ENH: Pass calendar instance to BcolzMinuteBarWriter (#1406)

* First pass.

* Improvements and fixes

- Update usages of BcolzMinuteBarWriter
- Updates with rebuilt example data
- Expose calendar from BcolzMinuteBarMetadata instead of calendar_name
- Keep market_opens and market_closes in metadata for compatibility

* Store start_session and end_session in minute bcolz metadata

- start_session replaces first_trading_day
- Add end_session to limit to correct days

* For last_available_dt, get last close from calendar to maintain tz

* Bumps version and handles earlier versionson read

* Rebuilt example data on python 3

* Indicate metadata fields that are deprecated
This commit is contained in:
Andrew Daniels
2016-08-18 15:41:26 -04:00
committed by GitHub
parent ab1b485393
commit 37e6a48e99
7 changed files with 146 additions and 117 deletions
+3 -9
View File
@@ -3532,12 +3532,6 @@ class TestEquityAutoClose(WithTmpDir, WithTradingCalendars, ZiplineTestCase):
sids = asset_info.index
env = self.enter_instance_context(tmp_trading_env(equities=asset_info))
market_opens = self.trading_calendar.schedule.market_open.loc[
self.test_days
]
market_closes = self.trading_calendar.schedule.market_close.loc[
self.test_days
]
if frequency == 'daily':
dates = self.test_days
@@ -3569,10 +3563,10 @@ class TestEquityAutoClose(WithTmpDir, WithTradingCalendars, ZiplineTestCase):
self.test_days[-1],
)
writer = BcolzMinuteBarWriter(
self.test_days[0],
self.tmpdir.path,
market_opens,
market_closes,
self.trading_calendar,
self.test_days[0],
self.test_days[-1],
US_EQUITIES_MINUTES_PER_DAY
)
trade_data_by_sid = make_trade_data_for_asset_info(