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Re-implemented the Calendar API.

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Instead of having separate ExchangeCalendar and TradingSchedule objects, we
now just have TradingCalendar.  The TradingCalendar keeps track of each
session (defined as a contiguous set of minutes between an open and a close).
It's also responsible for handling the grouping logic of any given minute
to its containing session, or the next/previous session if it's not a market
minute for the given calendar.
This commit is contained in:
Jean Bredeche
2016-07-12 13:13:50 -04:00
parent db4e06055c
commit 6fb4923cc7
71 changed files with 3119 additions and 3981 deletions
Download Patch File Download Diff File Expand all files Collapse all files
tests/data/bundles/test_core.py
+2 -2
View File
@@ -111,9 +111,9 @@ class BundleCoreTestCase(WithInstanceTmpDir, ZiplineTestCase):
def test_ingest(self):
start = pd.Timestamp('2014-01-06', tz='utc')
end = pd.Timestamp('2014-01-10', tz='utc')
trading_days = get_calendar('NYSE').all_trading_days
trading_days = get_calendar('NYSE').all_sessions
calendar = trading_days[trading_days.slice_indexer(start, end)]
minutes = get_calendar('NYSE').trading_minutes_for_days_in_range(
minutes = get_calendar('NYSE').minutes_for_sessions_in_range(
calendar[0], calendar[-1]
)
tests/data/bundles/test_yahoo.py
+1 -1
View File
@@ -18,7 +18,7 @@ class YahooBundleTestCase(WithResponses, ZiplineTestCase):
columns = 'open', 'high', 'low', 'close', 'volume'
asset_start = pd.Timestamp('2014-01-02', tz='utc')
asset_end = pd.Timestamp('2014-12-31', tz='utc')
trading_days = get_calendar('NYSE').all_trading_days
trading_days = get_calendar('NYSE').all_sessions
calendar = trading_days[
(trading_days >= asset_start) &
(trading_days <= asset_end)
tests/data/test_minute_bars.py
+23 -14
View File
@@ -45,7 +45,7 @@ from zipline.data.minute_bars import (
from zipline.testing.fixtures import (
WithInstanceTmpDir,
WithTradingSchedule,
WithTradingCalendar,
ZiplineTestCase,
)
@@ -56,17 +56,20 @@ TEST_CALENDAR_START = Timestamp('2014-06-02', tz='UTC')
TEST_CALENDAR_STOP = Timestamp('2015-12-31', tz='UTC')
class BcolzMinuteBarTestCase(WithTradingSchedule, WithInstanceTmpDir,
class BcolzMinuteBarTestCase(WithTradingCalendar, WithInstanceTmpDir,
ZiplineTestCase):
@classmethod
def init_class_fixtures(cls):
super(BcolzMinuteBarTestCase, cls).init_class_fixtures()
trading_days = cls.trading_schedule.trading_sessions(
TEST_CALENDAR_START, TEST_CALENDAR_STOP
)
cls.market_opens = trading_days.market_open
cls.market_closes = trading_days.market_close
cal = cls.trading_calendar.schedule.loc[
TEST_CALENDAR_START:TEST_CALENDAR_STOP
]
cls.market_opens = cal.market_open
cls.market_closes = cal.market_close
cls.test_calendar_start = cls.market_opens.index[0]
cls.test_calendar_stop = cls.market_opens.index[-1]
@@ -798,9 +801,9 @@ class BcolzMinuteBarTestCase(WithTradingSchedule, WithInstanceTmpDir,
data = {sids[0]: data_1, sids[1]: data_2}
start_minute_loc = \
self.trading_schedule.all_execution_minutes.get_loc(minutes[0])
self.trading_calendar.all_minutes.get_loc(minutes[0])
minute_locs = [
self.trading_schedule.all_execution_minutes.get_loc(minute)
self.trading_calendar.all_minutes.get_loc(minute)
- start_minute_loc
for minute in minutes
]
@@ -822,9 +825,11 @@ class BcolzMinuteBarTestCase(WithTradingSchedule, WithInstanceTmpDir,
'close': arange(1, 781),
'volume': arange(1, 781)
}
dts = array(self.trading_schedule.execution_minutes_for_days_in_range(
start_day, end_day
dts = array(self.trading_calendar.minutes_for_sessions_in_range(
self.trading_calendar.minute_to_session_label(start_day),
self.trading_calendar.minute_to_session_label(end_day)
))
self.writer.write_cols(sid, dts, cols)
self.assertEqual(
@@ -866,9 +871,13 @@ class BcolzMinuteBarTestCase(WithTradingSchedule, WithInstanceTmpDir,
'close': arange(1, 601),
'volume': arange(1, 601)
}
dts = array(self.trading_schedule.execution_minutes_for_days_in_range(
start_day, end_day
))
dts = array(
self.trading_calendar.minutes_for_sessions_in_range(
self.trading_calendar.minute_to_session_label(start_day),
self.trading_calendar.minute_to_session_label(end_day)
)
)
self.writer.write_cols(sid, dts, cols)
self.assertEqual(
tests/data/test_us_equity_pricing.py
+11 -11
View File
@@ -46,7 +46,6 @@ from zipline.testing.fixtures import (
WithBcolzEquityDailyBarReader,
ZiplineTestCase,
)
from zipline.utils.calendars import get_calendar
TEST_CALENDAR_START = Timestamp('2015-06-01', tz='UTC')
TEST_CALENDAR_STOP = Timestamp('2015-06-30', tz='UTC')
@@ -97,16 +96,17 @@ class BcolzDailyBarTestCase(WithBcolzEquityDailyBarReader, ZiplineTestCase):
@classmethod
def init_class_fixtures(cls):
super(BcolzDailyBarTestCase, cls).init_class_fixtures()
cls.trading_days = get_calendar('NYSE').trading_days(
TEST_CALENDAR_START, TEST_CALENDAR_STOP
).index
cls.sessions = cls.trading_calendar.sessions_in_range(
cls.trading_calendar.minute_to_session_label(TEST_CALENDAR_START),
cls.trading_calendar.minute_to_session_label(TEST_CALENDAR_STOP)
)
@property
def assets(self):
return EQUITY_INFO.index
def trading_days_between(self, start, end):
return self.trading_days[self.trading_days.slice_indexer(start, end)]
return self.sessions[self.sessions.slice_indexer(start, end)]
def asset_start(self, asset_id):
return asset_start(EQUITY_INFO, asset_id)
@@ -181,14 +181,14 @@ class BcolzDailyBarTestCase(WithBcolzEquityDailyBarReader, ZiplineTestCase):
expected_calendar_offset,
)
assert_index_equal(
self.trading_days,
self.sessions,
DatetimeIndex(result.attrs['calendar'], tz='UTC'),
)
def test_read_first_trading_day(self):
self.assertEqual(
self.bcolz_equity_daily_bar_reader.first_trading_day,
self.trading_days[0],
self.sessions[0],
)
def _check_read_results(self, columns, assets, start_date, end_date):
@@ -234,7 +234,7 @@ class BcolzDailyBarTestCase(WithBcolzEquityDailyBarReader, ZiplineTestCase):
columns,
self.assets,
start_date=self.asset_start(asset),
end_date=self.trading_days[-1],
end_date=self.sessions[-1],
)
def test_start_on_asset_end(self):
@@ -248,7 +248,7 @@ class BcolzDailyBarTestCase(WithBcolzEquityDailyBarReader, ZiplineTestCase):
columns,
self.assets,
start_date=self.asset_end(asset),
end_date=self.trading_days[-1],
end_date=self.sessions[-1],
)
def test_end_on_asset_start(self):
@@ -261,7 +261,7 @@ class BcolzDailyBarTestCase(WithBcolzEquityDailyBarReader, ZiplineTestCase):
self._check_read_results(
columns,
self.assets,
start_date=self.trading_days[0],
start_date=self.sessions[0],
end_date=self.asset_start(asset),
)
@@ -275,7 +275,7 @@ class BcolzDailyBarTestCase(WithBcolzEquityDailyBarReader, ZiplineTestCase):
self._check_read_results(
columns,
self.assets,
start_date=self.trading_days[0],
start_date=self.sessions[0],
end_date=self.asset_end(asset),
)