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Merge pull request #1128 from quantopian/remove-extra-parameter-to-position-of-minute
Fix regression on retrieval of minute positions.
This commit is contained in:
Eddie Hebert
@@ -38,8 +38,7 @@ def minute_value(ndarray[long_t, ndim=1] market_opens,
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def find_position_of_minute(ndarray[long_t, ndim=1] market_opens,
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ndarray[long_t, ndim=1] market_closes,
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long_t minute_val,
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short minutes_per_day,
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bool adjust_half_day_minutes):
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short minutes_per_day):
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"""
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Finds the position of a given minute in the given array of market opens.
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If not a market minute, adjusts to the last market minute.
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@@ -58,26 +57,6 @@ def find_position_of_minute(ndarray[long_t, ndim=1] market_opens,
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minutes_per_day: int
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The number of minutes per day (e.g. 390 for NYSE).
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adjust_half_day_minutes: boolean
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Whether or not we want to adjust non trading minutes to early close on
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half days as opposed to normal close.
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Further explanation of the use adjust_half_day_minutes:
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adjust_half_day_minutes=True:
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We are using this method for the purpose finding a value for a
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minute, and therefore, all non market minutes must be adjusted to
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the last available (e.g. 9 pm EST -> 4 pm EST, 2 pm EST -> 1 pm EST
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on a half day)
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adjust_half_day_minutes=False:
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We are using this method for the purpose of finding the positions
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of minutes we want to ignore (1 pm to 4 pm EST on half days).
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The minute bar reader tape has 390 bars per day, with 0's filled in
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for the extra bars on half days. If we index a minute between
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1:01 pm and 4 pm on a half day, we want a position for that
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unadjusted time, not adjusted to 1 pm as in the above case
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(e.g. for all days: 9 pm EST -> 4 pm EST, 2 pm EST -> 2 pm EST)
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Returns
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-------
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int: The position of the given minute in the market opens array.
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@@ -89,14 +68,7 @@ def find_position_of_minute(ndarray[long_t, ndim=1] market_opens,
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market_open = market_opens[market_open_loc]
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market_close = market_closes[market_open_loc]
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if adjust_half_day_minutes:
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# The min of the distance to market open from minute_val and number
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# of trading minutes for that day
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delta = int_min(minute_val - market_open, market_close - market_open)
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else:
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# The min of the distance to market open from minute_val and number
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# of trading minutes for a normal day (390)
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delta = int_min(minute_val - market_open, minutes_per_day)
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delta = int_min(minute_val - market_open, market_close - market_open)
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return (market_open_loc * minutes_per_day) + delta
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@@ -140,7 +112,7 @@ def find_last_traded_position_internal(
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minute_pos = int_min(
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find_position_of_minute(market_opens, market_closes, end_minute,
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minutes_per_day, True),
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minutes_per_day),
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len(volumes) - 1
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)
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+29
-23
@@ -16,7 +16,7 @@ from textwrap import dedent
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import bcolz
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from bcolz import ctable
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from intervaltree import IntervalTree
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from numpy import nan_to_num, timedelta64
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from numpy import nan_to_num
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from os.path import join
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import json
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import os
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@@ -30,7 +30,7 @@ from zipline.data._minute_bar_internal import (
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find_last_traded_position_internal
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)
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from zipline.utils.memoize import remember_last, lazyval
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from zipline.utils.memoize import lazyval
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US_EQUITIES_MINUTES_PER_DAY = 390
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@@ -618,6 +618,9 @@ class BcolzMinuteBarReader(object):
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'volume': {},
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}
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self._last_get_value_dt_position = None
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self._last_get_value_dt_value = None
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def _get_metadata(self):
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return BcolzMinuteBarMetadata.read(self._rootdir)
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@@ -646,12 +649,11 @@ class BcolzMinuteBarReader(object):
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minutes_per_day = (market_closes - market_opens).astype(np.int64)
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early_indices = np.where(
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minutes_per_day != US_EQUITIES_MINUTES_PER_DAY - 1)[0]
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regular_closes = market_opens[early_indices] + timedelta64(
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US_EQUITIES_MINUTES_PER_DAY - 1, 'm')
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early_closes = market_closes[early_indices]
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minutes = [pd.date_range(early, regular, freq='min')
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for early, regular
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in zip(early_closes + 1, regular_closes)]
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early_opens = self._market_opens[early_indices]
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early_closes = self._market_closes[early_indices]
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minutes = [(market_open, early_close)
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for market_open, early_close
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in zip(early_opens, early_closes)]
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return minutes
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@lazyval
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@@ -673,11 +675,15 @@ class BcolzMinuteBarReader(object):
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because of early closes.
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"""
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itree = IntervalTree()
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for minute_range in self._minutes_to_exclude():
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# setting adjust_half_day_minutes to False because we want to find
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# the positions of minutes 211 to 390 on a 390-bar day
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start_pos = self._find_position_of_minute(minute_range[0], False)
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end_pos = self._find_position_of_minute(minute_range[-1], False)
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for market_open, early_close in self._minutes_to_exclude():
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start_pos = self._find_position_of_minute(early_close) + 1
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end_pos = (
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self._find_position_of_minute(market_open)
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+
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US_EQUITIES_MINUTES_PER_DAY
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-
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1
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)
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data = (start_pos, end_pos)
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itree[start_pos:end_pos + 1] = data
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return itree
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@@ -744,7 +750,13 @@ class BcolzMinuteBarReader(object):
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Returns the integer value of the volume.
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(A volume of 0 signifies no trades for the given dt.)
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"""
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minute_pos = self._find_position_of_minute(dt, True)
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if self._last_get_value_dt_value == dt.value:
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minute_pos = self._last_get_value_dt_position
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else:
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minute_pos = self._find_position_of_minute(dt)
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self._last_get_value_dt_value = dt.value
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self._last_get_value_dt_position = minute_pos
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value = self._open_minute_file(field, sid)[minute_pos]
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if value == 0:
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if field == 'volume':
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@@ -787,8 +799,7 @@ class BcolzMinuteBarReader(object):
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return pd.Timestamp(minute_epoch, tz='UTC', unit="m")
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@remember_last
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def _find_position_of_minute(self, minute_dt, adjust_half_day_minutes):
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def _find_position_of_minute(self, minute_dt):
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"""
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Internal method that returns the position of the given minute in the
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list of every trading minute since market open of the first trading
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@@ -802,10 +813,6 @@ class BcolzMinuteBarReader(object):
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minute_dt: pd.Timestamp
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The minute whose position should be calculated.
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adjust_half_day_minutes: boolean
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Whether or not we want to adjust minutes to early close on half
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days.
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Returns
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-------
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int: The position of the given minute in the list of all trading
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@@ -816,7 +823,6 @@ class BcolzMinuteBarReader(object):
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self._market_close_values,
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minute_dt.value / NANOS_IN_MINUTE,
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US_EQUITIES_MINUTES_PER_DAY,
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adjust_half_day_minutes
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)
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def unadjusted_window(self, fields, start_dt, end_dt, sids):
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@@ -839,8 +845,8 @@ class BcolzMinuteBarReader(object):
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(sids, minutes in range) with a dtype of float64, containing the
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values for the respective field over start and end dt range.
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"""
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start_idx = self._find_position_of_minute(start_dt, True)
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end_idx = self._find_position_of_minute(end_dt, True)
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start_idx = self._find_position_of_minute(start_dt)
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end_idx = self._find_position_of_minute(end_dt)
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num_minutes = (end_idx - start_idx + 1)
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