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WIP: Integration of generic bundle and five minute bars

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This commit is contained in:
Conner Fromknecht
2017-07-21 04:10:58 -07:00
parent e28459b19f
commit 3df274431e
22 changed files with 671 additions and 344 deletions
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catalyst/data/dispatch_bar_reader.py
+5 -1
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@@ -130,13 +130,17 @@ class AssetDispatchBarReader(with_metaclass(ABCMeta)):
return results
class AssetDispatchMinuteBarReader(AssetDispatchBarReader):
def _dt_window_size(self, start_dt, end_dt):
return len(self.trading_calendar.minutes_in_range(start_dt, end_dt))
class AssetDispatchFiveMinuteBarReader(AssetDispatchBarReader):
def _dt_window_size(self, start_dt, end_dt):
return len(self.trading_calendar.five_minutes_in_range(start_dt, end_dt))
class AssetDispatchSessionBarReader(AssetDispatchBarReader):
def _dt_window_size(self, start_dt, end_dt):