hftbacktest.data.utils.snapshot module
- create_last_snapshot(data, tick_size, lot_size, initial_snapshot=None, output_snapshot_filename=None)[source]
Creates a snapshot of the last market depth for the specified data, which can be used as the initial snapshot data for subsequent data.
- Parameters:
data (List[str]) – Data to be processed to obtain the last market depth snapshot.
tick_size (float) – Minimum price increment for the given asset.
lot_size (float) – Minimum order quantity for the given asset.
initial_snapshot (str | None) – The initial market depth snapshot.
output_snapshot_filename (str | None) – If provided, the snapshot data will be saved to the specified filename in
npzformat.
- Returns:
Snapshot of the last market depth compatible with HftBacktest.
- Return type: