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FIX: Refactor to pass benchmark_asset to appropriate methods

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This commit is contained in:
Andrew Liang
2016-04-27 16:55:50 -04:00
parent 7332586abe
commit bd07e824be
1 changed files with 9 additions and 9 deletions
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zipline/sources/benchmark_source.py
+9 -9
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@@ -34,14 +34,14 @@ class BenchmarkSource(object):
if len(trading_days) == 0:
self._precalculated_series = pd.Series()
elif self.benchmark_sid:
self.benchmark_asset = self.env.asset_finder.retrieve_asset(
benchmark_asset = self.env.asset_finder.retrieve_asset(
self.benchmark_sid)
self._validate_benchmark()
self._validate_benchmark(benchmark_asset)
self._precalculated_series = \
self._initialize_precalculated_series(
self.benchmark_asset,
benchmark_asset,
self.env,
self.trading_days,
self.data_portal
@@ -72,7 +72,7 @@ class BenchmarkSource(object):
def get_value(self, dt):
return self._precalculated_series.loc[dt]
def _validate_benchmark(self):
def _validate_benchmark(self, benchmark_asset):
# check if this security has a stock dividend. if so, raise an
# error suggesting that the user pick a different asset to use
# as benchmark.
@@ -86,20 +86,20 @@ class BenchmarkSource(object):
dt=stock_dividends[0]["ex_date"]
)
if self.benchmark_asset.start_date > self.trading_days[0]:
if benchmark_asset.start_date > self.trading_days[0]:
# the asset started trading after the first simulation day
raise BenchmarkAssetNotAvailableTooEarly(
sid=str(self.benchmark_sid),
dt=self.trading_days[0],
start_dt=self.benchmark_asset.start_date
start_dt=benchmark_asset.start_date
)
if self.benchmark_asset.end_date < self.trading_days[-1]:
if benchmark_asset.end_date < self.trading_days[-1]:
# the asset stopped trading before the last simulation day
raise BenchmarkAssetNotAvailableTooLate(
sid=str(self.benchmark_sid),
dt=self.trading_days[0],
end_dt=self.benchmark_asset.end_date
end_dt=benchmark_asset.end_date
)
def _initialize_precalculated_series(self, asset, env, trading_days,
@@ -150,7 +150,7 @@ class BenchmarkSource(object):
return benchmark_series.pct_change()[1:]
else:
start_date = self.benchmark_asset.start_date
start_date = asset.start_date
if start_date < trading_days[0]:
# get the window of close prices for benchmark_sid from the
# last trading day of the simulation, going up to one day