From 294c7161128371d58974cebeb76811203fb84c0a Mon Sep 17 00:00:00 2001 From: Eddie Hebert Date: Thu, 11 Aug 2016 12:32:17 -0400 Subject: [PATCH] MAINT: Define futures minutes per day. Define the commonly used minutes per day for futures data as a module level value. --- zipline/data/minute_bars.py | 1 + zipline/testing/fixtures.py | 6 +++--- 2 files changed, 4 insertions(+), 3 deletions(-) diff --git a/zipline/data/minute_bars.py b/zipline/data/minute_bars.py index df1b4328..438f92e2 100644 --- a/zipline/data/minute_bars.py +++ b/zipline/data/minute_bars.py @@ -34,6 +34,7 @@ from zipline.utils.cli import maybe_show_progress from zipline.utils.memoize import lazyval US_EQUITIES_MINUTES_PER_DAY = 390 +FUTURES_MINUTES_PER_DAY = 1440 DEFAULT_EXPECTEDLEN = US_EQUITIES_MINUTES_PER_DAY * 252 * 15 diff --git a/zipline/testing/fixtures.py b/zipline/testing/fixtures.py index 325cef88..b2d440c3 100644 --- a/zipline/testing/fixtures.py +++ b/zipline/testing/fixtures.py @@ -26,7 +26,8 @@ from ..data.us_equity_pricing import ( from ..data.minute_bars import ( BcolzMinuteBarReader, BcolzMinuteBarWriter, - US_EQUITIES_MINUTES_PER_DAY + US_EQUITIES_MINUTES_PER_DAY, + FUTURES_MINUTES_PER_DAY, ) from ..finance.trading import TradingEnvironment @@ -1052,8 +1053,7 @@ class WithBcolzFutureMinuteBarReader(WithFutureMinuteBarData, WithTmpDir): p, trading_calendar.schedule.market_open.loc[days], trading_calendar.schedule.market_close.loc[days], - # TODO: Make futures minutes per day. - 1440, + FUTURES_MINUTES_PER_DAY, ) writer.write(cls.make_future_minute_bar_data())