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remove hardcoding of get_early_closes and passing trading_day and trading_days from env to load()

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This commit is contained in:
warren-oneill
2015-03-23 11:55:44 +01:00
committed by jfkirk
parent 49c168b3d0
commit 358d2a3b59
1 changed files with 22 additions and 19 deletions
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zipline/finance/trading.py
+22 -19
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@@ -23,7 +23,6 @@ import numpy as np
from zipline.data.loader import load_market_data
from zipline.utils import tradingcalendar
from zipline.utils.tradingcalendar import get_early_closes
log = logbook.Logger('Trading')
@@ -93,13 +92,34 @@ class TradingEnvironment(object):
max_date=None,
env_trading_calendar=tradingcalendar
):
# `tc_tdays` is short for "trading calendar trading days"
# `tc_tday` is short for "trading calendar trading day"
tc_tdays = env_trading_calendar.trading_days
tc_tday = env_trading_calendar.trading_day
if max_date:
self.trading_days = tc_tdays[tc_tdays <= max_date].copy()
self.trading_day = tc_tday[tc_tday <= max_date].copy()
else:
self.trading_days = tc_tdays.copy()
self.trading_day = tc_tday.copy()
self.first_trading_day = self.trading_days[0]
self.last_trading_day = self.trading_days[-1]
self.early_closes = env_trading_calendar.get_early_closes(
self.first_trading_day, self.last_trading_day)
self.open_and_closes = env_trading_calendar.open_and_closes.loc[
self.trading_days]
self.prev_environment = self
self.bm_symbol = bm_symbol
if not load:
load = load_market_data
self.benchmark_returns, treasury_curves_map = \
load(self.bm_symbol)
load(self.trading_day, self.trading_days, self.bm_symbol)
self.treasury_curves = pd.DataFrame(treasury_curves_map).T
if max_date:
@@ -112,23 +132,6 @@ class TradingEnvironment(object):
self.exchange_tz = exchange_tz
# `tc_td` is short for "trading calendar trading days"
tc_td = env_trading_calendar.trading_days
if max_date:
self.trading_days = tc_td[tc_td <= max_date].copy()
else:
self.trading_days = tc_td.copy()
self.first_trading_day = self.trading_days[0]
self.last_trading_day = self.trading_days[-1]
self.early_closes = get_early_closes(self.first_trading_day,
self.last_trading_day)
self.open_and_closes = env_trading_calendar.open_and_closes.loc[
self.trading_days]
def __enter__(self, *args, **kwargs):
global environment
self.prev_environment = environment