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Added policy executer file for remotely executing

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Victor Mylle
2024-01-15 21:19:33 +00:00
parent 67cc6d4bb9
commit 428e3d9e4b
7 changed files with 323 additions and 110 deletions
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25
src/utils/imbalance_price_calculator.py
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@@ -2,17 +2,27 @@ import plotly.graph_objects as go
import numpy as np
import pytz
import pandas as pd
import os
incremental_bids = "../../data/incremental_bids.csv"
decremental_bids = "../../data/decremental_bids.csv"
incremental_bids = "data/incremental_bids.csv"
decremental_bids = "data/decremental_bids.csv"
class ImbalancePriceCalculator:
def __init__(self, method: int = 1) -> None:
def __init__(self, method: int = 1, data_path: str = "../../") -> None:
self.method = method
self.load_bids()
self.data_path = data_path
# check if pickle of bid_ladder exists: data/bid_ladder.pkl
if not os.path.isfile(self.data_path + "data/bid_ladder.pkl"):
print("Bid ladder pickle not found, loading bids and generating bid ladder...")
self.load_bids()
self.bid_ladder.to_pickle(self.data_path + "data/bid_ladder.pkl")
else:
print("Bid ladder pickle found, loading bid ladder...")
self.bid_ladder = pd.read_pickle(self.data_path + "data/bid_ladder.pkl")
def load_bids(self):
df = pd.read_csv(incremental_bids, sep=";")
df = pd.read_csv(self.data_path + incremental_bids, sep=";")
df["Datetime"] = pd.to_datetime(df["Datetime"], utc=True)
# sort by Datetime, Activation Order, Bid Price
@@ -21,7 +31,7 @@ class ImbalancePriceCalculator:
# next we need to calculate the cummulative bids for every datetime
incremental_cum_df = df.groupby(["Datetime"]).apply(self.generate_bid_ladder)
df = pd.read_csv(decremental_bids, sep=";")
df = pd.read_csv(self.data_path + decremental_bids, sep=";")
df["Datetime"] = pd.to_datetime(df["Datetime"], utc=True)
decremental_cum_df = df.groupby(["Datetime"]).apply(self.generate_bid_ladder, incremental=False)
@@ -129,7 +139,8 @@ class ImbalancePriceCalculator:
MIPS = self.get_imbalance_price_vectorized(datetimes, np.abs(NRVS))
MDPS = self.get_imbalance_price_vectorized(datetimes, -np.abs(NRVS))
return calculate_imbalance_price(-NRV_PREVS, -NRVS, MIPS, MDPS)
return calculate_imbalance_price(-NRV_PREVS, -NRVS, MIPS, MDPS)
def calculate_imbalance_price(SI_PREV, SI, MIP, MDP):
# Convert parameters to numpy arrays for vectorized operations