TST: Extra test for reading/writing ohlc ratios

This commit is contained in:
dmichalowicz
2016-12-22 09:51:47 -05:00
parent c6ad893c14
commit 56b5ac686a
+41
View File
@@ -135,6 +135,47 @@ class BcolzMinuteBarTestCase(WithTradingCalendars,
self.assertEquals(50.0, volume_price)
def test_write_one_ohlcv_with_ratios(self):
minute = self.market_opens[self.test_calendar_start]
sid = 1
data = DataFrame(
data={
'open': [10.0],
'high': [20.0],
'low': [30.0],
'close': [40.0],
'volume': [50.0],
},
index=[minute],
)
# Create a new writer with `ohlc_ratios_per_sid` defined.
writer_with_ratios = BcolzMinuteBarWriter(
self.dest,
self.trading_calendar,
TEST_CALENDAR_START,
TEST_CALENDAR_STOP,
US_EQUITIES_MINUTES_PER_DAY,
ohlc_ratios_per_sid={sid: 25},
)
writer_with_ratios.write_sid(sid, data)
reader = BcolzMinuteBarReader(self.dest)
open_price = reader.get_value(sid, minute, 'open')
self.assertEquals(10.0, open_price)
high_price = reader.get_value(sid, minute, 'high')
self.assertEquals(20.0, high_price)
low_price = reader.get_value(sid, minute, 'low')
self.assertEquals(30.0, low_price)
close_price = reader.get_value(sid, minute, 'close')
self.assertEquals(40.0, close_price)
volume_price = reader.get_value(sid, minute, 'volume')
self.assertEquals(50.0, volume_price)
def test_write_two_bars(self):
minute_0 = self.market_opens[self.test_calendar_start]
minute_1 = minute_0 + timedelta(minutes=1)