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MAINT: Clean up data freq inference in TradingAlgorithm.run.

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Nathan Wolfe
2016-07-29 17:15:47 -04:00
parent 55b79e8f32
commit 3efbe6bc17
1 changed files with 10 additions and 9 deletions
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zipline/algorithm.py
+10 -9
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@@ -620,6 +620,14 @@ class TradingAlgorithm(object):
normalize_date(data.major_axis[-1])
)
# Assume data is daily if timestamp times are
# standardized, otherwise assume minute bars.
times = data.major_axis.time
if np.all(times == times[0]):
self.sim_params.data_frequency = 'daily'
else:
self.sim_params.data_frequency = 'minute'
copy_panel = data.rename(
# These were the old names for the close/open columns. We
# need to make a copy anyway, so swap these for backwards
@@ -636,12 +644,7 @@ class TradingAlgorithm(object):
)
)
# Assume data is daily if timestamp times are
# standardized, otherwise assume minute bars.
times = copy_panel.major_axis.time
if (np.all(times == times[0]) or
(self.sim_params.data_frequency == 'daily'
and not overwrite_sim_params)):
if self.sim_params.data_frequency == 'daily':
equity_daily_reader = PanelDailyBarReader(
self.trading_calendar.all_sessions,
copy_panel,
@@ -653,9 +656,7 @@ class TradingAlgorithm(object):
.first_trading_day,
equity_daily_reader=equity_daily_reader,
)
else:
if overwrite_sim_params:
self.sim_params.data_frequency = 'minute'
elif self.sim_params.data_frequency == 'minute':
equity_minute_reader = PanelMinuteBarReader(
self.trading_calendar.all_minutes,
copy_panel,