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MAINT: Standardize reader get value methods.

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The daily/session bar reader's `spot_price` took the same parameters and
returned the same kind of output as the minute bar reader's `get_value`.

Standardize on one method to make a common interface, which may be
formally factored out in a later patch; to help enable writing reader
implementations or mixins which can be agnostic to the bar frequency.
This commit is contained in:
Eddie Hebert
2016-08-24 10:12:52 -04:00
parent 20f9241252
commit a3c1f4ce36
10 changed files with 38 additions and 40 deletions
Download Patch File Download Diff File Expand all files Collapse all files
tests/data/test_resample.py
+2 -2
View File
@@ -512,7 +512,7 @@ class TestResampleSessionBars(WithBcolzFutureMinuteBarReader,
self.assertEqual(self.END_DATE, session_bar_reader.last_available_dt)
def test_spot_price(self):
def test_get_value(self):
calendar = self.trading_calendar
session_bar_reader = MinuteResampleSessionBarReader(
calendar,
@@ -523,7 +523,7 @@ class TestResampleSessionBars(WithBcolzFutureMinuteBarReader,
for dt_str, values in expected.iterrows():
dt = pd.Timestamp(dt_str, tz='UTC')
for col in OHLCV:
result = session_bar_reader.spot_price(sid, dt, col)
result = session_bar_reader.get_value(sid, dt, col)
assert_almost_equal(values[col], result,
err_msg="sid={0} col={1} dt={2}".
format(sid, col, dt))
tests/data/test_us_equity_pricing.py
+16 -16
View File
@@ -285,45 +285,45 @@ class BcolzDailyBarTestCase(WithBcolzEquityDailyBarReader, ZiplineTestCase):
end_date=self.asset_end(asset),
)
def test_unadjusted_spot_price(self):
def test_unadjusted_get_value(self):
reader = self.bcolz_equity_daily_bar_reader
# At beginning
price = reader.spot_price(1, Timestamp('2015-06-01', tz='UTC'),
'close')
price = reader.get_value(1, Timestamp('2015-06-01', tz='UTC'),
'close')
# Synthetic writes price for date.
self.assertEqual(108630.0, price)
# Middle
price = reader.spot_price(1, Timestamp('2015-06-02', tz='UTC'),
'close')
price = reader.get_value(1, Timestamp('2015-06-02', tz='UTC'),
'close')
self.assertEqual(108631.0, price)
# End
price = reader.spot_price(1, Timestamp('2015-06-05', tz='UTC'),
'close')
price = reader.get_value(1, Timestamp('2015-06-05', tz='UTC'),
'close')
self.assertEqual(108634.0, price)
# Another sid at beginning.
price = reader.spot_price(2, Timestamp('2015-06-22', tz='UTC'),
'close')
price = reader.get_value(2, Timestamp('2015-06-22', tz='UTC'),
'close')
self.assertEqual(208651.0, price)
# Ensure that volume does not have float adjustment applied.
volume = reader.spot_price(1, Timestamp('2015-06-02', tz='UTC'),
'volume')
volume = reader.get_value(1, Timestamp('2015-06-02', tz='UTC'),
'volume')
self.assertEqual(109631, volume)
def test_unadjusted_spot_price_no_data(self):
def test_unadjusted_get_value_no_data(self):
table = self.bcolz_daily_bar_ctable
reader = BcolzDailyBarReader(table)
# before
with self.assertRaises(NoDataOnDate):
reader.spot_price(2, Timestamp('2015-06-08', tz='UTC'), 'close')
reader.get_value(2, Timestamp('2015-06-08', tz='UTC'), 'close')
# after
with self.assertRaises(NoDataOnDate):
reader.spot_price(4, Timestamp('2015-06-16', tz='UTC'), 'close')
reader.get_value(4, Timestamp('2015-06-16', tz='UTC'), 'close')
def test_unadjusted_spot_price_empty_value(self):
def test_unadjusted_get_value_empty_value(self):
reader = self.bcolz_equity_daily_bar_reader
# A sid, day and corresponding index into which to overwrite a zero.
@@ -338,7 +338,7 @@ class BcolzDailyBarTestCase(WithBcolzEquityDailyBarReader, ZiplineTestCase):
# This a little hacky, in lieu of changing the synthetic data set.
reader._spot_col('close')[zero_ix] = 0
close = reader.spot_price(zero_sid, zero_day, 'close')
close = reader.get_value(zero_sid, zero_day, 'close')
self.assertEqual(-1, close)
finally:
reader._spot_col('close')[zero_ix] = old
tests/pipeline/test_pipeline_algo.py
+1 -1
View File
@@ -336,7 +336,7 @@ class MockDailyBarSpotReader(object):
"""
A BcolzDailyBarReader which returns a constant value for spot price.
"""
def spot_price(self, sid, day, column):
def get_value(self, sid, day, column):
return 100.0
tests/test_bar_data.py
+9 -9
View File
@@ -358,7 +358,7 @@ class TestMinuteBarData(WithBarDataChecks,
elif field == "last_traded":
self.assertEqual(last_trading_minute, asset_value)
def test_spot_price_is_unadjusted(self):
def test_get_value_is_unadjusted(self):
# verify there is a split for SPLIT_ASSET
splits = self.adjustment_reader.get_adjustments_for_sid(
"splits",
@@ -385,7 +385,7 @@ class TestMinuteBarData(WithBarDataChecks,
bar_data.current(self.SPLIT_ASSET, "price")
)
def test_spot_price_is_adjusted_if_needed(self):
def test_get_value_is_adjusted_if_needed(self):
# on cls.days[1], the first 9 minutes of ILLIQUID_SPLIT_ASSET are
# missing. let's get them.
day0_minutes = self.trading_calendar.minutes_for_session(
@@ -420,7 +420,7 @@ class TestMinuteBarData(WithBarDataChecks,
bar_data.current(self.ILLIQUID_SPLIT_ASSET, "price")
)
def test_spot_price_at_midnight(self):
def test_get_value_at_midnight(self):
# make sure that if we try to get a minute price at a non-market
# minute, we use the previous market close's timestamp
day = self.equity_minute_bar_days[1]
@@ -872,12 +872,12 @@ class TestDailyBarData(WithBarDataChecks,
("merger", 2, 3, 3, 1.8),
("dividend", 2, 3, 3, 2.88)
])
def test_spot_price_adjustments(self,
adjustment_type,
liquid_day_0_price,
liquid_day_1_price,
illiquid_day_0_price,
illiquid_day_1_price_adjusted):
def test_get_value_adjustments(self,
adjustment_type,
liquid_day_0_price,
liquid_day_1_price,
illiquid_day_0_price,
illiquid_day_1_price_adjusted):
"""Test the behaviour of spot prices during adjustments."""
table_name = adjustment_type + 's'
liquid_asset = getattr(self, (adjustment_type.upper() + "_ASSET"))
tests/test_panel_bar_reader.py
+2 -2
View File
@@ -55,14 +55,14 @@ class WithPanelBarReader(WithAssetFinder):
cls.reader = PanelBarReader(trading_calendar, cls.panel, cls.FREQUENCY)
def test_spot_price(self):
def test_get_value(self):
panel = self.panel
reader = self.reader
for asset, date, field in product(*panel.axes):
self.assertEqual(
panel.loc[asset, date, field],
reader.spot_price(asset, date, field),
reader.get_value(asset, date, field),
)
def test_duplicate_values(self):
zipline/data/data_portal.py
+2 -2
View File
@@ -521,7 +521,7 @@ class DataPortal(object):
elif column in OHLCV_FIELDS:
# don't forward fill
try:
val = reader.spot_price(asset, dt, column)
val = reader.get_value(asset, dt, column)
if val == -1:
if column == "volume":
return 0
@@ -535,7 +535,7 @@ class DataPortal(object):
found_dt = dt
while True:
try:
value = reader.spot_price(
value = reader.get_value(
asset, found_dt, "close"
)
if value != -1:
zipline/data/resample.py
+1 -1
View File
@@ -476,7 +476,7 @@ class MinuteResampleSessionBarReader(SessionBarReader):
def load_raw_arrays(self, columns, start_dt, end_dt, assets):
return self._get_resampled(columns, start_dt, end_dt, assets).values
def spot_price(self, sid, session, colname):
def get_value(self, sid, session, colname):
# WARNING: This will need caching or other optimization if used in a
# tight loop.
# This was developed to complete interface, but has not been tuned
zipline/data/session_bars.py
+1 -1
View File
@@ -43,7 +43,7 @@ class SessionBarReader(with_metaclass(ABCMeta)):
pass
@abstractmethod
def spot_price(self, sid, session, colname):
def get_value(self, sid, session, colname):
"""
Retrieve the value at the given coordinates.
zipline/data/us_equity_pricing.py
+3 -5
View File
@@ -686,7 +686,7 @@ class BcolzDailyBarReader(SessionBarReader):
day, sid))
return ix
def spot_price(self, sid, day, colname):
def get_value(self, sid, day, colname):
"""
Parameters
----------
@@ -787,7 +787,7 @@ class PanelBarReader(SessionBarReader):
list(columns)
].reindex(major_axis=cal[cal.slice_indexer(start_dt, end_dt)]).values.T
def spot_price(self, sid, dt, colname):
def get_value(self, sid, dt, colname):
"""
Parameters
----------
@@ -809,8 +809,6 @@ class PanelBarReader(SessionBarReader):
"""
return self.panel.loc[sid, dt, colname]
get_value = spot_price
def get_last_traded_dt(self, sid, dt):
"""
Parameters
@@ -985,7 +983,7 @@ class SQLiteAdjustmentWriter(object):
day_loc = calendar.get_loc(ex_date, method='bfill')
prev_close_date = calendar[day_loc - 1]
try:
prev_close = equity_daily_bar_reader.spot_price(
prev_close = equity_daily_bar_reader.get_value(
sid, prev_close_date, 'close')
if prev_close != 0.0:
ratio = 1.0 - amount / prev_close
zipline/testing/core.py
+1 -1
View File
@@ -959,7 +959,7 @@ def subtest(iterator, *_names):
class MockDailyBarReader(object):
def spot_price(self, col, sid, dt):
def get_value(self, col, sid, dt):
return 100