Function _base_frame

python/tests/test_bars_module.py:8–34

()

def _base_frame() -> pl.DataFrame:
    ts = [
        "2024-01-01 09:30:00",
        "2024-01-01 09:31:00",
        "2024-01-01 09:33:00",
        "2024-01-01 09:34:00",
        "2024-01-01 09:35:00",
        "2024-01-01 09:36:00",
        "2024-01-01 09:37:00",
        "2024-01-01 09:39:00",
        "2024-01-01 09:40:00",
        "2024-01-01 09:41:00",
    ]
    close = [100.0, 100.4, 100.1, 100.8, 100.7, 101.2, 101.0, 101.5, 101.4, 101.7]
    volume = [80_000.0, 85_000.0, 90_000.0, 88_000.0, 95_000.0, 300_000.0, 92_000.0, 98_000.0, 99_000.0, 97_000.0]
    return pl.DataFrame(
        {
            "ts": ts,
            "symbol": ["SPY"] * len(ts),
            "open": close,
            "high": [x * 1.001 for x in close],
            "low": [x * 0.999 for x in close],
            "close": close,
            "volume": volume,
            "adj_close": close,
        }
    )


def _assert_bar_invariants(df: pl.DataFrame) -> None: