added hourly prices to simdata

Author: rob

sysdata/sim/sim_data.py

@@ -3,7 +3,7 @@
 
 from syscore.objects import get_methods, missing_data
 from syscore.dateutils import ARBITRARY_START
-from syscore.pdutils import prices_to_daily_prices
+from syscore.pdutils import prices_to_daily_prices, intraday_date_rows_in_pd_object
 from sysdata.base_data import baseData
 
 from sysobjects.spot_fx_prices import fxPrices
@@ -107,6 +107,17 @@ def daily_prices(self, instrument_code: str) -> pd.Series:
 
         return dailyprice
 
+    def hourly_prices(self, instrument_code: str) -> pd.Series:
+        instrprice = self.get_raw_price(instrument_code)
+        if len(instrprice) == 0:
+            raise Exception("No adjusted hourly prices for %s" % instrument_code)
+
+        intraday_only_prices = intraday_date_rows_in_pd_object(instrprice)
+        hourly_prices = intraday_only_prices.resample("H").last()
+        hourly_prices = hourly_prices.dropna()
+
+        return hourly_prices
+
     def get_fx_for_instrument(
         self, instrument_code: str, base_currency: str
     ) -> fxPrices:

sysproduction/data/controls.py

@@ -470,6 +470,8 @@ def get_maximum_position_contracts_for_instrument_strategy(
         self, instrument_strategy: instrumentStrategy
     ) -> int:
 
+        ## FIXME: THIS WON'T WORK IF THERE ARE MULTIPLE STRATEGIES TRADING AN INSTRUMENT
+
         limit_for_instrument = \
             self._get_position_limit_object_for_instrument(instrument_strategy.instrument_code)