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Fixed issue with overlapping chunks

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This commit is contained in:
fredfortier
2017-10-18 23:26:24 -04:00
parent e5f7c63ebd
commit b3dcb7a9ad
2 changed files with 27 additions and 20 deletions
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catalyst/examples/simple_loop.py
+2 -2
View File
@@ -7,7 +7,7 @@ from catalyst.api import symbol
def initialize(context):
print('initializing')
context.asset = symbol('etc_eth')
context.asset = symbol('btc_usdt')
def handle_data(context, data):
@@ -29,7 +29,7 @@ def handle_data(context, data):
run_algorithm(
capital_base=250,
start=pd.to_datetime('2017-9-01', utc=True),
start=pd.to_datetime('2015-2-19', utc=True),
end=pd.to_datetime('2017-9-30', utc=True),
data_frequency='daily',
initialize=initialize,
catalyst/exchange/exchange_bundle.py
+25 -18
View File
@@ -265,12 +265,10 @@ class ExchangeBundle:
return data
def download_bundle(self, name):
"""
:param name:
:return:
"""
def get_calendar_periods_range(self, start_dt, end_dt, data_frequency):
return self.calendar.minutes_in_range(start_dt, end_dt) \
if data_frequency == 'minute' \
else self.calendar.sessions_in_range(start_dt, end_dt)
def ingest_ctable(self, asset, data_frequency, period, start_dt, end_dt,
writer, empty_rows_behavior='strip', cleanup=False):
@@ -297,10 +295,9 @@ class ExchangeBundle:
period=period
)
periods = self.calendar.minutes_in_range(start_dt, end_dt) \
if data_frequency == 'minute' \
else self.calendar.sessions_in_range(start_dt, end_dt)
periods = self.get_calendar_periods_range(
start_dt, end_dt, data_frequency
)
reader = self.get_reader(data_frequency, path=path)
if reader is None:
raise TempBundleNotFoundError(path=path)
@@ -384,6 +381,8 @@ class ExchangeBundle:
def prepare_chunks(self, assets, data_frequency, start_dt, end_dt):
"""
Split a price data request into chunks corresponding to individual
bundles.
:param assets:
:param data_frequency:
@@ -402,17 +401,25 @@ class ExchangeBundle:
except PricingDataBeforeTradingError:
continue
sessions = get_periods_range(asset_start, asset_end,
data_frequency)
# Aligning start / end dates with the daily calendar
sessions = get_periods_range(start_dt, end_dt, data_frequency) \
if data_frequency == 'minute' \
else self.calendar.sessions_in_range(start_dt, end_dt)
periods = []
if asset_start < sessions[0]:
asset_start = sessions[0]
if asset_end > sessions[-1]:
asset_end = sessions[-1]
chunk_labels = []
dt = sessions[0]
while dt <= sessions[-1]:
period = '{}-{:02d}'.format(dt.year, dt.month) \
label = '{}-{:02d}'.format(dt.year, dt.month) \
if data_frequency == 'minute' else '{}'.format(dt.year)
if period not in periods:
periods.append(period)
if label not in chunk_labels:
chunk_labels.append(label)
# Adjusting the period dates to match the availability
# of the trading pair
@@ -451,13 +458,13 @@ class ExchangeBundle:
)
if not has_data:
log.debug('adding period: {}'.format(period))
log.debug('adding period: {}'.format(label))
chunks.append(
dict(
asset=asset,
period_start=period_start,
period_end=period_end,
period=period
period=label
)
)