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MAINT: Add equity to naming of bar data classes.

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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
2016-06-30 08:21:42 -04:00
parent c89e957905
commit 51eda06323
22 changed files with 349 additions and 278 deletions
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tests/finance/test_slippage.py
+4 -4
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@@ -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,