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ENH: Add spot_price to BcolzDailyBarReader.

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Add new method to BcolzDailyBarReader, `spot_price` which returns the
unadjusted price for the specified day and sid.
This commit is contained in:
Eddie Hebert
2015-10-10 07:19:03 -04:00
parent 4a9cd76dab
commit 5338c8e611
2 changed files with 100 additions and 0 deletions
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tests/data/test_us_equity_pricing.py
+35
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@@ -35,6 +35,7 @@ from zipline.pipeline.loaders.synthetic import (
)
from zipline.data.us_equity_pricing import (
BcolzDailyBarReader,
NoDataOnDate
)
from zipline.finance.trading import TradingEnvironment
from zipline.pipeline.data import USEquityPricing
@@ -266,3 +267,37 @@ class BcolzDailyBarTestCase(TestCase):
start_date=self.trading_days[0],
end_date=self.asset_end(asset),
)
def test_unadjusted_spot_price(self):
table = self.writer.write(self.dest, self.trading_days, self.assets)
reader = BcolzDailyBarReader(table)
# At beginning
price = reader.spot_price(1, Timestamp('2015-06-01', tz='UTC'),
'close')
# Synthetic writes price for date.
self.assertEqual(135630.0, price)
# Middle
price = reader.spot_price(1, Timestamp('2015-06-02', tz='UTC'),
'close')
self.assertEqual(135631.0, price)
# End
price = reader.spot_price(1, Timestamp('2015-06-05', tz='UTC'),
'close')
self.assertEqual(135634.0, price)
# Another sid at beginning.
price = reader.spot_price(2, Timestamp('2015-06-22', tz='UTC'),
'close')
self.assertEqual(235651.0, price)
def test_unadjusted_spot_price_no_data(self):
table = self.writer.write(self.dest, self.trading_days, self.assets)
reader = BcolzDailyBarReader(table)
# before
with self.assertRaises(NoDataOnDate):
reader.spot_price(2, Timestamp('2015-06-08', tz='UTC'), 'close')
# after
with self.assertRaises(NoDataOnDate):
reader.spot_price(4, Timestamp('2015-06-16', tz='UTC'), 'close')