3.9 Filters

Purpose

• Transform the values provided by a data feed to deliver a different data feed
• Filter 一开始的设计是用于简化Resample 和 Replay 这两个接口
  • Resample : (Seconds, 1) -> (Days, 1) The Resampling filter intercepts the data and buffers it until it can deliver a 1 Day bar. This will happen when a 1 Second bar from the next day is seen.
  • Replaying: For the same timeframes as above, the filter would use the 1 Second resolution bars to rebuild the 1 Day bar.

That means that the 1 Day bar is delivered as many times as 1 Second bars are seen, updated to contain the latest information.

This simulates, for example, how an actual trading day has developed.

Filters at work

data = MyDataFeed(dataname=myname)
data.addfilter(filter, *args, **kwargs)
cerebro.addata(data)

data = MyDataFeed(dataname=myname)
data.addfilter(filter, *args, **kwargs)
cerebro.replaydata(data)

This shows that filter is compatible to the resample and replay filter.

Filter Interface

A filter must conform to a given interface, being this:

• A callable which accepts this signature:

callable(data, *args, **kwargs)

or

• A class which can be instantiated and called

  • During instantiation the init method must support the signature:

    def init(self, data, *args, **kwargs)

  • The call method bears this signature:

    def call(self, data, *args, **kwargs)

A Sample Filter

Session filter : only keep data between sesssionstart and sessionend
class SessionFilter(object):
def init(self, data):
pass

    def __call__(self, data):
        if data.p.sessionstart <= data.datetime.time() <= data.p.sessionend:
            # bar is in the session
            return False  # tell outer data   loop the bar can be processed

        # bar outside of the regular session times
        data.backwards()  # remove bar from data stack
        return True  # tell outer data loop to fetch a new bar

Data Pseudo-API for Filters

• data.backwards(size=1, force=False): removes size bars from the data stream (default is 1) by moving the logical pointer backwards. If force=True, then the physical storage is also removed.

Removing the physical storage is a delicate operation and is only meant as a hack for internal operations.

• data.forward(value=float('NaN'), size=1): moves size bars the storage forward, increasing the physical storage if needed be and fills with value

• data._addtostack(bar, stash=False): adds bar to a stack for later processing. bar is an iterable containing as many values as lines has the data feed.

If stash=False the bar added to the stack will be consumed immediately by the system at the beginning of the next iteration.

If stash=True the bar will undergo the entire loop processing including potentially being reparsed by filters

• data._save2stack(erase=False, force=False): saves the current data bar to the stack for later processing. If erase=True then data.backwards will be invoked and will receive the parameter force

• data._updatebar(bar, forward=False, ago=0): uses the values in the iterable bar to overwrite the values in the data stream ago positions. With the default ago=0 the current bar will updated. With -1, the previous one.