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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/test_bar_data.py
+25 -22
View File
@@ -12,6 +12,7 @@
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
# See the License for the specific language governing permissions and
# limitations under the License.
from datetime import timedelta
from nose_parameterized import parameterized
import numpy as np
import pandas as pd
@@ -110,21 +111,21 @@ class TestMinuteBarData(WithBarDataChecks,
# illiquid_split_asset trades every 10 minutes
for sid in (1, cls.SPLIT_ASSET_SID):
yield sid, create_minute_df_for_asset(
cls.trading_schedule,
cls.trading_calendar,
cls.equity_minute_bar_days[0],
cls.equity_minute_bar_days[-1],
)
for sid in (2, cls.ILLIQUID_SPLIT_ASSET_SID):
yield sid, create_minute_df_for_asset(
cls.trading_schedule,
cls.trading_calendar,
cls.equity_minute_bar_days[0],
cls.equity_minute_bar_days[-1],
10,
)
yield cls.HILARIOUSLY_ILLIQUID_ASSET_SID, create_minute_df_for_asset(
cls.trading_schedule,
cls.trading_calendar,
cls.equity_minute_bar_days[0],
cls.equity_minute_bar_days[-1],
50,
@@ -165,8 +166,8 @@ class TestMinuteBarData(WithBarDataChecks,
def test_minute_before_assets_trading(self):
# grab minutes that include the day before the asset start
minutes = self.trading_schedule.execution_minutes_for_day(
self.trading_schedule.previous_execution_day(
minutes = self.trading_calendar.minutes_for_session(
self.trading_calendar.previous_session_label(
self.equity_minute_bar_days[0]
)
)
@@ -194,7 +195,7 @@ class TestMinuteBarData(WithBarDataChecks,
self.assertTrue(asset_value is pd.NaT)
def test_regular_minute(self):
minutes = self.trading_schedule.execution_minutes_for_day(
minutes = self.trading_calendar.minutes_for_session(
self.equity_minute_bar_days[0]
)
@@ -282,11 +283,13 @@ class TestMinuteBarData(WithBarDataChecks,
self.assertEqual(minute, asset2_value)
else:
last_traded_minute = minutes[(idx // 10) * 10]
self.assertEqual(last_traded_minute - 1,
asset2_value)
self.assertEqual(
last_traded_minute - timedelta(minutes=1),
asset2_value
)
def test_minute_of_last_day(self):
minutes = self.trading_schedule.execution_minutes_for_day(
minutes = self.trading_calendar.minutes_for_session(
self.equity_daily_bar_days[-1],
)
@@ -298,13 +301,13 @@ class TestMinuteBarData(WithBarDataChecks,
self.assertTrue(bar_data.can_trade(self.ASSET2))
def test_minute_after_assets_stopped(self):
minutes = self.trading_schedule.execution_minutes_for_day(
self.trading_schedule.next_execution_day(
minutes = self.trading_calendar.minutes_for_session(
self.trading_calendar.next_session_label(
self.equity_minute_bar_days[-1]
)
)
last_trading_minute = self.trading_schedule.execution_minutes_for_day(
last_trading_minute = self.trading_calendar.minutes_for_session(
self.equity_minute_bar_days[-1]
)[-1]
@@ -346,9 +349,9 @@ class TestMinuteBarData(WithBarDataChecks,
)
# ... but that's it's not applied when using spot value
minutes = self.trading_schedule.execution_minutes_for_days_in_range(
start=self.equity_minute_bar_days[0],
end=self.equity_minute_bar_days[1]
minutes = self.trading_calendar.minutes_for_sessions_in_range(
self.equity_minute_bar_days[0],
self.equity_minute_bar_days[1]
)
for idx, minute in enumerate(minutes):
@@ -361,10 +364,10 @@ class TestMinuteBarData(WithBarDataChecks,
def test_spot_price_is_adjusted_if_needed(self):
# on cls.days[1], the first 9 minutes of ILLIQUID_SPLIT_ASSET are
# missing. let's get them.
day0_minutes = self.trading_schedule.execution_minutes_for_day(
day0_minutes = self.trading_calendar.minutes_for_session(
self.equity_minute_bar_days[0]
)
day1_minutes = self.trading_schedule.execution_minutes_for_day(
day1_minutes = self.trading_calendar.minutes_for_session(
self.equity_minute_bar_days[1]
)
@@ -438,7 +441,7 @@ class TestMinuteBarData(WithBarDataChecks,
def test_can_trade_at_midnight(self):
# make sure that if we use `can_trade` at midnight, we don't pretend
# we're in the previous day's last minute
the_day_after = self.trading_schedule.next_execution_day(
the_day_after = self.trading_calendar.next_session_label(
self.equity_minute_bar_days[-1]
)
@@ -609,7 +612,7 @@ class TestDailyBarData(WithBarDataChecks,
def make_equity_daily_bar_data(cls):
for sid in cls.sids:
yield sid, create_daily_df_for_asset(
cls.trading_schedule,
cls.trading_calendar,
cls.equity_daily_bar_days[0],
cls.equity_daily_bar_days[-1],
interval=2 - sid % 2
@@ -642,8 +645,8 @@ class TestDailyBarData(WithBarDataChecks,
cls.ASSETS = [cls.ASSET1, cls.ASSET2]
def test_day_before_assets_trading(self):
# use the day before self.equity_daily_bar_days[0]
day = self.trading_schedule.previous_execution_day(
# use the day before self.bcolz_daily_bar_days[0]
day = self.trading_calendar.previous_session_label(
self.equity_daily_bar_days[0]
)
@@ -748,7 +751,7 @@ class TestDailyBarData(WithBarDataChecks,
def test_after_assets_dead(self):
# both assets end on self.day[-1], so let's try the next day
next_day = self.trading_schedule.next_execution_day(
next_day = self.trading_calendar.next_session_label(
self.equity_daily_bar_days[-1]
)