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vectorized aggregator support in backtesting #196

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drew2323 opened this issue May 16, 2024 · 1 comment
Open

vectorized aggregator support in backtesting #196

drew2323 opened this issue May 16, 2024 · 1 comment
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Support vectorited aggregator for trade_offline_streamer.

Vektorizovaný přístup již realizován v loader/aggregator_vectorized.py a otestován v loader/agg_vect.ipynb, kde agregace tradů do 1s barů trvá exponenciálně méně (cca 1s za týdenní data).

Implementovat do trade_offline_stramer modulu.

Open:

  • zatím je vektorově pouze time bary, ještě je třeba dodělat renko, volume a dollar bary
@drew2323
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pro notebook research implementován #198 Lze použít jako základ

@drew2323 drew2323 self-assigned this Oct 21, 2024
@drew2323 drew2323 pinned this issue Oct 21, 2024
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