Pratik Bhadane
45 lines
1.1 KiB
Python
45 lines
1.1 KiB
Python
#!/usr/bin/env python3
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"""Generate the canonical OHLCV benchmark fixture.
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This script creates benchmarks/fixtures/canonical_ohlcv.npz — a fixed,
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deterministic dataset used by the benchmark suite for both numerical-regression
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and performance tests.
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Run once (or when you want to regenerate):
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python benchmarks/fixtures/generate_canonical.py
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The fixture is checked into the repository so that CI does not need to
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regenerate it every run.
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"""
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from __future__ import annotations
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import pathlib
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import numpy as np
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SEED = 20240101
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N = 2000 # number of bars
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RNG = np.random.default_rng(SEED)
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# Simulate a GBM-style price series
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returns = RNG.normal(0, 0.01, N)
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close = np.cumprod(1 + returns) * 100.0
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open_ = close * RNG.uniform(0.998, 1.002, N)
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high = np.maximum(close, open_) + np.abs(RNG.normal(0, 0.2, N))
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low = np.minimum(close, open_) - np.abs(RNG.normal(0, 0.2, N))
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volume = RNG.uniform(500_000, 2_000_000, N)
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out_path = pathlib.Path(__file__).parent / "canonical_ohlcv.npz"
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np.savez_compressed(
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out_path,
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open=open_,
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high=high,
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low=low,
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close=close,
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volume=volume,
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)
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print(f"Written {out_path} (N={N}, seed={SEED})")
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