Extend Source to intraday series

[sergey-a-berezin]

Currently, config.Source and the corresponding experiments.Source generate daily log-profits and daily OHCL price series using log-profit distributions from the previous close. This is not an accurate model, and moreover, it would be useful to match real intraday price series with synthetically generated intraday log-profits.

The idea is to introduce daily and intraday log-profit distributions, where daily is used to generate open[t+1]/close[t] log-profits, and intraday generates the high frequency log-profits from open to close of the same day. This, in turn, can either be used as intraday log-profits directly, or resampled to daily OHLC prices.

As an optimization, the same daily distribution can also be used to generateclose[t+1]/close[t] log-profits when only daily log-profits are desired.

The config, therefore, should be able to express the following situations:

• Generate daily log-profits; (close/close)
• Generate daily OHLC price series;
• Generate intraday log-profits, by default skipping the inter-day log-profits from the sequence (but they can be included if desired).

[sergey-a-berezin]

One way to achieve it is to have the following fields:

• daily distribution- optional. Without intraday distribution it generates close[t+1]/close[t] daily log-profits, and SourceMap provides only daily LogProfits. With intraday distribution and a non-trivial intraday range it generates the open[t+1]/close[t] log-profits, i.e. the price change between sessions. It is not used for LogProfits with intraday only or when intraday range is not present or has no bounds.
• intraday distribution - optional; when present, SourceMap generates intraday LogProfits for each ticker. It is also required for SourceMapPrices to generate OHLC daily price series.
• intraday range defines the start and end times of day for a day trading session.
• intraday resolution defines the intraday bar duration in minutes; allowed values are 1, 5, 15 and 30 minutes. Together with the intraday range it also determines the number of intraday samples in each day.
• intraday only filters out between-sessions log-profits. It makes intraday distribution required.
• days - what is currently samples, the number of days for each ticker to generate. Note, that the number of samples is a lot more that days when intraday log-profits are generated, thus the rename.

[sergey-a-berezin]

Note, that for independent samples daily distribution can always stay as close[t+1]/close[t] log-profit, and the intraday distribution can generate samples "backwards" from close to open. However, I'm choosing to generate always forward to accommodate a possible stateful model refinement such as #122.