ScheduleSeries

class sigtech.framework.schedules.schedule.ScheduleSeries

Baseclasses: ScheduleDateSeries

Define a schedule based on a historical data series, i.e. the history data points are driving the schedule.

Keyword arguments:

• History - pandas DataFrame or Series with index as Python dates.

Example of object creation:

import datetime as dtm
import pandas as pd
from sigtech.framework.schedules import ScheduleSeries

history_values = [92.35, 92.5, 92.505, 92.48, 92.4, 92.32, 92.445, 92.41, 92.5, 92.35]
history_dates = [dtm.date(2001, 12, 18),
                dtm.date(2001, 12, 19),
                dtm.date(2001, 12, 20),
                dtm.date(2001, 12, 21),
                dtm.date(2001, 12, 24),
                dtm.date(2001, 12, 26),
                dtm.date(2001, 12, 27),
                dtm.date(2001, 12, 28),
                dtm.date(2001, 12, 31),
                dtm.date(2002, 1, 2)]

history = pd.DataFrame({'LastPrice': history_values},  columns=['LastPrice'], index=history_dates)

schedule = ScheduleSeries(history)