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Use alpaca instead of ibkr.

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jarno
2026-08-02 22:18:48 +03:00
parent a699bfc0fb
commit fddcc9190a
10 changed files with 692 additions and 11 deletions
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notebooks/spy_direction_dataset.ipynb
+5 -4
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@@ -20,7 +20,7 @@
},
{
"cell_type": "code",
"execution_count": 1,
"execution_count": null,
"metadata": {},
"outputs": [
{
@@ -52,7 +52,8 @@
"\n",
"\n",
"PROJECT_ROOT = find_project_root()\n",
"RAW_DATA_DIR = PROJECT_ROOT / \"data\" / \"ibkr\" / \"daily\"\n",
"#RAW_DATA_DIR = PROJECT_ROOT / \"data\" / \"ibkr\" / \"daily\"\n",
"RAW_DATA_DIR = PROJECT_ROOT / \"data\" / \"alpaca\" / \"daily\"\n",
"OUTPUT_PATH = PROJECT_ROOT / \"data\" / \"training\" / \"spy_direction_5d.parquet\"\n",
"\n",
"SPY_SYMBOL = \"SPY\"\n",
@@ -233,7 +234,7 @@
},
{
"cell_type": "code",
"execution_count": 3,
"execution_count": null,
"metadata": {},
"outputs": [
{
@@ -383,7 +384,7 @@
"df[\"TLT_ret_10\"] = df[\"TLT_close\"].pct_change(10)\n",
"df[\"USO_ret_5\"] = df[\"USO_close\"].pct_change(5)\n",
"df[\"SPY_TLT_ratio_ret\"] = (df[\"SPY_close\"] / df[\"TLT_close\"]).pct_change(5)\n",
"\n",
"df_model\n",
"spy_forward_close = df[\"SPY_close\"].shift(-5)\n",
"df[\"spy_up_5d\"] = np.nan\n",
"df.loc[spy_forward_close > df[\"SPY_close\"], \"spy_up_5d\"] = 1.0\n",