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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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tests/exchange/test_suites/test_suite_bundle.py
+18 -12
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@@ -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