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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/test_bar_data.py
+42 -41
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@@ -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",
)