wassname/catalyst
1
0
Fork 0
mirror of https://github.com/wassname/catalyst.git synced 2026-06-30 20:16:30 +08:00
Code Issues Packages Projects Releases Wiki Activity

ENH: Removes dependence of BcolzMinuteBarReader on 390 minutes per day

Browse Source 
Adds a minutes_per_day field to BcolzMinuteBarMetadata, so that the
minutes_per_day value passed to the BcolzMinuteBarWriter is written as a
part of the minute bar metadata. This allows the reader to share this
value, instead of always assuming 390.

Also rebuilds the example data to incorporate this format change.
This commit is contained in:
Andrew Daniels
2016-06-23 15:05:28 -04:00
committed by Eddie Hebert
parent 4be07e4628
commit 14489c8b10
1 changed files with 26 additions and 13 deletions
Download Patch File Download Diff File Expand all files Collapse all files
zipline/data/minute_bars.py
+26 -13
View File
@@ -131,19 +131,28 @@ class BcolzMinuteBarMetadata(object):
unit='m',
utc=True)
ohlc_ratio = raw_data['ohlc_ratio']
return cls(first_trading_day,
market_opens,
market_closes,
ohlc_ratio)
minutes_per_day = raw_data['minutes_per_day']
return cls(
first_trading_day,
market_opens,
market_closes,
ohlc_ratio,
minutes_per_day,
)
def __init__(self, first_trading_day,
market_opens,
market_closes,
ohlc_ratio):
def __init__(
self,
first_trading_day,
market_opens,
market_closes,
ohlc_ratio,
minutes_per_day,
):
self.first_trading_day = first_trading_day
self.market_opens = market_opens
self.market_closes = market_closes
self.ohlc_ratio = ohlc_ratio
self.minutes_per_day = minutes_per_day
def write(self, rootdir):
"""
@@ -169,6 +178,7 @@ class BcolzMinuteBarMetadata(object):
astype('datetime64[m]').
astype(np.int64).tolist(),
'ohlc_ratio': self.ohlc_ratio,
'minutes_per_day': self.minutes_per_day
}
with open(self.metadata_path(rootdir), 'w+') as fp:
json.dump(metadata, fp)
@@ -300,6 +310,7 @@ class BcolzMinuteBarWriter(object):
self._market_opens,
self._market_closes,
self._ohlc_ratio,
self._minutes_per_day,
)
metadata.write(self._rootdir)
@@ -669,6 +680,8 @@ class BcolzMinuteBarReader(object):
self._ohlc_inverse = 1.0 / metadata.ohlc_ratio
self._minutes_per_day = metadata.minutes_per_day
self._carrays = {
field: LRUCache(maxsize=sid_cache_size)
for field in self.FIELDS
@@ -704,7 +717,7 @@ class BcolzMinuteBarReader(object):
market_closes = self._market_closes.values.astype('datetime64[m]')
minutes_per_day = (market_closes - market_opens).astype(np.int64)
early_indices = np.where(
minutes_per_day != US_EQUITIES_MINUTES_PER_DAY - 1)[0]
minutes_per_day != self._minutes_per_day - 1)[0]
early_opens = self._market_opens[early_indices]
early_closes = self._market_closes[early_indices]
minutes = [(market_open, early_close)
@@ -736,7 +749,7 @@ class BcolzMinuteBarReader(object):
end_pos = (
self._find_position_of_minute(market_open)
+
US_EQUITIES_MINUTES_PER_DAY
self._minutes_per_day
-
1
)
@@ -855,14 +868,14 @@ class BcolzMinuteBarReader(object):
dt_minutes,
start_date_minutes,
volumes,
US_EQUITIES_MINUTES_PER_DAY
self._minutes_per_day,
)
def _pos_to_minute(self, pos):
minute_epoch = minute_value(
self._market_open_values,
pos,
US_EQUITIES_MINUTES_PER_DAY
self._minutes_per_day
)
return pd.Timestamp(minute_epoch, tz='UTC', unit="m")
@@ -890,7 +903,7 @@ class BcolzMinuteBarReader(object):
self._market_open_values,
self._market_close_values,
minute_dt.value / NANOS_IN_MINUTE,
US_EQUITIES_MINUTES_PER_DAY,
self._minutes_per_day,
)
def load_raw_arrays(self, fields, start_dt, end_dt, sids):