wassname/catalyst
1
0
Fork 0
mirror of https://github.com/wassname/catalyst.git synced 2026-07-02 15:03:52 +08:00
Code Issues Packages Projects Releases Wiki Activity

MAINT: Add equity to naming of bar data classes.

Browse Source 
In preparation of adding futures, add equity to the names of both the
classes and methods for writing bcolz data. Futures data will use a
different minutes per day with a separate reader. This change will allow
both equity and futures fixtures to be side by side.

Also, break out the method which generates the dataframes and trading
days member into fixtures (`EquityMinuteBarData` and
`EquityDailyBarData`) on which the `*BarReader` fixture depends.  This
fixture is separated out to enable reader/writers in different formats
to use the same data setup. (There is internal code which needs to write
minute and daily bar data in a database format.)
This commit is contained in:
Eddie Hebert
2016-06-28 15:30:20 -04:00
parent c89e957905
commit 51eda06323
22 changed files with 349 additions and 278 deletions
Download Patch File Download Diff File Expand all files Collapse all files
tests/data/bundles/test_core.py
+2 -2
View File
@@ -176,7 +176,7 @@ class BundleCoreTestCase(WithInstanceTmpDir, ZiplineTestCase):
columns = 'open', 'high', 'low', 'close', 'volume'
actual = bundle.minute_bar_reader.load_raw_arrays(
actual = bundle.equity_minute_bar_reader.load_raw_arrays(
columns,
minutes[0],
minutes[-1],
@@ -190,7 +190,7 @@ class BundleCoreTestCase(WithInstanceTmpDir, ZiplineTestCase):
msg=colname,
)
actual = bundle.daily_bar_reader.load_raw_arrays(
actual = bundle.equity_daily_bar_reader.load_raw_arrays(
columns,
calendar[0],
calendar[-1],
tests/data/bundles/test_quandl.py
+1 -1
View File
@@ -216,7 +216,7 @@ class QuandlBundleTestCase(ZiplineTestCase):
assert_equal(equity.end_date, self.asset_end, msg=equity)
cal = self.calendar
actual = bundle.daily_bar_reader.load_raw_arrays(
actual = bundle.equity_daily_bar_reader.load_raw_arrays(
self.columns,
cal[cal.get_loc(self.asset_start, 'bfill')],
cal[cal.get_loc(self.asset_end, 'ffill')],
tests/data/bundles/test_yahoo.py
+1 -1
View File
@@ -177,7 +177,7 @@ class YahooBundleTestCase(WithResponses, ZiplineTestCase):
assert_equal(equity.start_date, self.asset_start, msg=equity)
assert_equal(equity.end_date, self.asset_end, msg=equity)
actual = bundle.daily_bar_reader.load_raw_arrays(
actual = bundle.equity_daily_bar_reader.load_raw_arrays(
self.columns,
cal[cal.get_loc(self.asset_start, 'bfill')],
cal[cal.get_loc(self.asset_end, 'ffill')],
tests/data/test_us_equity_pricing.py
+10 -10
View File
@@ -43,7 +43,7 @@ from zipline.pipeline.loaders.synthetic import (
)
from zipline.testing import seconds_to_timestamp
from zipline.testing.fixtures import (
WithBcolzDailyBarReader,
WithBcolzEquityDailyBarReader,
ZiplineTestCase,
)
from zipline.utils.calendars import get_calendar
@@ -79,19 +79,19 @@ EQUITY_INFO = DataFrame(
TEST_QUERY_ASSETS = EQUITY_INFO.index
class BcolzDailyBarTestCase(WithBcolzDailyBarReader, ZiplineTestCase):
BCOLZ_DAILY_BAR_START_DATE = TEST_CALENDAR_START
BCOLZ_DAILY_BAR_END_DATE = TEST_CALENDAR_STOP
class BcolzDailyBarTestCase(WithBcolzEquityDailyBarReader, ZiplineTestCase):
EQUITY_DAILY_BAR_START_DATE = TEST_CALENDAR_START
EQUITY_DAILY_BAR_END_DATE = TEST_CALENDAR_STOP
@classmethod
def make_equity_info(cls):
return EQUITY_INFO
@classmethod
def make_daily_bar_data(cls):
def make_equity_daily_bar_data(cls):
return make_bar_data(
EQUITY_INFO,
cls.bcolz_daily_bar_days,
cls.equity_daily_bar_days,
)
@classmethod
@@ -187,12 +187,12 @@ class BcolzDailyBarTestCase(WithBcolzDailyBarReader, ZiplineTestCase):
def test_read_first_trading_day(self):
self.assertEqual(
self.bcolz_daily_bar_reader.first_trading_day,
self.bcolz_equity_daily_bar_reader.first_trading_day,
self.trading_days[0],
)
def _check_read_results(self, columns, assets, start_date, end_date):
results = self.bcolz_daily_bar_reader.load_raw_arrays(
results = self.bcolz_equity_daily_bar_reader.load_raw_arrays(
columns,
start_date,
end_date,
@@ -280,7 +280,7 @@ class BcolzDailyBarTestCase(WithBcolzDailyBarReader, ZiplineTestCase):
)
def test_unadjusted_spot_price(self):
reader = self.bcolz_daily_bar_reader
reader = self.bcolz_equity_daily_bar_reader
# At beginning
price = reader.spot_price(1, Timestamp('2015-06-01', tz='UTC'),
'close')
@@ -318,7 +318,7 @@ class BcolzDailyBarTestCase(WithBcolzDailyBarReader, ZiplineTestCase):
reader.spot_price(4, Timestamp('2015-06-16', tz='UTC'), 'close')
def test_unadjusted_spot_price_empty_value(self):
reader = self.bcolz_daily_bar_reader
reader = self.bcolz_equity_daily_bar_reader
# A sid, day and corresponding index into which to overwrite a zero.
zero_sid = 1
tests/finance/test_slippage.py
+4 -4
View File
@@ -32,7 +32,7 @@ from zipline.finance.blotter import Order
from zipline.data.data_portal import DataPortal
from zipline.protocol import BarData
from zipline.testing import tmp_bcolz_minute_bar_reader
from zipline.testing import tmp_bcolz_equity_minute_bar_reader
from zipline.testing.fixtures import (
WithDataPortal,
WithSimParams,
@@ -57,7 +57,7 @@ class SlippageTestCase(WithSimParams, WithDataPortal, ZiplineTestCase):
)
@classmethod
def make_minute_bar_data(cls):
def make_equity_minute_bar_data(cls):
yield 133, pd.DataFrame(
{
'open': [3.0, 3.0, 3.5, 4.0, 3.5],
@@ -91,7 +91,7 @@ class SlippageTestCase(WithSimParams, WithDataPortal, ZiplineTestCase):
start=normalize_date(self.minutes[0]),
end=normalize_date(self.minutes[-1])
)
with tmp_bcolz_minute_bar_reader(self.trading_schedule, days, assets) \
with tmp_bcolz_equity_minute_bar_reader(self.trading_schedule, days, assets) \
as reader:
data_portal = DataPortal(
self.env.asset_finder, self.trading_schedule,
@@ -481,7 +481,7 @@ class SlippageTestCase(WithSimParams, WithDataPortal, ZiplineTestCase):
start=normalize_date(self.minutes[0]),
end=normalize_date(self.minutes[-1])
)
with tmp_bcolz_minute_bar_reader(self.trading_schedule, days, assets) \
with tmp_bcolz_equity_minute_bar_reader(self.trading_schedule, days, assets) \
as reader:
data_portal = DataPortal(
self.env.asset_finder, self.trading_schedule,
tests/pipeline/test_engine.py
+3 -3
View File
@@ -893,10 +893,10 @@ class SyntheticBcolzTestCase(WithAdjustmentReader,
return ret
@classmethod
def make_daily_bar_data(cls):
def make_equity_daily_bar_data(cls):
return make_bar_data(
cls.equity_info,
cls.bcolz_daily_bar_days,
cls.equity_daily_bar_days,
)
@classmethod
@@ -905,7 +905,7 @@ class SyntheticBcolzTestCase(WithAdjustmentReader,
cls.all_asset_ids = cls.asset_finder.sids
cls.last_asset_end = cls.equity_info['end_date'].max()
cls.pipeline_loader = USEquityPricingLoader(
cls.bcolz_daily_bar_reader,
cls.bcolz_equity_daily_bar_reader,
cls.adjustment_reader,
)
tests/pipeline/test_pipeline_algo.py
+5 -5
View File
@@ -56,7 +56,7 @@ from zipline.testing import (
)
from zipline.testing.fixtures import (
WithAdjustmentReader,
WithBcolzDailyBarReaderFromCSVs,
WithBcolzEquityDailyBarReaderFromCSVs,
WithDataPortal,
ZiplineTestCase,
)
@@ -120,7 +120,7 @@ class ClosesOnly(WithDataPortal, ZiplineTestCase):
return ret
@classmethod
def make_daily_bar_data(cls):
def make_equity_daily_bar_data(cls):
cls.closes = DataFrame(
{sid: arange(1, len(cls.dates) + 1) * sid for sid in cls.sids},
index=cls.dates,
@@ -340,7 +340,7 @@ class MockDailyBarSpotReader(object):
return 100.0
class PipelineAlgorithmTestCase(WithBcolzDailyBarReaderFromCSVs,
class PipelineAlgorithmTestCase(WithBcolzEquityDailyBarReaderFromCSVs,
WithAdjustmentReader,
ZiplineTestCase):
AAPL = 1
@@ -352,7 +352,7 @@ class PipelineAlgorithmTestCase(WithBcolzDailyBarReaderFromCSVs,
END_DATE = Timestamp('2015')
@classmethod
def make_daily_bar_data(cls):
def make_equity_daily_bar_data(cls):
resources = {
cls.AAPL: join(TEST_RESOURCE_PATH, 'AAPL.csv'),
cls.MSFT: join(TEST_RESOURCE_PATH, 'MSFT.csv'),
@@ -398,7 +398,7 @@ class PipelineAlgorithmTestCase(WithBcolzDailyBarReaderFromCSVs,
def init_class_fixtures(cls):
super(PipelineAlgorithmTestCase, cls).init_class_fixtures()
cls.pipeline_loader = USEquityPricingLoader(
cls.bcolz_daily_bar_reader,
cls.bcolz_equity_daily_bar_reader,
cls.adjustment_reader,
)
cls.dates = cls.raw_data[cls.AAPL].index.tz_localize('UTC')
tests/pipeline/test_us_equity_pricing_loader.py
+7 -7
View File
@@ -277,14 +277,14 @@ class USEquityPricingLoaderTestCase(WithAdjustmentReader,
return DIVIDENDS
@classmethod
def make_adjustment_writer_daily_bar_reader(cls):
def make_adjustment_writer_equity_daily_bar_reader(cls):
return MockDailyBarReader()
@classmethod
def make_daily_bar_data(cls):
def make_equity_daily_bar_data(cls):
return make_bar_data(
EQUITY_INFO,
cls.bcolz_daily_bar_days,
cls.equity_daily_bar_days,
)
@classmethod
@@ -306,13 +306,13 @@ class USEquityPricingLoaderTestCase(WithAdjustmentReader,
self.assertLessEqual(eff_date, asset_end)
def calendar_days_between(self, start_date, end_date, shift=0):
slice_ = self.bcolz_daily_bar_days.slice_indexer(start_date, end_date)
slice_ = self.equity_daily_bar_days.slice_indexer(start_date, end_date)
start = slice_.start + shift
stop = slice_.stop + shift
if start < 0:
raise KeyError(start_date, shift)
return self.bcolz_daily_bar_days[start:stop]
return self.equity_daily_bar_days[start:stop]
def expected_adjustments(self, start_date, end_date):
price_adjustments = {}
@@ -417,7 +417,7 @@ class USEquityPricingLoaderTestCase(WithAdjustmentReader,
self.assertEqual(adjustments, [{}, {}])
pricing_loader = USEquityPricingLoader(
self.bcolz_daily_bar_reader,
self.bcolz_equity_daily_bar_reader,
adjustment_reader,
)
@@ -494,7 +494,7 @@ class USEquityPricingLoaderTestCase(WithAdjustmentReader,
)
pricing_loader = USEquityPricingLoader(
self.bcolz_daily_bar_reader,
self.bcolz_equity_daily_bar_reader,
self.adjustment_reader,
)
tests/test_algorithm.py
+14 -14
View File
@@ -741,7 +741,7 @@ class TestTransformAlgorithm(WithLogger,
return pd.DataFrame.from_dict({3: {'multiplier': 10}}, 'index')
@classmethod
def make_daily_bar_data(cls):
def make_equity_daily_bar_data(cls):
return trades_by_sid_to_dfs(
{
sid: factory.create_trade_history(
@@ -1010,7 +1010,7 @@ class TestBeforeTradingStart(WithDataPortal,
END_DATE = pd.Timestamp('2016-01-07', tz='utc')
SIM_PARAMS_CAPITAL_BASE = 10000
SIM_PARAMS_DATA_FREQUENCY = 'minute'
BCOLZ_DAILY_BAR_LOOKBACK_DAYS = BCOLZ_MINUTE_BAR_LOOKBACK_DAYS = 1
EQUITY_DAILY_BAR_LOOKBACK_DAYS = EQUITY_MINUTE_BAR_LOOKBACK_DAYS = 1
data_start = ASSET_FINDER_EQUITY_START_DATE = pd.Timestamp(
'2016-01-05',
@@ -1021,7 +1021,7 @@ class TestBeforeTradingStart(WithDataPortal,
ASSET_FINDER_EQUITY_SIDS = 1, 2, SPLIT_ASSET_SID
@classmethod
def make_minute_bar_data(cls):
def make_equity_minute_bar_data(cls):
asset_minutes = \
cls.trading_schedule.execution_minutes_for_days_in_range(
cls.data_start,
@@ -1066,7 +1066,7 @@ class TestBeforeTradingStart(WithDataPortal,
])
@classmethod
def make_daily_bar_data(cls):
def make_equity_daily_bar_data(cls):
for sid in cls.ASSET_FINDER_EQUITY_SIDS:
yield sid, create_daily_df_for_asset(
cls.trading_schedule,
@@ -1357,7 +1357,7 @@ class TestAlgoScript(WithLogger,
START_DATE = pd.Timestamp('2006-01-03', tz='utc')
END_DATE = pd.Timestamp('2006-12-31', tz='utc')
DATA_PORTAL_USE_MINUTE_DATA = False
BCOLZ_DAILY_BAR_LOOKBACK_DAYS = 5 # max history window length
EQUITY_DAILY_BAR_LOOKBACK_DAYS = 5 # max history window length
ARG_TYPE_TEST_CASES = (
('history__assets', (bad_type_history_assets, 'Asset, str', True)),
@@ -1397,8 +1397,8 @@ class TestAlgoScript(WithLogger,
return data
@classmethod
def make_daily_bar_data(cls):
days = len(cls.bcolz_daily_bar_days)
def make_equity_daily_bar_data(cls):
days = len(cls.equity_daily_bar_days)
return trades_by_sid_to_dfs(
{
0: factory.create_trade_history(
@@ -1416,7 +1416,7 @@ class TestAlgoScript(WithLogger,
cls.sim_params,
cls.trading_schedule)
},
index=cls.bcolz_daily_bar_days,
index=cls.equity_daily_bar_days,
)
def test_noop(self):
@@ -1942,7 +1942,7 @@ class TestCapitalChanges(WithLogger,
return data
@classmethod
def make_minute_bar_data(cls):
def make_equity_minute_bar_data(cls):
minutes = cls.trading_schedule.execution_minutes_for_days_in_range(
pd.Timestamp('2006-01-03', tz='UTC'),
pd.Timestamp('2006-01-09', tz='UTC')
@@ -1961,7 +1961,7 @@ class TestCapitalChanges(WithLogger,
)
@classmethod
def make_daily_bar_data(cls):
def make_equity_daily_bar_data(cls):
days = cls.trading_schedule.execution_days_in_range(
pd.Timestamp('2006-01-03', tz='UTC'),
pd.Timestamp('2006-01-09', tz='UTC')
@@ -2904,7 +2904,7 @@ class TestAccountControls(WithDataPortal, WithSimParams, ZiplineTestCase):
sidint, = ASSET_FINDER_EQUITY_SIDS = (133,)
@classmethod
def make_daily_bar_data(cls):
def make_equity_daily_bar_data(cls):
return trades_by_sid_to_dfs(
{
cls.sidint: factory.create_trade_history(
@@ -3051,7 +3051,7 @@ class TestFutureFlip(WithDataPortal, WithSimParams, ZiplineTestCase):
sid, = ASSET_FINDER_EQUITY_SIDS = (1,)
@classmethod
def make_daily_bar_data(cls):
def make_equity_daily_bar_data(cls):
return trades_by_sid_to_dfs(
{
cls.sid: factory.create_trade_history(
@@ -3169,7 +3169,7 @@ class TestOrderCancelation(WithDataPortal,
)
@classmethod
def make_minute_bar_data(cls):
def make_equity_minute_bar_data(cls):
asset_minutes = \
cls.trading_schedule.execution_minutes_for_days_in_range(
cls.sim_params.period_start,
@@ -3192,7 +3192,7 @@ class TestOrderCancelation(WithDataPortal,
)
@classmethod
def make_daily_bar_data(cls):
def make_equity_daily_bar_data(cls):
yield 1, pd.DataFrame(
{
'open': np.full(3, 1),
tests/test_api_shim.py
+3 -3
View File
@@ -121,7 +121,7 @@ class TestAPIShim(WithDataPortal, WithSimParams, ZiplineTestCase):
sids = ASSET_FINDER_EQUITY_SIDS = 1, 2, 3
@classmethod
def make_minute_bar_data(cls):
def make_equity_minute_bar_data(cls):
for sid in cls.sids:
yield sid, create_minute_df_for_asset(
cls.trading_schedule,
@@ -130,7 +130,7 @@ class TestAPIShim(WithDataPortal, WithSimParams, ZiplineTestCase):
)
@classmethod
def make_daily_bar_data(cls):
def make_equity_daily_bar_data(cls):
for sid in cls.sids:
yield sid, create_daily_df_for_asset(
cls.trading_schedule,
@@ -149,7 +149,7 @@ class TestAPIShim(WithDataPortal, WithSimParams, ZiplineTestCase):
])
@classmethod
def make_adjustment_writer_daily_bar_reader(cls):
def make_adjustment_writer_equity_daily_bar_reader(cls):
return MockDailyBarReader()
@classmethod
tests/test_bar_data.py
+42 -41
View File
@@ -103,7 +103,7 @@ class TestMinuteBarData(WithBarDataChecks,
HILARIOUSLY_ILLIQUID_ASSET_SID = 5
@classmethod
def make_minute_bar_data(cls):
def make_equity_minute_bar_data(cls):
# asset1 has trades every minute
# asset2 has trades every 10 minutes
# split_asset trades every minute
@@ -111,22 +111,22 @@ class TestMinuteBarData(WithBarDataChecks,
for sid in (1, cls.SPLIT_ASSET_SID):
yield sid, create_minute_df_for_asset(
cls.trading_schedule,
cls.bcolz_minute_bar_days[0],
cls.bcolz_minute_bar_days[-1],
cls.equity_minute_bar_days[0],
cls.equity_minute_bar_days[-1],
)
for sid in (2, cls.ILLIQUID_SPLIT_ASSET_SID):
yield sid, create_minute_df_for_asset(
cls.trading_schedule,
cls.bcolz_minute_bar_days[0],
cls.bcolz_minute_bar_days[-1],
cls.equity_minute_bar_days[0],
cls.equity_minute_bar_days[-1],
10,
)
yield cls.HILARIOUSLY_ILLIQUID_ASSET_SID, create_minute_df_for_asset(
cls.trading_schedule,
cls.bcolz_minute_bar_days[0],
cls.bcolz_minute_bar_days[-1],
cls.equity_minute_bar_days[0],
cls.equity_minute_bar_days[-1],
50,
)
@@ -167,7 +167,7 @@ class TestMinuteBarData(WithBarDataChecks,
# grab minutes that include the day before the asset start
minutes = self.trading_schedule.execution_minutes_for_day(
self.trading_schedule.previous_execution_day(
self.bcolz_minute_bar_days[0]
self.equity_minute_bar_days[0]
)
)
@@ -195,7 +195,7 @@ class TestMinuteBarData(WithBarDataChecks,
def test_regular_minute(self):
minutes = self.trading_schedule.execution_minutes_for_day(
self.bcolz_minute_bar_days[0]
self.equity_minute_bar_days[0]
)
for idx, minute in enumerate(minutes):
@@ -287,7 +287,7 @@ class TestMinuteBarData(WithBarDataChecks,
def test_minute_of_last_day(self):
minutes = self.trading_schedule.execution_minutes_for_day(
self.bcolz_daily_bar_days[-1],
self.equity_daily_bar_days[-1],
)
# this is the last day the assets exist
@@ -300,12 +300,12 @@ class TestMinuteBarData(WithBarDataChecks,
def test_minute_after_assets_stopped(self):
minutes = self.trading_schedule.execution_minutes_for_day(
self.trading_schedule.next_execution_day(
self.bcolz_minute_bar_days[-1]
self.equity_minute_bar_days[-1]
)
)
last_trading_minute = self.trading_schedule.execution_minutes_for_day(
self.bcolz_minute_bar_days[-1]
self.equity_minute_bar_days[-1]
)[-1]
# this entire day is after both assets have stopped trading
@@ -347,8 +347,8 @@ class TestMinuteBarData(WithBarDataChecks,
# ... but that's it's not applied when using spot value
minutes = self.trading_schedule.execution_minutes_for_days_in_range(
start=self.bcolz_minute_bar_days[0],
end=self.bcolz_minute_bar_days[1]
start=self.equity_minute_bar_days[0],
end=self.equity_minute_bar_days[1]
)
for idx, minute in enumerate(minutes):
@@ -362,10 +362,10 @@ class TestMinuteBarData(WithBarDataChecks,
# on cls.days[1], the first 9 minutes of ILLIQUID_SPLIT_ASSET are
# missing. let's get them.
day0_minutes = self.trading_schedule.execution_minutes_for_day(
self.bcolz_minute_bar_days[0]
self.equity_minute_bar_days[0]
)
day1_minutes = self.trading_schedule.execution_minutes_for_day(
self.bcolz_minute_bar_days[1]
self.equity_minute_bar_days[1]
)
for idx, minute in enumerate(day0_minutes[-10:-1]):
@@ -396,7 +396,7 @@ class TestMinuteBarData(WithBarDataChecks,
def test_spot_price_at_midnight(self):
# make sure that if we try to get a minute price at a non-market
# minute, we use the previous market close's timestamp
day = self.bcolz_minute_bar_days[1]
day = self.equity_minute_bar_days[1]
eight_fortyfive_am_eastern = \
pd.Timestamp("{0}-{1}-{2} 8:45".format(
@@ -439,7 +439,7 @@ class TestMinuteBarData(WithBarDataChecks,
# make sure that if we use `can_trade` at midnight, we don't pretend
# we're in the previous day's last minute
the_day_after = self.trading_schedule.next_execution_day(
self.bcolz_minute_bar_days[-1]
self.equity_minute_bar_days[-1]
)
bar_data = BarData(self.data_portal, lambda: the_day_after, "minute")
@@ -453,7 +453,7 @@ class TestMinuteBarData(WithBarDataChecks,
# but make sure it works when the assets are alive
bar_data2 = BarData(
self.data_portal,
lambda: self.bcolz_minute_bar_days[1],
lambda: self.equity_minute_bar_days[1],
"minute",
)
for asset in [self.ASSET1, self.HILARIOUSLY_ILLIQUID_ASSET]:
@@ -465,7 +465,7 @@ class TestMinuteBarData(WithBarDataChecks,
def test_is_stale_at_midnight(self):
bar_data = BarData(
self.data_portal,
lambda: self.bcolz_minute_bar_days[1],
lambda: self.equity_minute_bar_days[1],
"minute",
)
@@ -487,7 +487,7 @@ class TestMinuteBarData(WithBarDataChecks,
)
# Current day is 1/06/16
day = self.bcolz_daily_bar_days[1]
day = self.equity_daily_bar_days[1]
eight_fortyfive_am_eastern = \
pd.Timestamp("{0}-{1}-{2} 8:45".format(
day.year, day.month, day.day),
@@ -602,16 +602,16 @@ class TestDailyBarData(WithBarDataChecks,
)
@classmethod
def make_adjustment_writer_daily_bar_reader(cls):
def make_adjustment_writer_equity_daily_bar_reader(cls):
return MockDailyBarReader()
@classmethod
def make_daily_bar_data(cls):
def make_equity_daily_bar_data(cls):
for sid in cls.sids:
yield sid, create_daily_df_for_asset(
cls.trading_schedule,
cls.bcolz_daily_bar_days[0],
cls.bcolz_daily_bar_days[-1],
cls.equity_daily_bar_days[0],
cls.equity_daily_bar_days[-1],
interval=2 - sid % 2
)
@@ -642,9 +642,9 @@ class TestDailyBarData(WithBarDataChecks,
cls.ASSETS = [cls.ASSET1, cls.ASSET2]
def test_day_before_assets_trading(self):
# use the day before self.bcolz_daily_bar_days[0]
# use the day before self.equity_daily_bar_days[0]
day = self.trading_schedule.previous_execution_day(
self.bcolz_daily_bar_days[0]
self.equity_daily_bar_days[0]
)
bar_data = BarData(self.data_portal, lambda: day, "daily")
@@ -668,10 +668,10 @@ class TestDailyBarData(WithBarDataChecks,
self.assertTrue(asset_value is pd.NaT)
def test_semi_active_day(self):
# on self.bcolz_daily_bar_days[0], only asset1 has data
# on self.equity_daily_bar_days[0], only asset1 has data
bar_data = BarData(
self.data_portal,
lambda: self.bcolz_daily_bar_days[0],
lambda: self.equity_daily_bar_days[0],
"daily",
)
self.check_internal_consistency(bar_data)
@@ -691,7 +691,7 @@ class TestDailyBarData(WithBarDataChecks,
self.assertEqual(2, bar_data.current(self.ASSET1, "close"))
self.assertEqual(200, bar_data.current(self.ASSET1, "volume"))
self.assertEqual(2, bar_data.current(self.ASSET1, "price"))
self.assertEqual(self.bcolz_daily_bar_days[0],
self.assertEqual(self.equity_daily_bar_days[0],
bar_data.current(self.ASSET1, "last_traded"))
for field in OHLCP:
@@ -706,12 +706,12 @@ class TestDailyBarData(WithBarDataChecks,
def test_fully_active_day(self):
bar_data = BarData(
self.data_portal,
lambda: self.bcolz_daily_bar_days[1],
lambda: self.equity_daily_bar_days[1],
"daily",
)
self.check_internal_consistency(bar_data)
# on self.bcolz_daily_bar_days[1], both assets have data
# on self.equity_daily_bar_days[1], both assets have data
for asset in self.ASSETS:
self.assertTrue(bar_data.can_trade(asset))
self.assertFalse(bar_data.is_stale(asset))
@@ -723,14 +723,14 @@ class TestDailyBarData(WithBarDataChecks,
self.assertEqual(300, bar_data.current(asset, "volume"))
self.assertEqual(3, bar_data.current(asset, "price"))
self.assertEqual(
self.bcolz_daily_bar_days[1],
self.equity_daily_bar_days[1],
bar_data.current(asset, "last_traded")
)
def test_last_active_day(self):
bar_data = BarData(
self.data_portal,
lambda: self.bcolz_daily_bar_days[-1],
lambda: self.equity_daily_bar_days[-1],
"daily",
)
self.check_internal_consistency(bar_data)
@@ -749,7 +749,7 @@ class TestDailyBarData(WithBarDataChecks,
def test_after_assets_dead(self):
# both assets end on self.day[-1], so let's try the next day
next_day = self.trading_schedule.next_execution_day(
self.bcolz_daily_bar_days[-1]
self.equity_daily_bar_days[-1]
)
bar_data = BarData(self.data_portal, lambda: next_day, "daily")
@@ -767,9 +767,10 @@ class TestDailyBarData(WithBarDataChecks,
last_traded_dt = bar_data.current(asset, "last_traded")
if asset == self.ASSET1:
self.assertEqual(self.bcolz_daily_bar_days[-2], last_traded_dt)
self.assertEqual(self.equity_daily_bar_days[-2],
last_traded_dt)
else:
self.assertEqual(self.bcolz_daily_bar_days[1], last_traded_dt)
self.assertEqual(self.equity_daily_bar_days[1], last_traded_dt)
@parameterized.expand([
("split", 2, 3, 3, 1.5),
@@ -805,7 +806,7 @@ class TestDailyBarData(WithBarDataChecks,
# ... but that's it's not applied when using spot value
bar_data = BarData(
self.data_portal,
lambda: self.bcolz_daily_bar_days[0],
lambda: self.equity_daily_bar_days[0],
"daily",
)
self.assertEqual(
@@ -814,7 +815,7 @@ class TestDailyBarData(WithBarDataChecks,
)
bar_data = BarData(
self.data_portal,
lambda: self.bcolz_daily_bar_days[1],
lambda: self.equity_daily_bar_days[1],
"daily",
)
self.assertEqual(
@@ -826,7 +827,7 @@ class TestDailyBarData(WithBarDataChecks,
# ILLIQUID_ASSET has no data on days 0 and 2, and a split on day 2
bar_data = BarData(
self.data_portal,
lambda: self.bcolz_daily_bar_days[1],
lambda: self.equity_daily_bar_days[1],
"daily",
)
self.assertEqual(
@@ -835,7 +836,7 @@ class TestDailyBarData(WithBarDataChecks,
bar_data = BarData(
self.data_portal,
lambda: self.bcolz_daily_bar_days[2],
lambda: self.equity_daily_bar_days[2],
"daily",
)
tests/test_benchmark.py
+4 -4
View File
@@ -25,7 +25,7 @@ from zipline.sources.benchmark_source import BenchmarkSource
from zipline.testing import (
MockDailyBarReader,
create_minute_bar_data,
tmp_bcolz_minute_bar_reader,
tmp_bcolz_equity_minute_bar_reader,
)
from zipline.testing.fixtures import (
WithDataPortal,
@@ -65,7 +65,7 @@ class TestBenchmark(WithDataPortal, WithSimParams, WithTradingSchedule,
)
@classmethod
def make_adjustment_writer_daily_bar_reader(cls):
def make_adjustment_writer_equity_daily_bar_reader(cls):
return MockDailyBarReader()
@classmethod
@@ -147,7 +147,7 @@ class TestBenchmark(WithDataPortal, WithSimParams, WithTradingSchedule,
self.sim_params.trading_days[5]
)
tmp_reader = tmp_bcolz_minute_bar_reader(
tmp_reader = tmp_bcolz_equity_minute_bar_reader(
self.trading_schedule,
self.trading_schedule.all_execution_days,
create_minute_bar_data(minutes, [2]),
@@ -157,7 +157,7 @@ class TestBenchmark(WithDataPortal, WithSimParams, WithTradingSchedule,
self.env.asset_finder, self.trading_schedule,
first_trading_day=reader.first_trading_day,
equity_minute_reader=reader,
equity_daily_reader=self.bcolz_daily_bar_reader,
equity_daily_reader=self.bcolz_equity_daily_bar_reader,
adjustment_reader=self.adjustment_reader,
)
tests/test_blotter.py
+1 -1
View File
@@ -49,7 +49,7 @@ class BlotterTestCase(WithLogger,
ASSET_FINDER_EQUITY_SIDS = 24, 25
@classmethod
def make_daily_bar_data(cls):
def make_equity_daily_bar_data(cls):
yield 24, pd.DataFrame(
{
'open': [50, 50],
tests/test_commissions.py
+1 -1
View File
@@ -130,7 +130,7 @@ class CommissionAlgorithmTests(WithDataPortal, WithSimParams, ZiplineTestCase):
)
@classmethod
def make_daily_bar_data(cls):
def make_equity_daily_bar_data(cls):
num_days = len(cls.sim_params.trading_days)
return trades_by_sid_to_dfs(
tests/test_history.py
+8 -8
View File
@@ -25,7 +25,7 @@ from zipline.testing import (
MockDailyBarReader,
)
from zipline.testing.fixtures import (
WithBcolzMinuteBarReader,
WithBcolzEquityMinuteBarReader,
WithDataPortal,
ZiplineTestCase,
alias,
@@ -223,7 +223,7 @@ class WithHistory(WithDataPortal):
)
@classmethod
def make_adjustment_writer_daily_bar_reader(cls):
def make_adjustment_writer_equity_daily_bar_reader(cls):
return MockDailyBarReader()
def verify_regular_dt(self, idx, dt, mode, fields=None, assets=None):
@@ -447,11 +447,11 @@ MINUTE_FIELD_INFO = {
class MinuteEquityHistoryTestCase(WithHistory, ZiplineTestCase):
BCOLZ_DAILY_BAR_SOURCE_FROM_MINUTE = True
EQUITY_DAILY_BAR_SOURCE_FROM_MINUTE = True
DATA_PORTAL_FIRST_TRADING_DAY = alias('TRADING_START_DT')
@classmethod
def make_minute_bar_data(cls):
def make_equity_minute_bar_data(cls):
data = {}
sids = {2, 5, cls.SHORT_ASSET_SID, cls.HALF_DAY_TEST_ASSET_SID}
for sid in sids:
@@ -1314,7 +1314,7 @@ class MinuteEquityHistoryTestCase(WithHistory, ZiplineTestCase):
class DailyEquityHistoryTestCase(WithHistory, ZiplineTestCase):
@classmethod
def make_daily_bar_data(cls):
def make_equity_daily_bar_data(cls):
yield 1, cls.create_df_for_asset(
cls.START_DATE,
pd.Timestamp('2016-01-30', tz='UTC')
@@ -1715,7 +1715,7 @@ class DailyEquityHistoryTestCase(WithHistory, ZiplineTestCase):
window_2[self.ASSET2].values)
class MinuteToDailyAggregationTestCase(WithBcolzMinuteBarReader,
class MinuteToDailyAggregationTestCase(WithBcolzEquityMinuteBarReader,
ZiplineTestCase):
# March 2016
@@ -1740,7 +1740,7 @@ class MinuteToDailyAggregationTestCase(WithBcolzMinuteBarReader,
tz='US/Eastern').tz_convert('UTC')
@classmethod
def make_minute_bar_data(cls):
def make_equity_minute_bar_data(cls):
# sid data is created so that at least one high is lower than a
# previous high, and the inverse for low
yield 1, pd.DataFrame(
@@ -1804,7 +1804,7 @@ class MinuteToDailyAggregationTestCase(WithBcolzMinuteBarReader,
# needs to be tested.
self.equity_daily_aggregator = DailyHistoryAggregator(
self.trading_schedule.schedule.market_open,
self.bcolz_minute_bar_reader,
self.bcolz_equity_minute_bar_reader,
)
@parameterized.expand([
zipline/data/bundles/core.py
+4 -3
View File
@@ -111,7 +111,8 @@ _BundlePayload = namedtuple(
BundleData = namedtuple(
'BundleData',
'asset_finder minute_bar_reader daily_bar_reader adjustment_reader',
'asset_finder equity_minute_bar_reader equity_daily_bar_reader '
'adjustment_reader',
)
BundleCore = namedtuple(
@@ -443,10 +444,10 @@ def _make_bundle_core():
asset_finder=AssetFinder(
asset_db_path(name, timestr, environ=environ),
),
minute_bar_reader=BcolzMinuteBarReader(
equity_minute_bar_reader=BcolzMinuteBarReader(
minute_equity_path(name, timestr, environ=environ),
),
daily_bar_reader=BcolzDailyBarReader(
equity_daily_bar_reader=BcolzDailyBarReader(
daily_equity_path(name, timestr, environ=environ),
),
adjustment_reader=SQLiteAdjustmentReader(
zipline/data/data_portal.py
+1 -1
View File
@@ -486,7 +486,7 @@ class DataPortal(object):
daily data backtests or daily history calls in a minute backetest.
If a daily bar reader is not provided but a minute bar reader is,
the minutes will be rolled up to serve the daily requests.
future_minute_reader : BcolzMinuteBarReader, optional
future_minute_reader : BcolzFutureMinuteBarReader, optional
The minute bar reader for futures. This will be used to service
minute data backtests or minute history calls. This can be used
to serve daily calls if no daily bar reader is provided.
zipline/data/us_equity_pricing.py
+5 -5
View File
@@ -794,7 +794,7 @@ class SQLiteAdjustmentWriter(object):
----------
conn_or_path : str or sqlite3.Connection
A handle to the target sqlite database.
daily_bar_reader : BcolzDailyBarReader
equity_daily_bar_reader : BcolzDailyBarReader
Daily bar reader to use for dividend writes.
overwrite : bool, optional, default=False
If True and conn_or_path is a string, remove any existing files at the
@@ -807,7 +807,7 @@ class SQLiteAdjustmentWriter(object):
def __init__(self,
conn_or_path,
daily_bar_reader,
equity_daily_bar_reader,
calendar,
overwrite=False):
if isinstance(conn_or_path, sqlite3.Connection):
@@ -824,7 +824,7 @@ class SQLiteAdjustmentWriter(object):
else:
raise TypeError("Unknown connection type %s" % type(conn_or_path))
self._daily_bar_reader = daily_bar_reader
self._equity_daily_bar_reader = equity_daily_bar_reader
self._calendar = calendar
def _write(self, tablename, expected_dtypes, frame):
@@ -930,7 +930,7 @@ class SQLiteAdjustmentWriter(object):
ratios = full(len(amounts), nan)
daily_bar_reader = self._daily_bar_reader
equity_daily_bar_reader = self._equity_daily_bar_reader
effective_dates = full(len(amounts), -1, dtype=int64)
calendar = self._calendar
@@ -940,7 +940,7 @@ class SQLiteAdjustmentWriter(object):
day_loc = calendar.get_loc(ex_date, method='bfill')
prev_close_date = calendar[day_loc - 1]
try:
prev_close = daily_bar_reader.spot_price(
prev_close = equity_daily_bar_reader.spot_price(
sid, prev_close_date, 'close')
if prev_close != 0.0:
ratio = 1.0 - amount / prev_close
zipline/testing/__init__.py
+1 -1
View File
@@ -45,7 +45,7 @@ from .core import ( # noqa
test_resource_path,
tmp_asset_finder,
tmp_assets_db,
tmp_bcolz_minute_bar_reader,
tmp_bcolz_equity_minute_bar_reader,
tmp_dir,
tmp_trading_env,
to_series,
zipline/testing/core.py
+6 -5
View File
@@ -1319,7 +1319,8 @@ class tmp_dir(TempDirectory, object):
class _TmpBarReader(with_metaclass(ABCMeta, tmp_dir)):
"""A helper for tmp_bcolz_minute_bar_reader and tmp_bcolz_daily_bar_reader.
"""A helper for tmp_bcolz_equity_minute_bar_reader and
tmp_bcolz_equity_daily_bar_reader.
Parameters
----------
@@ -1363,7 +1364,7 @@ class _TmpBarReader(with_metaclass(ABCMeta, tmp_dir)):
raise
class tmp_bcolz_minute_bar_reader(_TmpBarReader):
class tmp_bcolz_equity_minute_bar_reader(_TmpBarReader):
"""A temporary BcolzMinuteBarReader object.
Parameters
@@ -1380,13 +1381,13 @@ class tmp_bcolz_minute_bar_reader(_TmpBarReader):
See Also
--------
tmp_bcolz_daily_bar_reader
tmp_bcolz_equity_daily_bar_reader
"""
_reader_cls = BcolzMinuteBarReader
_write = staticmethod(write_bcolz_minute_data)
class tmp_bcolz_daily_bar_reader(_TmpBarReader):
class tmp_bcolz_equity_daily_bar_reader(_TmpBarReader):
"""A temporary BcolzDailyBarReader object.
Parameters
@@ -1403,7 +1404,7 @@ class tmp_bcolz_daily_bar_reader(_TmpBarReader):
See Also
--------
tmp_bcolz_daily_bar_reader
tmp_bcolz_equity_daily_bar_reader
"""
_reader_cls = BcolzDailyBarReader
zipline/testing/fixtures.py
+220 -154
View File
@@ -583,73 +583,44 @@ class WithInstanceTmpDir(object):
)
class WithBcolzDailyBarReader(WithTradingEnvironment, WithTmpDir):
class WithEquityDailyBarData(WithTradingEnvironment):
"""
ZiplineTestCase mixin providing cls.bcolz_daily_bar_path,
cls.bcolz_daily_bar_ctable, and cls.bcolz_daily_bar_reader class level
fixtures.
After init_class_fixtures has been called:
- `cls.bcolz_daily_bar_path` is populated with
`cls.tmpdir.getpath(cls.BCOLZ_DAILY_BAR_PATH)`.
- `cls.bcolz_daily_bar_ctable` is populated with data returned from
`cls.make_daily_bar_data`. By default this calls
:func:`zipline.pipeline.loaders.synthetic.make_daily_bar_data`.
- `cls.bcolz_daily_bar_reader` is a daily bar reader pointing to the
directory that was just written to.
ZiplineTestCase mixin providing cls.make_equity_daily_bar_data.
Attributes
----------
BCOLZ_DAILY_BAR_PATH : str
The path inside the tmpdir where this will be written.
BCOLZ_DAILY_BAR_LOOKBACK_DAYS : int
The number of days of data to add before the first day. This is used
when a test needs to use history, in which case this should be set to
the largest history window that will be
requested.
BCOLZ_DAILY_BAR_USE_FULL_CALENDAR : bool
If this flag is set the ``bcolz_daily_bar_days`` will be the full
set of trading days from the trading environment. This flag overrides
``BCOLZ_DAILY_BAR_LOOKBACK_DAYS``.
BCOLZ_DAILY_BAR_READ_ALL_THRESHOLD : int
If this flag is set, use the value as the `read_all_threshold`
parameter to BcolzDailyBarReader, otherwise use the default value.
BCOLZ_DAILY_BAR_SOURCE_FROM_MINUTE : bool
If this flag is set, `make_daily_bar_data` will read data from the
minute bar reader defined by a `WithBcolzMinuteBarReader`.
EQUITY_DAILY_BAR_START_DATE : Timestamp
The date at to which to start creating data. This defaults to
``START_DATE``.
EQUITY_DAILY_BAR_END_DATE = Timestamp
The end date up to which to create data. This defaults to ``END_DATE``.
EQUITY_DAILY_BAR_SOURCE_FROM_MINUTE : bool
If this flag is set, `make_equity_daily_bar_data` will read data from
the minute bars defined by `WithMinuteBarData`.
The current default is `False`, but could be `True` in the future.
Methods
-------
make_daily_bar_data() -> iterable[(int, pd.DataFrame)]
make_equity_daily_bar_data() -> iterable[(int, pd.DataFrame)]
A class method that returns an iterator of (sid, dataframe) pairs
which will be written to the bcolz files that the class's
``BcolzDailyBarReader`` will read from. By default this creates
some simple sythetic data with
:func:`~zipline.testing.create_daily_bar_data`
make_bcolz_daily_bar_rootdir_path() -> string
A class method that returns the path for the rootdir of the daily
bars ctable. By default this is a subdirectory BCOLZ_DAILY_BAR_PATH in
the shared temp directory.
See Also
--------
WithBcolzMinuteBarReader
WithDataPortal
WithEquityMinuteBarData
zipline.testing.create_daily_bar_data
"""
BCOLZ_DAILY_BAR_PATH = 'daily_equity_pricing.bcolz'
BCOLZ_DAILY_BAR_LOOKBACK_DAYS = 0
BCOLZ_DAILY_BAR_USE_FULL_CALENDAR = False
BCOLZ_DAILY_BAR_START_DATE = alias('START_DATE')
BCOLZ_DAILY_BAR_END_DATE = alias('END_DATE')
BCOLZ_DAILY_BAR_READ_ALL_THRESHOLD = None
BCOLZ_DAILY_BAR_SOURCE_FROM_MINUTE = False
# allows WithBcolzDailyBarReaderFromCSVs to call the `write_csvs` method
# without needing to reimplement `init_class_fixtures`
_write_method_name = 'write'
EQUITY_DAILY_BAR_LOOKBACK_DAYS = 0
EQUITY_DAILY_BAR_USE_FULL_CALENDAR = False
EQUITY_DAILY_BAR_START_DATE = alias('START_DATE')
EQUITY_DAILY_BAR_END_DATE = alias('END_DATE')
EQUITY_DAILY_BAR_SOURCE_FROM_MINUTE = None
@classmethod
def _make_daily_bar_from_minute(cls):
def _make_equity_daily_bar_from_minute(cls):
assets = cls.asset_finder.retrieve_all(cls.asset_finder.sids)
ohclv_how = {
'open': 'first',
@@ -667,119 +638,234 @@ class WithBcolzDailyBarReader(WithTradingEnvironment, WithTmpDir):
m_opens = cls.trading_schedule.schedule.market_open
m_closes = cls.trading_schedule.schedule.market_close
minute_data = dict(cls.make_equity_minute_bar_data())
for asset in assets:
first_minute = m_opens.loc[asset.start_date]
last_minute = m_closes.loc[asset.end_date]
window = cls.bcolz_minute_bar_reader.load_raw_arrays(
fields=['open', 'high', 'low', 'close', 'volume'],
start_dt=first_minute,
end_dt=last_minute,
sids=[asset.sid],
)
opens, highs, lows, closes, volumes = [c.reshape(-1)
for c in window]
asset_df = minute_data[asset]
slicer = asset_df.index.slice_indexer(first_minute, last_minute)
asset_df = asset_df[slicer]
minutes = mm[mm.slice_indexer(start=first_minute,
end=last_minute)]
df = pd.DataFrame(
{
'open': opens,
'high': highs,
'low': lows,
'close': closes,
'volume': volumes,
},
index=minutes
)
yield asset.sid, df.resample('1d', how=ohclv_how).dropna()
asset_df = asset_df.reindex(minutes)
yield asset.sid, asset_df.resample('1d', how=ohclv_how).dropna()
@classmethod
def make_daily_bar_data(cls):
# Requires a minute bar reader to come before in the MRO.
def make_equity_daily_bar_data(cls):
# Requires a WithEquityMinuteBarData to come before in the MRO.
# Resample that data so that daily and minute bar data are aligned.
if cls.BCOLZ_DAILY_BAR_SOURCE_FROM_MINUTE:
return cls._make_daily_bar_from_minute()
if cls.EQUITY_DAILY_BAR_SOURCE_FROM_MINUTE:
return cls._make_equity_daily_bar_from_minute()
else:
return create_daily_bar_data(
cls.bcolz_daily_bar_days,
cls.equity_daily_bar_days,
cls.asset_finder.sids,
)
@classmethod
def init_class_fixtures(cls):
super(WithEquityDailyBarData, cls).init_class_fixtures()
if cls.EQUITY_DAILY_BAR_USE_FULL_CALENDAR:
days = cls.trading_schedule.all_execution_days
else:
days = cls.trading_schedule.execution_days_in_range(
cls.trading_schedule.add_execution_days(
-1 * cls.EQUITY_DAILY_BAR_LOOKBACK_DAYS,
cls.EQUITY_DAILY_BAR_START_DATE,
),
cls.EQUITY_DAILY_BAR_END_DATE,
)
cls.equity_daily_bar_days = days
class WithBcolzEquityDailyBarReader(WithEquityDailyBarData, WithTmpDir):
"""
ZiplineTestCase mixin providing cls.bcolz_daily_bar_path,
cls.bcolz_daily_bar_ctable, and cls.bcolz_equity_daily_bar_reader
class level fixtures.
After init_class_fixtures has been called:
- `cls.bcolz_daily_bar_path` is populated with
`cls.tmpdir.getpath(cls.BCOLZ_DAILY_BAR_PATH)`.
- `cls.bcolz_daily_bar_ctable` is populated with data returned from
`cls.make_equity_daily_bar_data`. By default this calls
:func:`zipline.pipeline.loaders.synthetic.make_equity_daily_bar_data`.
- `cls.bcolz_equity_daily_bar_reader` is a daily bar reader
pointing to the directory that was just written to.
Attributes
----------
BCOLZ_DAILY_BAR_PATH : str
The path inside the tmpdir where this will be written.
EQUITY_DAILY_BAR_LOOKBACK_DAYS : int
The number of days of data to add before the first day. This is used
when a test needs to use history, in which case this should be set to
the largest history window that will be
requested.
EQUITY_DAILY_BAR_USE_FULL_CALENDAR : bool
If this flag is set the ``equity_daily_bar_days`` will be the full
set of trading days from the trading environment. This flag overrides
``EQUITY_DAILY_BAR_LOOKBACK_DAYS``.
BCOLZ_DAILY_BAR_READ_ALL_THRESHOLD : int
If this flag is set, use the value as the `read_all_threshold`
parameter to BcolzDailyBarReader, otherwise use the default
value.
EQUITY_DAILY_BAR_SOURCE_FROM_MINUTE : bool
If this flag is set, `make_equity_daily_bar_data` will read data from
the minute bar reader defined by a `WithBcolzEquityMinuteBarReader`.
Methods
-------
make_bcolz_daily_bar_rootdir_path() -> string
A class method that returns the path for the rootdir of the daily
bars ctable. By default this is a subdirectory BCOLZ_DAILY_BAR_PATH in
the shared temp directory.
See Also
--------
WithBcolzEquityMinuteBarReader
WithDataPortal
zipline.testing.create_daily_bar_data
"""
BCOLZ_DAILY_BAR_PATH = 'daily_equity_pricing.bcolz'
BCOLZ_DAILY_BAR_READ_ALL_THRESHOLD = None
EQUITY_DAILY_BAR_SOURCE_FROM_MINUTE = False
# allows WithBcolzEquityDailyBarReaderFromCSVs to call the
# `write_csvs`method without needing to reimplement `init_class_fixtures`
_write_method_name = 'write'
@classmethod
def make_bcolz_daily_bar_rootdir_path(cls):
return cls.tmpdir.makedir(cls.BCOLZ_DAILY_BAR_PATH)
@classmethod
def init_class_fixtures(cls):
super(WithBcolzDailyBarReader, cls).init_class_fixtures()
super(WithBcolzEquityDailyBarReader, cls).init_class_fixtures()
cls.bcolz_daily_bar_path = p = cls.make_bcolz_daily_bar_rootdir_path()
if cls.BCOLZ_DAILY_BAR_USE_FULL_CALENDAR:
days = cls.trading_schedule.all_execution_days
else:
days = cls.trading_schedule.execution_days_in_range(
cls.trading_schedule.add_execution_days(
-1 * cls.BCOLZ_DAILY_BAR_LOOKBACK_DAYS,
cls.BCOLZ_DAILY_BAR_START_DATE,
),
cls.BCOLZ_DAILY_BAR_END_DATE,
)
cls.bcolz_daily_bar_days = days
days = cls.equity_daily_bar_days
cls.bcolz_daily_bar_ctable = t = getattr(
BcolzDailyBarWriter(p, days),
cls._write_method_name,
)(cls.make_daily_bar_data())
)(cls.make_equity_daily_bar_data())
if cls.BCOLZ_DAILY_BAR_READ_ALL_THRESHOLD is not None:
cls.bcolz_daily_bar_reader = BcolzDailyBarReader(
cls.bcolz_equity_daily_bar_reader = BcolzDailyBarReader(
t, cls.BCOLZ_DAILY_BAR_READ_ALL_THRESHOLD)
else:
cls.bcolz_daily_bar_reader = BcolzDailyBarReader(t)
cls.bcolz_equity_daily_bar_reader = BcolzDailyBarReader(t)
class WithBcolzDailyBarReaderFromCSVs(WithBcolzDailyBarReader):
class WithBcolzEquityDailyBarReaderFromCSVs(WithBcolzEquityDailyBarReader):
"""
ZiplineTestCase mixin that provides cls.bcolz_daily_bar_reader from a
mapping of sids to CSV file paths.
ZiplineTestCase mixin that provides
cls.bcolz_equity_daily_bar_reader from a mapping of sids to CSV
file paths.
"""
_write_method_name = 'write_csvs'
class WithBcolzMinuteBarReader(WithTradingEnvironment, WithTmpDir):
class WithEquityMinuteBarData(WithTradingEnvironment):
"""
ZiplineTestCase mixin providing cls.equity_minute_bar_days.
After init_class_fixtures has been called:
- `cls.equyt_minute_bar_days` has the range over which data has been
generated.
Attributes
----------
EQUITY_MINUTE_BAR_LOOKBACK_DAYS : int
The number of days of data to add before the first day.
This is used when a test needs to use history, in which case this
should be set to the largest history window that will be requested.
EQUITY_MINUTE_BAR_USE_FULL_CALENDAR : bool
If this flag is set the ``equity_daily_bar_days`` will be the full
set of trading days from the trading environment. This flag overrides
``EQUITY_MINUTE_BAR_LOOKBACK_DAYS``.
EQUITY_MINUTE_BAR_START_DATE : Timestamp
The date at to which to start creating data. This defaults to
``START_DATE``.
EQUITY_MINUTE_BAR_END_DATE = Timestamp
The end date up to which to create data. This defaults to ``END_DATE``.
Methods
-------
make_equity_minute_bar_data() -> iterable[(int, pd.DataFrame)]
A class method that returns a dict mapping sid to dataframe
which will be written to into the the format of the inherited
class which writes the minute bar data for use by a reader.
By default this creates some simple sythetic data with
:func:`~zipline.testing.create_minute_bar_data`
See Also
--------
WithEquityDailyBarData
zipline.testing.create_minute_bar_data
"""
EQUITY_MINUTE_BAR_LOOKBACK_DAYS = 0
EQUITY_MINUTE_BAR_USE_FULL_CALENDAR = False
EQUITY_MINUTE_BAR_START_DATE = alias('START_DATE')
EQUITY_MINUTE_BAR_END_DATE = alias('END_DATE')
@classmethod
def make_equity_minute_bar_data(cls):
return create_minute_bar_data(
cls.trading_schedule.execution_minutes_for_days_in_range(
cls.equity_minute_bar_days[0],
cls.equity_minute_bar_days[-1],
),
cls.asset_finder.sids,
)
@classmethod
def init_class_fixtures(cls):
super(WithEquityMinuteBarData, cls).init_class_fixtures()
if cls.EQUITY_MINUTE_BAR_USE_FULL_CALENDAR:
days = cls.trading_schedule.all_execution_days
else:
days = cls.trading_schedule.execution_days_in_range(
cls.trading_schedule.add_execution_days(
-1 * cls.EQUITY_MINUTE_BAR_LOOKBACK_DAYS,
cls.EQUITY_MINUTE_BAR_START_DATE,
),
cls.EQUITY_MINUTE_BAR_END_DATE,
)
cls.equity_minute_bar_days = days
class WithBcolzEquityMinuteBarReader(WithEquityMinuteBarData, WithTmpDir):
"""
ZiplineTestCase mixin providing cls.bcolz_minute_bar_path,
cls.bcolz_minute_bar_ctable, and cls.bcolz_minute_bar_reader class level
fixtures.
cls.bcolz_minute_bar_ctable, and cls.bcolz_equity_minute_bar_reader
class level fixtures.
After init_class_fixtures has been called:
- `cls.bcolz_minute_bar_path` is populated with
`cls.tmpdir.getpath(cls.BCOLZ_MINUTE_BAR_PATH)`.
- `cls.bcolz_minute_bar_ctable` is populated with data returned from
`cls.make_minute_bar_data`. By default this calls
:func:`zipline.pipeline.loaders.synthetic.make_minute_bar_data`.
- `cls.bcolz_minute_bar_reader` is a minute bar reader pointing to the
directory that was just written to.
`cls.make_equity_minute_bar_data`. By default this calls
:func:`zipline.pipeline.loaders.synthetic.make_equity_minute_bar_data`.
- `cls.bcolz_equity_minute_bar_reader` is a minute bar reader
pointing to the directory that was just written to.
Attributes
----------
BCOLZ_MINUTE_BAR_PATH : str
The path inside the tmpdir where this will be written.
BCOLZ_MINUTE_BAR_LOOKBACK_DAYS : int
EQUITY_MINUTE_BAR_LOOKBACK_DAYS : int
The number of days of data to add before the first day.
This is used when a test needs to use history, in which case this
should be set to the largest history window that will be requested.
BCOLZ_MINUTE_BAR_USE_FULL_CALENDAR : bool
If this flag is set the ``bcolz_daily_bar_days`` will be the full
If this flag is set the ``equity_daily_bar_days`` will be the full
set of trading days from the trading environment. This flag overrides
``BCOLZ_MINUTE_BAR_LOOKBACK_DAYS``.
``EQUITY_MINUTE_BAR_LOOKBACK_DAYS``.
Methods
-------
make_minute_bar_data() -> iterable[(int, pd.DataFrame)]
A class method that returns a dict mapping sid to dataframe
which will be written to the bcolz files that the class's
``BcolzMinuteBarReader`` will read from. By default this creates
some simple sythetic data with
:func:`~zipline.testing.create_minute_bar_data`
make_bcolz_minute_bar_rootdir_path() -> string
A class method that returns the path for the directory that contains
the minute bar ctables. By default this is a subdirectory
@@ -787,25 +873,11 @@ class WithBcolzMinuteBarReader(WithTradingEnvironment, WithTmpDir):
See Also
--------
WithBcolzDailyBarReader
WithBcolzEquityDailyBarReader
WithDataPortal
zipline.testing.create_minute_bar_data
"""
BCOLZ_MINUTE_BAR_PATH = 'minute_equity_pricing.bcolz'
BCOLZ_MINUTE_BAR_LOOKBACK_DAYS = 0
BCOLZ_MINUTE_BAR_USE_FULL_CALENDAR = False
BCOLZ_MINUTE_BAR_START_DATE = alias('START_DATE')
BCOLZ_MINUTE_BAR_END_DATE = alias('END_DATE')
@classmethod
def make_minute_bar_data(cls):
return create_minute_bar_data(
cls.trading_schedule.execution_minutes_for_days_in_range(
cls.bcolz_minute_bar_days[0],
cls.bcolz_minute_bar_days[-1],
),
cls.asset_finder.sids,
)
@classmethod
def make_bcolz_minute_bar_rootdir_path(cls):
@@ -813,20 +885,10 @@ class WithBcolzMinuteBarReader(WithTradingEnvironment, WithTmpDir):
@classmethod
def init_class_fixtures(cls):
super(WithBcolzMinuteBarReader, cls).init_class_fixtures()
super(WithBcolzEquityMinuteBarReader, cls).init_class_fixtures()
cls.bcolz_minute_bar_path = p = \
cls.make_bcolz_minute_bar_rootdir_path()
if cls.BCOLZ_MINUTE_BAR_USE_FULL_CALENDAR:
days = cls.trading_schedule.all_execution_days
else:
days = cls.trading_schedule.execution_days_in_range(
cls.trading_schedule.add_execution_days(
-1 * cls.BCOLZ_MINUTE_BAR_LOOKBACK_DAYS,
cls.BCOLZ_MINUTE_BAR_START_DATE,
),
cls.BCOLZ_MINUTE_BAR_END_DATE,
)
cls.bcolz_minute_bar_days = days
days = cls.equity_minute_bar_days
writer = BcolzMinuteBarWriter(
days[0],
p,
@@ -834,12 +896,13 @@ class WithBcolzMinuteBarReader(WithTradingEnvironment, WithTmpDir):
cls.trading_schedule.schedule.market_close.loc[days],
US_EQUITIES_MINUTES_PER_DAY
)
writer.write(cls.make_minute_bar_data())
writer.write(cls.make_equity_minute_bar_data())
cls.bcolz_minute_bar_reader = BcolzMinuteBarReader(p)
cls.bcolz_equity_minute_bar_reader = \
BcolzMinuteBarReader(p)
class WithAdjustmentReader(WithBcolzDailyBarReader):
class WithAdjustmentReader(WithBcolzEquityDailyBarReader):
"""
ZiplineTestCase mixin providing cls.adjustment_reader as a class level
fixture.
@@ -849,8 +912,8 @@ class WithAdjustmentReader(WithBcolzDailyBarReader):
written can be passed by overriding `make_{field}_data` where field may
be `splits`, `mergers` `dividends`, or `stock_dividends`.
The daily bar reader used for this adjustment reader may be customized
by overriding `make_adjustment_writer_daily_bar_reader`. This is useful
to providing a `MockDailyBarReader`.
by overriding `make_adjustment_writer_equity_daily_bar_reader`.
This is useful to providing a `MockDailyBarReader`.
Methods
-------
@@ -870,12 +933,13 @@ class WithAdjustmentReader(WithBcolzDailyBarReader):
A class method that returns the sqlite3 connection string for the
database in to which the adjustments will be written. By default this
is an in-memory database.
make_adjustment_writer_daily_bar_reader() -> pd.DataFrame
make_adjustment_writer_equity_daily_bar_reader() -> pd.DataFrame
A class method that returns the daily bar reader to use for the class's
adjustment writer. By default this is the class's actual
``bcolz_daily_bar_reader`` as inherited from
``WithBcolzDailyBarReader``. This should probably not be overridden;
however, some tests used a ``MockDailyBarReader`` for this.
``bcolz_equity_daily_bar_reader`` as inherited from
``WithBcolzEquityDailyBarReader``. This should probably not be
overridden; however, some tests used a ``MockDailyBarReader``
for this.
make_adjustment_writer(conn: sqlite3.Connection) -> AdjustmentWriter
A class method that constructs the adjustment which will be used
to write the data into the connection to be used by the class's
@@ -900,13 +964,13 @@ class WithAdjustmentReader(WithBcolzDailyBarReader):
def make_adjustment_writer(cls, conn):
return SQLiteAdjustmentWriter(
conn,
cls.make_adjustment_writer_daily_bar_reader(),
cls.bcolz_daily_bar_days,
cls.make_adjustment_writer_equity_daily_bar_reader(),
cls.equity_daily_bar_days,
)
@classmethod
def make_adjustment_writer_daily_bar_reader(cls):
return cls.bcolz_daily_bar_reader
def make_adjustment_writer_equity_daily_bar_reader(cls):
return cls.bcolz_equity_daily_bar_reader
@classmethod
def make_adjustment_db_conn_str(cls):
@@ -999,15 +1063,15 @@ class WithSeededRandomPipelineEngine(WithNYSETradingDays, WithAssetFinder):
class WithDataPortal(WithAdjustmentReader,
# Ordered so that bcolz minute reader is used first.
WithBcolzMinuteBarReader):
WithBcolzEquityMinuteBarReader):
"""
ZiplineTestCase mixin providing self.data_portal as an instance level
fixture.
After init_instance_fixtures has been called, `self.data_portal` will be
populated with a new data portal created by passing in the class's
trading env, `cls.bcolz_minute_bar_reader`, `cls.bcolz_daily_bar_reader`,
and `cls.adjustment_reader`.
trading env, `cls.bcolz_equity_minute_bar_reader`,
`cls.bcolz_equity_daily_bar_reader`, and `cls.adjustment_reader`.
Attributes
----------
@@ -1035,22 +1099,24 @@ class WithDataPortal(WithAdjustmentReader,
if self.DATA_PORTAL_FIRST_TRADING_DAY is None:
if self.DATA_PORTAL_USE_MINUTE_DATA:
self.DATA_PORTAL_FIRST_TRADING_DAY = (
self.bcolz_minute_bar_reader.first_trading_day)
self.bcolz_equity_minute_bar_reader.
first_trading_day)
elif self.DATA_PORTAL_USE_DAILY_DATA:
self.DATA_PORTAL_FIRST_TRADING_DAY = (
self.bcolz_daily_bar_reader.first_trading_day)
self.bcolz_equity_daily_bar_reader.
first_trading_day)
return DataPortal(
self.env.asset_finder,
self.trading_schedule,
first_trading_day=self.DATA_PORTAL_FIRST_TRADING_DAY,
equity_daily_reader=(
self.bcolz_daily_bar_reader
self.bcolz_equity_daily_bar_reader
if self.DATA_PORTAL_USE_DAILY_DATA else
None
),
equity_minute_reader=(
self.bcolz_minute_bar_reader
self.bcolz_equity_minute_bar_reader
if self.DATA_PORTAL_USE_MINUTE_DATA else
None
),
zipline/utils/run_algo.py
+6 -4
View File
@@ -129,16 +129,18 @@ def _run(handle_data,
str(bundle_data.asset_finder.engine.url),
)
env = TradingEnvironment(asset_db_path=connstr)
first_trading_day =\
bundle_data.equity_minute_bar_reader.first_trading_day
data = DataPortal(
env.asset_finder, default_nyse_schedule,
first_trading_day=bundle_data.minute_bar_reader.first_trading_day,
equity_minute_reader=bundle_data.minute_bar_reader,
equity_daily_reader=bundle_data.daily_bar_reader,
first_trading_day=first_trading_day,
equity_minute_reader=bundle_data.equity_minute_bar_reader,
equity_daily_reader=bundle_data.equity_daily_bar_reader,
adjustment_reader=bundle_data.adjustment_reader,
)
pipeline_loader = USEquityPricingLoader(
bundle_data.daily_bar_reader,
bundle_data.equity_daily_bar_reader,
bundle_data.adjustment_reader,
)