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MAINT: Adds first_trading_day arg to DataPortal

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Instead of inferring it from the minute/daily writer, we now require the
first trading day to be passed explicitly, so the creator of the
DataPortal controls what is used as the first trading day.
This commit is contained in:
Andrew Daniels
2016-06-02 13:16:43 -04:00
parent 38d6107faf
commit 71f12ec272
10 changed files with 40 additions and 21 deletions
Download Patch File Download Diff File Expand all files Collapse all files
tests/finance/test_slippage.py
+2
View File
@@ -94,6 +94,7 @@ class SlippageTestCase(WithSimParams, WithDataPortal, ZiplineTestCase):
with tmp_bcolz_minute_bar_reader(self.env, days, assets) as reader:
data_portal = DataPortal(
self.env,
first_trading_day=reader.first_trading_day,
equity_minute_reader=reader,
)
@@ -482,6 +483,7 @@ class SlippageTestCase(WithSimParams, WithDataPortal, ZiplineTestCase):
with tmp_bcolz_minute_bar_reader(self.env, days, assets) as reader:
data_portal = DataPortal(
self.env,
first_trading_day=reader.first_trading_day,
equity_minute_reader=reader,
)
tests/test_algorithm.py
+6 -2
View File
@@ -3372,9 +3372,11 @@ class TestEquityAutoClose(WithTmpDir, ZiplineTestCase):
BcolzDailyBarWriter(path, dates).write(
iteritems(trade_data_by_sid),
)
reader = BcolzDailyBarReader(path)
data_portal = DataPortal(
env,
equity_daily_reader=BcolzDailyBarReader(path)
first_trading_day=reader.first_trading_day,
equity_daily_reader=reader,
)
elif frequency == 'minute':
dates = env.minutes_for_days_in_range(
@@ -3400,9 +3402,11 @@ class TestEquityAutoClose(WithTmpDir, ZiplineTestCase):
volume_step_by_date=10,
frequency=frequency
)
reader = BcolzMinuteBarReader(self.tmpdir.path)
data_portal = DataPortal(
env,
equity_minute_reader=BcolzMinuteBarReader(self.tmpdir.path)
first_trading_day=reader.first_trading_day,
equity_minute_reader=reader,
)
else:
self.fail("Unknown frequency in make_data: %r" % frequency)
tests/test_benchmark.py
+1
View File
@@ -151,6 +151,7 @@ class TestBenchmark(WithDataPortal, WithSimParams, ZiplineTestCase):
with tmp_reader as reader:
data_portal = DataPortal(
self.env,
first_trading_day=reader.first_trading_day,
equity_minute_reader=reader,
equity_daily_reader=self.bcolz_daily_bar_reader,
adjustment_reader=self.adjustment_reader,
tests/test_data_portal.py
+1 -1
View File
@@ -26,7 +26,7 @@ class TestDataPortal(WithTradingEnvironment, ZiplineTestCase):
def init_instance_fixtures(self):
super(TestDataPortal, self).init_instance_fixtures()
self.data_portal = DataPortal(self.env)
self.data_portal = DataPortal(self.env, first_trading_day=None)
def test_bar_count_for_simple_transforms(self):
# July 2015
tests/test_finance.py
+2
View File
@@ -227,6 +227,7 @@ class FinanceTestCase(WithLogger,
data_portal = DataPortal(
env,
first_trading_day=equity_minute_reader.first_trading_day,
equity_minute_reader=equity_minute_reader,
)
else:
@@ -254,6 +255,7 @@ class FinanceTestCase(WithLogger,
data_portal = DataPortal(
env,
first_trading_day=equity_daily_reader.first_trading_day,
equity_daily_reader=equity_daily_reader,
)
zipline/algorithm.py
+6 -4
View File
@@ -617,12 +617,14 @@ class TradingAlgorithm(object):
copy_panel.items
)
)
equity_daily_reader = PanelDailyBarReader(
self.trading_environment.trading_days,
copy_panel,
)
self.data_portal = DataPortal(
self.trading_environment,
equity_daily_reader=PanelDailyBarReader(
self.trading_environment.trading_days,
copy_panel,
),
first_trading_day=equity_daily_reader.first_trading_day,
equity_daily_reader=equity_daily_reader,
)
# Force a reset of the performance tracker, in case
zipline/data/data_portal.py
+5 -10
View File
@@ -470,8 +470,10 @@ class DataPortal(object):
env : TradingEnvironment
The trading environment for the simulation. This includes the trading
calendar and benchmark data.
first_trading_day : pd.Timestamp
The first trading day for the simulation.
equity_daily_reader : BcolzDailyBarReader, optional
The daily bar ready for equities. This will be used to service
The daily bar reader for equities. This will be used to service
daily data backtests or daily history calls in a minute backetest.
If a daily bar reader is not provided but a minute bar reader is,
the minutes will be rolled up to serve the daily requests.
@@ -494,6 +496,7 @@ class DataPortal(object):
"""
def __init__(self,
env,
first_trading_day,
equity_daily_reader=None,
equity_minute_reader=None,
future_daily_reader=None,
@@ -540,7 +543,7 @@ class DataPortal(object):
self._future_daily_reader = future_daily_reader
self._future_minute_reader = future_minute_reader
self._first_trading_day = None
self._first_trading_day = first_trading_day
if self._equity_minute_reader is not None:
self._equity_daily_aggregator = DailyHistoryAggregator(
@@ -554,14 +557,6 @@ class DataPortal(object):
self.MINUTE_PRICE_ADJUSTMENT_FACTOR = \
self._equity_minute_reader._ohlc_inverse
# get the first trading day from our readers.
if self._equity_daily_reader is not None:
self._first_trading_day = \
self._equity_daily_reader.first_trading_day
elif self._equity_minute_reader is not None:
self._first_trading_day = \
self._equity_minute_reader.first_trading_day
def _reindex_extra_source(self, df, source_date_index):
return df.reindex(index=source_date_index, method='ffill')
zipline/testing/core.py
+8 -4
View File
@@ -483,6 +483,7 @@ def create_data_portal(env, tempdir, sim_params, sids, adjustment_reader=None):
return DataPortal(
env,
first_trading_day=equity_daily_reader.first_trading_day,
equity_daily_reader=equity_daily_reader,
adjustment_reader=adjustment_reader
)
@@ -498,6 +499,7 @@ def create_data_portal(env, tempdir, sim_params, sids, adjustment_reader=None):
return DataPortal(
env,
first_trading_day=equity_minute_reader.first_trading_day,
equity_minute_reader=equity_minute_reader,
adjustment_reader=adjustment_reader
)
@@ -618,6 +620,7 @@ def create_data_portal_from_trade_history(env, tempdir, sim_params,
return DataPortal(
env,
first_trading_day=equity_daily_reader.first_trading_day,
equity_daily_reader=equity_daily_reader,
)
else:
@@ -669,17 +672,18 @@ def create_data_portal_from_trade_history(env, tempdir, sim_params,
return DataPortal(
env,
first_trading_day=equity_minute_reader.first_trading_day,
equity_minute_reader=equity_minute_reader,
)
class FakeDataPortal(DataPortal):
def __init__(self, env=None):
def __init__(self, env=None, first_trading_day=None):
if env is None:
env = TradingEnvironment()
super(FakeDataPortal, self).__init__(env)
super(FakeDataPortal, self).__init__(env, first_trading_day)
def get_spot_value(self, asset, field, dt, data_frequency):
if field == "volume":
@@ -708,8 +712,8 @@ class FetcherDataPortal(DataPortal):
Mock dataportal that returns fake data for history and non-fetcher
spot value.
"""
def __init__(self, env):
super(FetcherDataPortal, self).__init__(env)
def __init__(self, env, first_trading_day=None):
super(FetcherDataPortal, self).__init__(env, first_trading_day)
def get_spot_value(self, asset, field, dt, data_frequency):
# if this is a fetcher field, exercise the regular code path
zipline/testing/fixtures.py
+8
View File
@@ -1156,8 +1156,16 @@ class WithDataPortal(WithAdjustmentReader,
DATA_PORTAL_USE_ADJUSTMENTS = True
def make_data_portal(self):
if self.DATA_PORTAL_USE_MINUTE_DATA:
first_trading_day = self.bcolz_minute_bar_reader.first_trading_day
elif self.DATA_PORTAL_USE_DAILY_DATA:
first_trading_day = self.bcolz_daily_bar_reader.first_trading_day
else:
first_trading_day = None
return DataPortal(
self.env,
first_trading_day=first_trading_day,
equity_daily_reader=(
self.bcolz_daily_bar_reader
if self.DATA_PORTAL_USE_DAILY_DATA else
zipline/utils/run_algo.py
+1
View File
@@ -130,6 +130,7 @@ def _run(handle_data,
env = TradingEnvironment(asset_db_path=connstr)
data = DataPortal(
env,
first_trading_day=bundle_data.minute_bar_reader.first_trading_day,
equity_minute_reader=bundle_data.minute_bar_reader,
equity_daily_reader=bundle_data.daily_bar_reader,
adjustment_reader=bundle_data.adjustment_reader,