hftbacktest.data.utils.migration2 module
- convert(input_file, output_filename=None, ts_mul=1000)[source]
Converts HftBacktest v1 data file into HftBacktest v2 data.
Since v1 data uses -1 in timestamps to indicate the invalidity of the event on that processor side, there will be a loss of timestamp information. Furthermore, it cannot check its validity due to this. Validity should be confirmed during the v1 generation.
- Parameters:
input_file (str) – Input filename for HftBacktest v1 data.
output_filename (str | None) – If provided, the converted data will be saved to the specified filename in
npzformat.ts_mul (float) – The value is multiplied by the v1 format timestamp to adjust the timestamp unit. Typically, v1 uses microseconds, while v2 uses nanoseconds, so the default value is 1000.
- Returns:
Converted data compatible with HftBacktest.
- Return type: