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Refactoring related to auto-ingestion

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This commit is contained in:
fredfortier
2017-10-19 23:23:37 -04:00
parent b1a247df6a
commit 946d24bd7a
12 changed files with 279 additions and 358 deletions
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catalyst/data/loader.py
+13 -9
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@@ -95,7 +95,8 @@ def has_data_for_dates(series_or_df, first_date, last_date):
def load_crypto_market_data(trading_day=None, trading_days=None,
bm_symbol=None, bundle=None, bundle_data=None,
environ=None, exchange=None):
environ=None, exchange=None, start_dt=None,
end_dt=None):
if trading_day is None:
trading_day = get_calendar('OPEN').trading_day
@@ -104,8 +105,11 @@ def load_crypto_market_data(trading_day=None, trading_days=None,
# if trading_days is None:
# trading_days = get_calendar('OPEN').schedule
first_date = get_calendar('OPEN').first_trading_session
now = pd.Timestamp.utcnow()
if start_dt is None:
start_dt = get_calendar('OPEN').first_trading_session
if end_dt is None:
end_dt = pd.Timestamp.utcnow()
# We expect to have benchmark and treasury data that's current up until
# **two** full trading days prior to the most recently completed trading
@@ -131,7 +135,7 @@ def load_crypto_market_data(trading_day=None, trading_days=None,
else:
last_date = trading_days[trading_days.get_loc(now, method='ffill') - 2]
'''
last_date = trading_days[trading_days.get_loc(now, method='ffill') - 1]
last_date = trading_days[trading_days.get_loc(end_dt, method='ffill') - 1]
if exchange is None:
# This is exceptional, since placing the import at the module scope
@@ -146,14 +150,14 @@ def load_crypto_market_data(trading_day=None, trading_days=None,
br = exchange.get_history_window(
assets=[benchmark_asset],
end_dt=last_date,
bar_count=pd.Timedelta(last_date - first_date).days,
bar_count=pd.Timedelta(last_date - start_dt).days,
frequency='1d',
field='close',
data_frequency='daily')
br.columns = ['close']
br = br.pct_change(1).iloc[1:]
br.loc[first_date]=0
br=br.sort_index()
br.loc[start_dt] = 0
br = br.sort_index()
# Override first_date for treasury data since we have it for many more years
# and is independent of crypto data
@@ -162,10 +166,10 @@ def load_crypto_market_data(trading_day=None, trading_days=None,
bm_symbol,
first_date_treasury,
last_date,
now,
end_dt,
environ,
)
benchmark_returns = br[br.index.slice_indexer(first_date, last_date)]
benchmark_returns = br[br.index.slice_indexer(start_dt, last_date)]
treasury_curves = tc[
tc.index.slice_indexer(first_date_treasury, last_date)]
return benchmark_returns, treasury_curves