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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 12:46:36 -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