wassname/catalyst
1
0
Fork 0
mirror of https://github.com/wassname/catalyst.git synced 2026-08-13 12:00:16 +08:00
Code Issues Packages Projects Releases Wiki Activity

MAINT: Adds option for minute bar writer to not write metadata

Browse Source 
With the addition of the truncate function, there are cases where we'll
want to construct a BcolzMinuteBarWriter to call truncate, without
gathering all the metadata. This commit adds a write_metadata arg to its
init, which is True by default. If False is specified, no metadata is
written.

Requires adding logic to truncate to update end_session in metadata to
the truncate date.
This commit is contained in:
Andrew Daniels
2016-09-21 11:31:54 -04:00
parent 5e20a1bdd1
commit 96cc6b6588
2 changed files with 35 additions and 76 deletions
Download Patch File Download Diff File Expand all files Collapse all files
tests/data/test_minute_bars.py
+14 -66
View File
@@ -33,7 +33,6 @@ from pandas import (
Timedelta,
NaT,
date_range,
isnull,
)
from zipline.data.bar_reader import NoDataOnDate
@@ -971,8 +970,15 @@ class BcolzMinuteBarTestCase(WithTradingCalendars,
# Truncate to first day with data.
self.writer.truncate(days[0])
# Refresh the reader since truncate update the metadata.
self.reader = BcolzMinuteBarReader(self.dest)
self.assertEqual(self.writer.last_date_in_output_for_sid(sid), days[0])
cal = self.trading_calendar
_, last_close = cal.open_and_close_for_session(days[0])
self.assertEqual(self.reader.last_available_dt, last_close)
minute = minutes[0]
open_price = self.reader.get_value(sid, minute, 'open')
@@ -995,28 +1001,6 @@ class BcolzMinuteBarTestCase(WithTradingCalendars,
self.assertEquals(50.0, volume_price)
minute = minutes[1]
open_price = self.reader.get_value(sid, minute, 'open')
self.assertTrue(isnull(open_price))
high_price = self.reader.get_value(sid, minute, 'high')
self.assertTrue(isnull(high_price))
low_price = self.reader.get_value(sid, minute, 'low')
self.assertTrue(isnull(low_price))
close_price = self.reader.get_value(sid, minute, 'close')
self.assertTrue(isnull(close_price))
volume_price = self.reader.get_value(sid, minute, 'volume')
self.assertEqual(0.0, volume_price)
def test_truncate_all_data_points(self):
tds = self.market_opens.index
@@ -1044,51 +1028,15 @@ class BcolzMinuteBarTestCase(WithTradingCalendars,
# day with minute data.
self.writer.truncate(self.test_calendar_start)
# Refresh the reader since truncate update the metadata.
self.reader = BcolzMinuteBarReader(self.dest)
self.assertEqual(
self.writer.last_date_in_output_for_sid(sid),
self.test_calendar_start,
)
minute = minutes[0]
open_price = self.reader.get_value(sid, minute, 'open')
self.assertTrue(isnull(open_price))
high_price = self.reader.get_value(sid, minute, 'high')
self.assertTrue(isnull(high_price))
low_price = self.reader.get_value(sid, minute, 'low')
self.assertTrue(isnull(low_price))
close_price = self.reader.get_value(sid, minute, 'close')
self.assertTrue(isnull(close_price))
volume_price = self.reader.get_value(sid, minute, 'volume')
self.assertEquals(0.0, volume_price)
minute = minutes[1]
open_price = self.reader.get_value(sid, minute, 'open')
self.assertTrue(isnull(open_price))
high_price = self.reader.get_value(sid, minute, 'high')
self.assertTrue(isnull(high_price))
low_price = self.reader.get_value(sid, minute, 'low')
self.assertTrue(isnull(low_price))
close_price = self.reader.get_value(sid, minute, 'close')
self.assertTrue(isnull(close_price))
volume_price = self.reader.get_value(sid, minute, 'volume')
self.assertEqual(0.0, volume_price)
cal = self.trading_calendar
_, last_close = cal.open_and_close_for_session(
self.test_calendar_start)
self.assertEqual(self.reader.last_available_dt, last_close)