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MAINT: Combine daily and minute into PanelBarReader.

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Also simplify `load_raw_arrays` and `get_last_traded_dt`.
This commit is contained in:
Nathan Wolfe
2016-07-29 17:34:28 -04:00
parent 69506570dd
commit 763f2ab8b4
5 changed files with 42 additions and 167 deletions
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zipline/algorithm.py
+13 -24
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@@ -37,8 +37,7 @@ from six import (
from zipline._protocol import handle_non_market_minutes
from zipline.assets.synthetic import make_simple_equity_info
from zipline.data.data_portal import DataPortal
from zipline.data.us_equity_pricing import PanelDailyBarReader
from zipline.data.minute_bars import PanelMinuteBarReader
from zipline.data.us_equity_pricing import PanelBarReader
from zipline.errors import (
AttachPipelineAfterInitialize,
HistoryInInitialize,
@@ -649,29 +648,19 @@ class TradingAlgorithm(object):
)
if self.sim_params.data_frequency == 'daily':
equity_daily_reader = PanelDailyBarReader(
self.trading_calendar.all_sessions,
copy_panel,
)
self.data_portal = DataPortal(
self.asset_finder,
self.trading_calendar,
first_trading_day=equity_daily_reader
.first_trading_day,
equity_daily_reader=equity_daily_reader,
)
equity_reader_arg = 'equity_daily_reader'
calendar = self.trading_calendar.all_sessions
elif self.sim_params.data_frequency == 'minute':
equity_minute_reader = PanelMinuteBarReader(
self.trading_calendar.all_minutes,
copy_panel,
)
self.data_portal = DataPortal(
self.asset_finder,
self.trading_calendar,
first_trading_day=equity_minute_reader
.first_trading_day,
equity_minute_reader=equity_minute_reader,
)
equity_reader_arg = 'equity_minute_reader'
calendar = self.trading_calendar.all_minutes
equity_reader = PanelBarReader(calendar, copy_panel)
self.data_portal = DataPortal(
self.asset_finder,
self.trading_calendar,
first_trading_day=equity_reader.first_trading_day,
**{equity_reader_arg: equity_reader}
)
# Force a reset of the performance tracker, in case
# this is a repeat run of the algorithm.