INNER CODE UNIT · Python

convert

crypto-lake/analysis-sharing · lake_to_hftbacktest.py:14

def convert(
        input_dfs: List[pd.DataFrame],
        output_filename: Optional[str] = None,
        buffer_size: int = 100_000_000,
        ss_buffer_size: int = 50,
        base_latency: float = 0,
        method: Literal['separate', 'adjust'] = 'separate',
        # snapshot_mode: Literal['process', 'ignore_sod', 'ignore'] = 'process'
) -> NDArray:
    r"""
    Converts Crypto Lake data files into a format compatible with HftBacktest.

    Args:
        input_dfs: Input dataframes from lake
        output_filename: If provided, the converted data will be saved to the specified filename in ``npz`` format.
        buffer_size: Sets a preallocated row size for the buffer.
        base_latency: The value to be added to the feed latency.
                      See :func:`.correct_local_timestamp`.

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