
047: market_opens: numpy array of ints
048: Market opens, in minute epoch values.
049:
050: market_closes: numpy array of ints
051: Market closes, in minute epoch values.
052:
053: minute_val: int
054: The desired minute, as a minute epoch.
055:
056: minutes_per_day: int
057: The number of minutes per day (e.g. 390 for NYSE).
058:
059: forward_fill: bool
060: Whether to use the previous market minute if the given minute does
061: not fall within an open/close pair.
062:
063: Returns
064: -------
065: int: The position of the given minute in the market opens array.
066:
067: Raises
068: ------
069: ValueError
070: If the given minute is not between a single open/close pair AND
071: forward_fill is False. For example, if minute_val is 17:00 Eastern
072: for a given day whose normal hours are 9:30 to 16:00, and we are not
073: forward filling, ValueError is raised.
074: """
075: cdef Py_ssize_t market_open_loc, market_open, delta
076:
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080:
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083:
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085:
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087:
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089: ndarray[int64_t, ndim=1] market_opens,
090: ndarray[int64_t, ndim=1] market_closes,
091: int64_t end_minute,
092: int64_t start_minute,
093: volumes,
094: short minutes_per_day):
095:
096: """Finds the position of the last traded minute for the given volumes array.
097:
098: Parameters
099: ----------
100: market_opens: numpy array of ints
101: Market opens, in minute epoch values.
102:
103: market_closes: numpy array of ints
104: Market closes, in minute epoch values.
105:
106: end_minute: int
107: The minute from which to start looking backwards, as a minute epoch.
108:
109: start_minute: int
110: The asset's start date, as a minute epoch. Acts as the bottom limit of
111: how far we can look backwards.
112:
113: volumes: bcolz carray
114: The volume history for the given asset.
115:
116: minutes_per_day: int
117: The number of minutes per day (e.g. 390 for NYSE).
118:
119: Returns
120: -------
121: int: The position of the last traded minute, starting from `minute_val`
122: """
123: cdef Py_ssize_t minute_pos, current_minute, q
124:
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129: )
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135:
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144:
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