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Merge pull request #1427 from quantopian/use-equities-calendar-in-equity-fixtures

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TST: Use equity calendar when writing equity data
This commit is contained in:
Eddie Hebert
2016-08-23 12:15:00 -04:00
committed by GitHub
parent b9a7e2fc32 0fb3d9033a
commit 82436aa548
1 changed files with 10 additions and 8 deletions
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zipline/testing/fixtures.py
+10 -8
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@@ -675,7 +675,7 @@ class WithEquityDailyBarData(WithTradingEnvironment):
minute_data = dict(cls.make_equity_minute_bar_data()) minute_data = dict(cls.make_equity_minute_bar_data())
for asset in assets: for asset in assets:
yield asset.sid, minute_to_session(minute_data[asset.sid], yield asset.sid, minute_to_session(minute_data[asset.sid],
cls.trading_calendar) cls.trading_calendars[Equity])
@classmethod @classmethod
def make_equity_daily_bar_data(cls): def make_equity_daily_bar_data(cls):
@@ -692,25 +692,26 @@ class WithEquityDailyBarData(WithTradingEnvironment):
@classmethod @classmethod
def init_class_fixtures(cls): def init_class_fixtures(cls):
super(WithEquityDailyBarData, cls).init_class_fixtures() super(WithEquityDailyBarData, cls).init_class_fixtures()
trading_calendar = cls.trading_calendars[Equity]
if cls.EQUITY_DAILY_BAR_USE_FULL_CALENDAR: if cls.EQUITY_DAILY_BAR_USE_FULL_CALENDAR:
days = cls.trading_calendar.all_sessions days = trading_calendar.all_sessions
else: else:
if cls.trading_calendar.is_session( if trading_calendar.is_session(
cls.EQUITY_DAILY_BAR_START_DATE cls.EQUITY_DAILY_BAR_START_DATE
): ):
first_session = cls.EQUITY_DAILY_BAR_START_DATE first_session = cls.EQUITY_DAILY_BAR_START_DATE
else: else:
first_session = cls.trading_calendar.minute_to_session_label( first_session = trading_calendar.minute_to_session_label(
pd.Timestamp(cls.EQUITY_DAILY_BAR_START_DATE) pd.Timestamp(cls.EQUITY_DAILY_BAR_START_DATE)
) )
if cls.EQUITY_DAILY_BAR_LOOKBACK_DAYS > 0: if cls.EQUITY_DAILY_BAR_LOOKBACK_DAYS > 0:
first_session = cls.trading_calendar.sessions_window( first_session = trading_calendar.sessions_window(
first_session, first_session,
-1 * cls.EQUITY_DAILY_BAR_LOOKBACK_DAYS -1 * cls.EQUITY_DAILY_BAR_LOOKBACK_DAYS
)[0] )[0]
days = cls.trading_calendar.sessions_in_range( days = trading_calendar.sessions_in_range(
first_session, first_session,
cls.EQUITY_DAILY_BAR_END_DATE, cls.EQUITY_DAILY_BAR_END_DATE,
) )
@@ -784,8 +785,9 @@ class WithBcolzEquityDailyBarReader(WithEquityDailyBarData, WithTmpDir):
cls.bcolz_daily_bar_path = p = cls.make_bcolz_daily_bar_rootdir_path() cls.bcolz_daily_bar_path = p = cls.make_bcolz_daily_bar_rootdir_path()
days = cls.equity_daily_bar_days days = cls.equity_daily_bar_days
trading_calendar = cls.trading_calendars[Equity]
cls.bcolz_daily_bar_ctable = t = getattr( cls.bcolz_daily_bar_ctable = t = getattr(
BcolzDailyBarWriter(p, cls.trading_calendar, days[0], days[-1]), BcolzDailyBarWriter(p, trading_calendar, days[0], days[-1]),
cls._write_method_name, cls._write_method_name,
)(cls.make_equity_daily_bar_data()) )(cls.make_equity_daily_bar_data())
@@ -996,7 +998,7 @@ class WithBcolzEquityMinuteBarReader(WithEquityMinuteBarData, WithTmpDir):
writer = BcolzMinuteBarWriter( writer = BcolzMinuteBarWriter(
p, p,
cls.trading_calendar, cls.trading_calendars[Equity],
days[0], days[0],
days[-1], days[-1],
US_EQUITIES_MINUTES_PER_DAY US_EQUITIES_MINUTES_PER_DAY