quantlab.factor.predefined.intraday.session_inputs#

quantlab.factor.predefined.intraday.session_inputs(session, open_, close, auction_close)[source]#

Return the session inputs of IntradayStats for [time, symbol] prices.

Parameters:

sessionnp.ndarray: The session label of each bar, [time], bars in time order.
open_, close, auction_closenp.ndarray: [time, symbol] bar open, bar close and closing-auction price; NaN where the bar has none.

Returns:

dict[str, np.ndarray]: SESSION_POSITION, SESSION_BARS_LEFT, LAST_PRICE, REFERENCE_PRICE, FIRST_PRICE and PRIOR_CLOSE as contiguous float32 [time, symbol] arrays.

Examples

>>> s = np.array([0, 0, 0, 1, 1])
>>> c = np.array([[10.0], [np.nan], [11.0], [12.0], [np.nan]])
>>> out = session_inputs(s, c - 1, c, np.full_like(c, np.nan))
>>> out[LAST_PRICE][:, 0].tolist()
[10.0, 10.0, 11.0, 12.0, 12.0]
>>> out[REFERENCE_PRICE][:, 0].tolist()
[9.0, 10.0, 10.0, 11.0, 12.0]
>>> out[PRIOR_CLOSE][:, 0].tolist()
[nan, nan, nan, 11.0, 11.0]