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MAINT: Removes use of partials in schedule classes

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This commit is contained in:
jfkirk
2016-04-20 13:26:05 -04:00
committed by Jean Bredeche
parent ddaf3d5b02
commit 705fb4e89f
6 changed files with 101 additions and 66 deletions
Download Patch File Download Diff File Expand all files Collapse all files
tests/test_exchange_calendar.py
+1 -1
View File
@@ -112,7 +112,7 @@ class ExchangeCalendarTestBase(object):
def test_minute_window(self):
for open in self.answers.market_open:
open_tz = open.tz_localize('UTC')
window = self.calendar.market_minute_window(open_tz, 390, step=1)
window = self.calendar.trading_minute_window(open_tz, 390, step=1)
self.assertEqual(len(window), 390)
tests/test_finance.py
+4 -4
View File
@@ -497,7 +497,7 @@ class TradingEnvironmentTestCase(WithLogger,
utc_start = pd.Timestamp(start.astimezone(utc))
# Get the next 10 minutes
minutes = self.cal.market_minute_window(
minutes = self.cal.trading_minute_window(
utc_start, 10,
)
self.assertEqual(len(minutes), 10)
@@ -505,7 +505,7 @@ class TradingEnvironmentTestCase(WithLogger,
self.assertEqual(minutes[i], utc_start + timedelta(minutes=i))
# Get the previous 10 minutes.
minutes = self.cal.market_minute_window(
minutes = self.cal.trading_minute_window(
utc_start, 10, step=-1,
)
self.assertEqual(len(minutes), 10)
@@ -518,7 +518,7 @@ class TradingEnvironmentTestCase(WithLogger,
# Today: 10:01 AM -> 4:00 PM (360 minutes)
# Tomorrow: 9:31 AM -> 4:00 PM (390 minutes, 750 total)
# Last Day: 9:31 AM -> 12:00 PM (150 minutes, 900 total)
minutes = self.cal.market_minute_window(
minutes = self.cal.trading_minute_window(
start, 900,
)
today = self.cal.trading_minutes_for_day(utc_start)[30:]
@@ -540,7 +540,7 @@ class TradingEnvironmentTestCase(WithLogger,
# Today: 10:01 AM -> 9:31 AM (31 minutes)
# Friday: 4:00 PM -> 9:31 AM (390 minutes, 421 total)
# Thursday: 4:00 PM -> 9:41 AM (380 minutes, 801 total)
minutes = self.cal.market_minute_window(
minutes = self.cal.trading_minute_window(
start, 801, step=-1,
)
zipline/utils/calendars/calendar_helpers.py
+2 -5
View File
@@ -116,9 +116,6 @@ def days_in_range(start, end, all_days):
end_date = normalize_date(end)
return all_days[all_days.slice_indexer(start_date, end_date)]
#mask = ((all_days >= start_date) & (all_days <= end_date))
#return all_days[mask]
def minutes_for_days_in_range(start, end, days_in_range_hook,
minutes_for_day_hook):
@@ -216,8 +213,8 @@ def previous_scheduled_minute(start, is_scheduled_day_hook,
return previous_open_and_close_hook(start)[1]
def minute_window(start, count, schedule, is_scheduled_minute_hook,
session_date_hook, minutes_for_date_hook, step=1):
def minute_window(start, count, step, schedule, is_scheduled_minute_hook,
session_date_hook, minutes_for_date_hook):
"""
Returns a DatetimeIndex containing `count` market minutes, starting
with `start` and continuing `step` minutes at a time.
zipline/utils/calendars/cme_exchange_calendar.py
-2
View File
@@ -16,8 +16,6 @@
from datetime import time
from itertools import chain
import numpy as np
import pandas as pd
from dateutil.relativedelta import (
MO,
TH,
zipline/utils/calendars/exchange_calendar.py
+47 -26
View File
@@ -17,7 +17,6 @@ from abc import (
abstractproperty,
abstractmethod,
)
from functools import partial
import pandas as pd
from pandas import (
@@ -187,64 +186,86 @@ class ExchangeCalendar(with_metaclass(ABCMeta)):
self.last_trading_day = _all_days[-1]
self.early_closes = _special_closes.map(self.session_date)
# Assign the partial calendar helpers
self.next_trading_day = partial(
next_scheduled_day,
def next_trading_day(self, date):
return next_scheduled_day(
date,
last_trading_day=self.last_trading_day,
is_scheduled_day_hook=self.is_open_on_day,
)
self.previous_trading_day = partial(
previous_scheduled_day,
def previous_trading_day(self, date):
return previous_scheduled_day(
date,
first_trading_day=self.first_trading_day,
is_scheduled_day_hook=self.is_open_on_day,
)
self.next_open_and_close = partial(
next_open_and_close,
def next_start_and_end(self, date):
return next_open_and_close(
date,
open_and_close_hook=self.open_and_close,
next_scheduled_day_hook=self.next_trading_day,
)
self.previous_open_and_close = partial(
previous_open_and_close,
def previous_start_and_end(self, date):
return previous_open_and_close(
date,
open_and_close_hook=self.open_and_close,
previous_scheduled_day_hook=self.previous_trading_day,
)
self.trading_day_distance = partial(
scheduled_day_distance,
def trading_day_distance(self, first_date, second_date):
return scheduled_day_distance(
first_date, second_date,
all_days=self.all_trading_days,
)
self.trading_minutes_for_day = partial(
minutes_for_day,
def trading_minutes_for_day(self, day):
return minutes_for_day(
day,
open_and_close_hook=self.open_and_close,
)
self.trading_days_in_range = partial(
days_in_range,
def trading_days_in_range(self, start, end):
return days_in_range(
start, end,
all_days=self.all_trading_days,
)
self.trading_minutes_for_days_in_range = partial(
minutes_for_days_in_range,
def trading_minutes_for_days_in_range(self, start, end):
return minutes_for_days_in_range(
start, end,
days_in_range_hook=self.trading_days_in_range,
minutes_for_day_hook=self.trading_minutes_for_day,
)
self.add_trading_days = partial(
add_scheduled_days,
def add_trading_days(self, n, date):
return add_scheduled_days(
n, date,
next_scheduled_day_hook=self.next_trading_day,
previous_scheduled_day_hook=self.previous_trading_day,
all_trading_days=self.all_trading_days,
)
self.next_market_minute = partial(
next_scheduled_minute,
def next_trading_minute(self, start):
return next_scheduled_minute(
start,
is_scheduled_day_hook=self.is_open_on_day,
open_and_close_hook=self.open_and_close,
next_open_and_close_hook=self.next_open_and_close,
)
self.previous_market_minute = partial(
previous_scheduled_minute,
def previous_trading_minute(self, start):
return previous_scheduled_minute(
start,
is_scheduled_day_hook=self.is_open_on_day,
open_and_close_hook=self.open_and_close,
previous_open_and_close_hook=self.previous_open_and_close,
)
self.market_minute_window = partial(
minute_window,
def trading_minute_window(self, start, count, step=1):
return minute_window(
start, count, step,
schedule=self.schedule,
is_scheduled_minute_hook=self.is_open_on_minute,
session_date_hook=self.session_date,
zipline/utils/calendars/trading_schedule.py
+47 -28
View File
@@ -18,7 +18,6 @@ from abc import (
abstractmethod,
abstractproperty,
)
from functools import partial
from six import with_metaclass
from zipline.utils.memoize import remember_last
@@ -46,65 +45,86 @@ class TradingSchedule(with_metaclass(ABCMeta)):
A TradingSchedule defines the execution timing of a TradingAlgorithm.
"""
def __init__(self):
# Assign the partial calendar helpers
self.next_execution_day = partial(
next_scheduled_day,
def next_execution_day(self, date):
return next_scheduled_day(
date,
last_trading_day=self.last_execution_day,
is_scheduled_day_hook=self.is_executing_on_day,
)
self.previous_execution_day = partial(
previous_scheduled_day,
def previous_execution_day(self, date):
return previous_scheduled_day(
date,
first_trading_day=self.first_execution_day,
is_scheduled_day_hook=self.is_executing_on_day,
)
self.next_start_and_end = partial(
next_open_and_close,
def next_start_and_end(self, date):
return next_open_and_close(
date,
open_and_close_hook=self.start_and_end,
next_scheduled_day_hook=self.next_execution_day,
)
self.previous_start_and_end = partial(
previous_open_and_close,
def previous_start_and_end(self, date):
return previous_open_and_close(
date,
open_and_close_hook=self.start_and_end,
previous_scheduled_day_hook=self.previous_execution_day,
)
self.execution_day_distance = partial(
scheduled_day_distance,
def execution_day_distance(self, first_date, second_date):
return scheduled_day_distance(
first_date, second_date,
all_days=self.all_execution_days,
)
self.execution_minutes_for_day = partial(
minutes_for_day,
def execution_minutes_for_day(self, day):
return minutes_for_day(
day,
open_and_close_hook=self.start_and_end,
)
self.execution_days_in_range = partial(
days_in_range,
def execution_days_in_range(self, start, end):
return days_in_range(
start, end,
all_days=self.all_execution_days,
)
self.execution_minutes_for_days_in_range = partial(
minutes_for_days_in_range,
def execution_minutes_for_days_in_range(self, start, end):
return minutes_for_days_in_range(
start, end,
days_in_range_hook=self.execution_days_in_range,
minutes_for_day_hook=self.execution_minutes_for_day,
)
self.add_execution_days = partial(
add_scheduled_days,
def add_execution_days(self, n, date):
return add_scheduled_days(
n, date,
next_scheduled_day_hook=self.next_execution_day,
previous_scheduled_day_hook=self.previous_execution_day,
all_trading_days=self.all_execution_days,
)
self.next_execution_minute = partial(
next_scheduled_minute,
def next_execution_minute(self, start):
return next_scheduled_minute(
start,
is_scheduled_day_hook=self.is_executing_on_day,
open_and_close_hook=self.start_and_end,
next_open_and_close_hook=self.next_start_and_end,
)
self.previous_execution_minute = partial(
previous_scheduled_minute,
def previous_execution_minute(self, start):
return previous_scheduled_minute(
start,
is_scheduled_day_hook=self.is_executing_on_day,
open_and_close_hook=self.start_and_end,
previous_open_and_close_hook=self.previous_start_and_end,
)
self.execution_minute_window = partial(
minute_window,
def execution_minute_window(self, start, count, step=1):
return minute_window(
start, count, step,
schedule=self.schedule,
is_scheduled_minute_hook=self.is_executing_on_minute,
session_date_hook=self.session_date,
@@ -265,7 +285,6 @@ class TradingSchedule(with_metaclass(ABCMeta)):
"""
raise NotImplementedError()
@abstractmethod
def session_date(self, dt):
"""