Unit tested a daily reader/writer based on the minute bundle

tests/exchange/test_bundle.py

@@ -1,11 +1,17 @@
 from logging import Logger
 
+import numpy as np
 import pandas as pd
 
-from catalyst.data.minute_bars import BcolzMinuteBarReader
-from catalyst.exchange.bundle_utils import get_bcolz_chunk
-from catalyst.exchange.exchange_bundle import ExchangeBundle
+from catalyst import get_calendar
+from catalyst.data.minute_bars import BcolzMinuteBarReader, \
+    BcolzMinuteBarWriter
+from catalyst.exchange.bundle_utils import get_bcolz_chunk, get_periods_range
+from catalyst.exchange.exchange_bundle import ExchangeBundle, \
+    BUNDLE_NAME_TEMPLATE
+from catalyst.exchange.exchange_utils import get_exchange_folder
 from catalyst.exchange.init_utils import get_exchange
+from catalyst.utils.paths import ensure_directory
 
 log = Logger('test_exchange_bundle')
 
@@ -144,6 +150,110 @@ class ExchangeBundleTestCase:
         )
         pass
 
+    def test_daily_data_to_minute_table(self):
+        exchange_name = 'poloniex'
+
+        # Switch between daily and minute for testing
+        data_frequency = 'daily'
+        # data_frequency = 'minute'
+
+        exchange = get_exchange(exchange_name)
+        assets = [
+            exchange.get_asset('eth_btc'),
+            exchange.get_asset('etc_btc'),
+        ]
+
+        start = pd.to_datetime('2017-9-1', utc=True)
+        end = pd.to_datetime('2017-9-30', utc=True)
+
+        # Preparing the bundle folder
+        root = get_exchange_folder(exchange.name)
+        path = BUNDLE_NAME_TEMPLATE.format(
+            root=root,
+            frequency=data_frequency
+        )
+        ensure_directory(path)
+
+        exchange_bundle = ExchangeBundle(exchange)
+        calendar = get_calendar('OPEN')
+
+        # We are using a BcolzMinuteBarWriter even though the data is daily
+        # Each day has a maximum of one bar
+
+        # I tried setting the minutes_per_day to 1 will not create
+        # unnecessary bars
+        writer = BcolzMinuteBarWriter(
+            rootdir=path,
+            calendar=calendar,
+            minutes_per_day=1,
+            start_session=start,
+            end_session=end,
+            write_metadata=True,
+            default_ohlc_ratio=exchange_bundle.default_ohlc_ratio
+        )
+
+        # This will read the daily data in a bundle created by
+        # the daily writer. It will write to the minute writer which
+        # we are passing.
+
+        # Ingesting a second asset to ensure that multiple chunks
+        # don't override each other
+        for asset in assets:
+            exchange_bundle.ingest_ctable(
+                asset=asset,
+                data_frequency=data_frequency,
+                period='2017',
+                start_dt=start,
+                end_dt=end,
+                writer=writer,
+                empty_rows_behavior='strip'
+            )
+
+        # Simplifying the data reader to play nice with 1 minute per day
+        class BcolzDayBarReader(BcolzMinuteBarReader):
+            def load_raw_arrays(self, fields, start_dt, end_dt, sids):
+                start_idx = self._find_position_of_minute(start_dt)
+                end_idx = self._find_position_of_minute(end_dt)
+
+                num_days = (end_idx - start_idx + 1)
+                shape = num_days, len(sids)
+
+                data = []
+                for field in fields:
+                    out = np.full(shape, np.nan)
+
+                    for i, sid in enumerate(sids):
+                        carray = reader._open_minute_file(field, sid)
+                        a = carray[start_idx:end_idx + 1]
+
+                        where = a != 0
+
+                        out[:len(where), i][where] = (
+                            a[where] * self._ohlc_ratio_inverse_for_sid(sid)
+                        )
+
+                    data.append(out)
+
+                return data
+
+        reader = BcolzDayBarReader(path)
+
+        # Reading the two assets to ensure that no data was lost
+        for asset in assets:
+            sid = asset.sid
+
+            daily_values = reader.load_raw_arrays(
+                fields=['open', 'high', 'low', 'close', 'volume'],
+                start_dt=start,
+                end_dt=end,
+                sids=[sid],
+            )
+
+            print('found {} rows for last ingestion'.format(
+                len(daily_values[0]))
+            )
+        pass
+
     def test_minute_bundle(self):
         exchange_name = 'poloniex'
         data_frequency = 'minute'