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BLD: remove extra candle at the beginning of history bars after resampling

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This commit is contained in:
Frederic Fortier
2018-02-12 13:59:19 -05:00
parent e9745be0e8
commit 5345bfc43d
3 changed files with 28 additions and 19 deletions
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catalyst/exchange/exchange_data_portal.py
+5 -3
View File
@@ -9,8 +9,9 @@ from catalyst.exchange.exchange_bundle import ExchangeBundle
from catalyst.exchange.exchange_errors import (
ExchangeRequestError,
PricingDataNotLoadedError)
from catalyst.exchange.utils.exchange_utils import resample_history_df, group_assets_by_exchange
from catalyst.exchange.utils.datetime_utils import get_frequency
from catalyst.exchange.utils.exchange_utils import resample_history_df, \
group_assets_by_exchange
from catalyst.exchange.utils.datetime_utils import get_frequency, get_start_dt
from logbook import Logger
from redo import retry
@@ -311,7 +312,8 @@ class DataPortalExchangeBacktest(DataPortalExchangeBase):
algo_end_dt=self._last_available_session,
)
df = resample_history_df(pd.DataFrame(series), freq, field)
start_dt = get_start_dt(end_dt, adj_bar_count, data_frequency)
df = resample_history_df(pd.DataFrame(series), freq, field, start_dt)
return df
def get_exchange_spot_value(self,
catalyst/exchange/utils/exchange_utils.py
+5 -4
View File
@@ -126,8 +126,8 @@ def get_exchange_symbols(exchange_name, is_local=False, environ=None):
filename = get_exchange_symbols_filename(exchange_name, is_local)
if not is_local and (not os.path.isfile(filename) or pd.Timedelta(
pd.Timestamp('now', tz='UTC') - last_modified_time(
filename)).days > 1):
pd.Timestamp('now', tz='UTC') - last_modified_time(
filename)).days > 1):
try:
download_exchange_symbols(exchange_name, environ)
except Exception as e:
@@ -512,7 +512,7 @@ def get_common_assets(exchanges):
return assets
def resample_history_df(df, freq, field):
def resample_history_df(df, freq, field, start_dt=None):
"""
Resample the OHCLV DataFrame using the specified frequency.
@@ -541,6 +541,7 @@ def resample_history_df(df, freq, field):
raise ValueError('Invalid field.')
resampled_df = df.resample(freq, closed='left', label='left').agg(agg)
resampled_df = resampled_df[resampled_df.index >= start_dt]
return resampled_df
@@ -567,7 +568,7 @@ def mixin_market_params(exchange_name, params, market):
params['taker'] = 0.002
elif 'maker' in market and 'taker' in market \
and market['maker'] is not None and market['taker'] is not None:
and market['maker'] is not None and market['taker'] is not None:
params['maker'] = market['maker']
params['taker'] = market['taker']
tests/exchange/test_suites/test_suite_bundle.py
+18 -12
View File
@@ -37,7 +37,7 @@ class TestSuiteBundle:
return data_portal
def compare_bundle_with_exchange(self, exchange, assets, end_dt, bar_count,
freq, data_frequency, data_portal):
freq, data_frequency, data_portal, field):
"""
Creates DataFrames from the bundle and exchange for the specified
data set.
@@ -62,8 +62,8 @@ class TestSuiteBundle:
with log_catcher:
symbols = [asset.symbol for asset in assets]
print(
'comparing data for {}/{} with {} timeframe until {}'.format(
exchange.name, symbols, freq, end_dt
'comparing {} for {}/{} with {} timeframe until {}'.format(
field, exchange.name, symbols, freq, end_dt
)
)
data['bundle'] = data_portal.get_history_window(
@@ -71,13 +71,13 @@ class TestSuiteBundle:
end_dt=end_dt,
bar_count=bar_count,
frequency=freq,
field='close',
field=field,
data_frequency=data_frequency,
)
set_print_settings()
print(
'the bundle first / last row:\n{}'.format(
data['bundle'].iloc[[-1, 0]]
'the bundle data:\n{}'.format(
data['bundle']
)
)
candles = exchange.get_candles(
@@ -88,14 +88,14 @@ class TestSuiteBundle:
)
data['exchange'] = get_candles_df(
candles=candles,
field='close',
field=field,
freq=freq,
bar_count=bar_count,
end_dt=end_dt,
)
print(
'the exchange first / last row:\n{}'.format(
data['exchange'].iloc[[-1, 0]]
'the exchange data:\n{}'.format(
data['exchange']
)
)
for source in data:
@@ -118,8 +118,10 @@ class TestSuiteBundle:
check_less_precise=min([a.decimals for a in assets]),
)
except Exception as e:
print('Some differences were found within a 1 decimal point '
'interval of confidence: {}'.format(e))
print(
'Some differences were found within a 1 decimal point '
'interval of confidence: {}'.format(e)
)
with open(os.path.join(folder, 'compare.txt'), 'w+') as handle:
handle.write(e.args[0])
@@ -203,8 +205,11 @@ class TestSuiteBundle:
frequencies = exchange.get_candle_frequencies(data_frequency)
freq = random.sample(frequencies, 1)[0]
rnd = random.SystemRandom()
# field = rnd.choice(['open', 'high', 'low', 'close', 'volume'])
field = rnd.choice(['close'])
bar_count = random.randint(1, 10)
bar_count = random.randint(3, 6)
assets = select_random_assets(
exchange.assets, asset_population
@@ -229,6 +234,7 @@ class TestSuiteBundle:
freq=freq,
data_frequency=data_frequency,
data_portal=data_portal,
field=field,
)
pass