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DEV: Cleaned up trading_minute_window

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Removed it from ExchangeCalendar.

Fixed TradingSchedule’s implementation to be much faster.  Removed the
`step` parameter.
This commit is contained in:
Jean Bredeche
2016-06-08 13:34:23 -04:00
parent e1e12534c5
commit b1428aaad1
6 changed files with 81 additions and 102 deletions
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tests/test_exchange_calendar.py
-10
View File
@@ -156,16 +156,6 @@ class ExchangeCalendarTestBase(object):
self.assertIsNotNone(open, "Open value is None")
self.assertIsNotNone(close, "Close value is None")
# def test_minutes_for_date(self):
# for date in self.answers.index:
# mins_for_date = self.calendar.minutes_for_date(date)
def test_minute_window(self):
for open in self.answers.market_open:
open_tz = open.tz_localize('UTC')
window = self.calendar.trading_minute_window(open_tz, 390, step=1)
self.assertEqual(len(window), 390)
class NYSECalendarTestCase(ExchangeCalendarTestBase, TestCase):
tests/test_trading_schedule.py
+51
View File
@@ -3,8 +3,11 @@ from unittest import TestCase
from pandas import (
Timestamp,
date_range,
DatetimeIndex
)
import numpy as np
from zipline.utils.calendars import (
get_calendar,
ExchangeTradingSchedule,
@@ -56,3 +59,51 @@ class TestExchangeTradingSchedule(TestCase):
"Mismatch between schedule: %s and calendar: %s at time %s"
% (cal_open, sched_exec, dt)
)
def test_execution_minute_window_forward(self):
dt = Timestamp("11/23/2016 15:00", tz='EST').tz_convert("UTC")
# 61 minutes left on 11/23, closed 11/24, only 210 minutes on 11/25
minutes = self.nyse_exchange_schedule.execution_minute_window(dt, 300)
np.testing.assert_array_equal(
minutes[0:61],
DatetimeIndex(
start=Timestamp("2016-11-23 20:00", tz='UTC'),
end=Timestamp("2016-11-23 21:00", tz='UTC'),
freq="min"
)
)
np.testing.assert_array_equal(
minutes[61:271],
DatetimeIndex(
start=Timestamp("2016-11-25 14:31", tz='UTC'),
end=Timestamp("2016-11-25 18:00", tz='UTC'),
freq="min"
)
)
np.testing.assert_array_equal(
minutes[271:],
DatetimeIndex(
start=Timestamp("2016-11-28 14:31", tz='UTC'),
end=Timestamp("2016-11-28 14:59", tz='UTC'),
freq="min"
)
)
def test_execution_minute_window_backward(self):
end_dt = Timestamp("2016-11-28 14:59", tz='UTC')
start_dt = Timestamp("2016-11-23 20:00", tz='UTC')
from_end_minutes = \
self.nyse_exchange_schedule.execution_minute_window(end_dt, -300)
from_start_minutes = \
self.nyse_exchange_schedule.execution_minute_window(start_dt, 300)
np.testing.assert_array_equal(
from_end_minutes,
from_start_minutes
)