WIP: Integration of generic bundle and five minute bars

catalyst/data/_minute_bar_internal.pyx

@@ -35,6 +35,17 @@ def minute_value(ndarray[long_t, ndim=1] market_opens,
 
     return market_opens[q] + r
 
+@cython.cdivision(True)
+def five_minute_value(ndarray[long_t, ndim=1] market_opens,
+                      Py_ssize_t pos,
+                      short five_minutes_per_day):
+
+    cdef short q, r
+    q = cython.cdiv(pos, five_minutes_per_day)
+    r = cython.cmod(pos, five_minutes_per_day)
+
+    return market_opens[q] + r
+
 def find_position_of_minute(ndarray[long_t, ndim=1] market_opens,
                             ndarray[long_t, ndim=1] market_closes,
                             long_t minute_val,
@@ -88,6 +99,26 @@ def find_position_of_minute(ndarray[long_t, ndim=1] market_opens,
 
     return (market_open_loc * minutes_per_day) + delta
 
+def find_position_of_five_minute(ndarray[long_t, ndim=1] market_opens,
+                                 ndarray[long_t, ndim=1] market_closes,
+                                 long_t five_minute_val,
+                                 short five_minutes_per_day,
+                                 bool forward_fill):
+
+    cdef Py_ssize_t market_open_loc, market_open, delta
+
+    market_open_loc = \
+        searchsorted(market_opens, five_minute_val, side='right') - 1
+    market_open = market_opens[market_open_loc]
+    market_close = market_closes[market_open_loc]
+
+    if not forward_fill and ((five_minute_val - market_open) >= five_minutes_per_day):
+        raise ValueError("Given five minutes is not between an open and a close")
+
+    delta = int_min(five_minute_val - market_open, market_close - market_open)
+
+    return (market_open_loc * five_minutes_per_day) + delta
+
 def find_last_traded_position_internal(
         ndarray[long_t, ndim=1] market_opens,
         ndarray[long_t, ndim=1] market_closes,
@@ -157,3 +188,51 @@ def find_last_traded_position_internal(
     # we've gone to the beginning of this asset's range, and still haven't
     # found a trade event
     return -1
+
+def find_last_traded_five_minute_position_internal(
+        ndarray[long_t, ndim=1] market_opens,
+        ndarray[long_t, ndim=1] market_closes,
+        long_t end_five_minute,
+        long_t start_five_minute,
+        volumes,
+        short five_minutes_per_day):
+    cdef Py_ssize_t minute_pos, current_minute, q
+
+    five_minute_pos = int_min(
+        find_position_of_five_minute(
+            market_opens,
+            market_closes,
+            end_five_minute,
+            five_minutes_per_day,
+            True,
+        ),
+        len(volumes) - 1,
+    )
+
+    while five_minute_pos >= 0:
+        current_five_minute = five_minute_value(
+            market_opens, five_minute_pos, five_minutes_per_day
+        )
+
+        q = cython.cdiv(five_minute_pos, five_minutes_per_day)
+        if current_five_minute > market_closes[q]:
+            five_minute_pos = find_position_of_five_minute(
+                market_opens,
+                market_closes,
+                market_closes[q],
+                five_minutes_per_day,
+                False,
+            )
+            continue
+
+        if current_five_minute < start_five_minute:
+            return -1
+
+        if volumes[five_minute_pos] != 0:
+            return five_minute_pos
+
+        five_minute_pos -= 1
+
+    # we've gone to the beginning of this asset's range, and still haven't
+    # found a trade event
+    return -1

catalyst/data/bundles/base.py

@@ -33,7 +33,17 @@ from catalyst.utils.memoize import lazyval
 logbook.StderrHandler().push_application()
 log = logbook.Logger(__name__)
 
+DEFAULT_RETRIES = 5
+
 class BaseBundle(object):
+    def __init__(self, asset_filter=[]):
+        self._asset_filter = asset_filter
+        self._reset()
+
+    def _reset(self):
+        self._splits = []
+        self._dividends = []
+
     @lazyval
     def name(self):
         raise NotImplementedError()
@@ -50,6 +60,10 @@ class BaseBundle(object):
     def minutes_per_day(self):
         raise NotImplementedError()
 
+    @lazyval
+    def five_minutes_per_day(self):
+        raise NotImplementedError()
+
     @lazyval
     def frequencies(self):
         raise NotImplementedError()
@@ -101,6 +115,7 @@ class BaseBundle(object):
                environ,
                asset_db_writer,
                minute_bar_writer,
+               five_minute_bar_writer,
                daily_bar_writer,
                adjustment_writer,
                calendar,
@@ -108,110 +123,117 @@ class BaseBundle(object):
                end_session,
                cache,
                show_progress,
+               is_compile,
                output_dir):
 
-        api_key = environ.get('CATALYST_API_KEY')
-        retries = environ.get('CATALYST_DOWNLOAD_ATTEMPTS', 5)
-        use_local = environ.get('CATALYST_INGEST_LOCAL', 0) > 0
+        try:
+            api_key = environ.get('CATALYST_API_KEY')
+            retries = environ.get('CATALYST_DOWNLOAD_ATTEMPTS', 5)
 
-        if use_local:
-            # User has instructed local curation and ingestion of bundle.
-            # Fetch raw metadata for all symbols.
-            raw_metadata = self._fetch_metadata_frame(
-                api_key,
-                cache=cache,
-                retries=retries,
-                environ=environ,
-                show_progress=show_progress,
-            )
-
-            # Compile daily symbol data if bundle supports daily mode and
-            # persist the dataset to disk.
-            symbol_map = raw_metadata.symbol
-            if 'daily' in self.frequencies:
-                daily_bar_writer.write(
-                    self._fetch_symbol_iter(
-                        api_key,
-                        cache,
-                        symbol_map,
-                        calendar,
-                        start_session,
-                        end_session,
-                        'daily',
-                        retries,
-                    ),
-                    assets=raw_metadata.index,
+            if is_compile:
+                # User has instructed local compilation and ingestion of bundle.
+                # Fetch raw metadata for all symbols.
+                raw_metadata = self._fetch_metadata_frame(
+                    api_key,
+                    cache=cache,
+                    retries=retries,
+                    environ=environ,
                     show_progress=show_progress,
                 )
 
-            # Post-process metadata using cached symbol frames, and write to
-            # disk.  This metadata must be written before any attempt to write
-            # either minute or 5-minute data.
-            metadata = self._post_process_metadata(
-                raw_metadata,
-                cache,
-                show_progress=show_progress,
-            )
-            asset_db_writer.write(metadata)
+                # Compile daily symbol data if bundle supports daily mode and
+                # persist the dataset to disk.
+                symbol_map = raw_metadata.symbol
+                if 'daily' in self.frequencies:
+                    daily_bar_writer.write(
+                        self._fetch_symbol_iter(
+                            api_key,
+                            cache,
+                            symbol_map,
+                            calendar,
+                            start_session,
+                            end_session,
+                            'daily',
+                            retries,
+                        ),
+                        assets=raw_metadata.index,
+                        show_progress=show_progress,
+                    )
 
-            # Compile 5-minute symbol data if bundle supports 5-minute mode and
-            # persist the dataset to disk.
-            if '5-minute' in self.frequencies:
-                #TODO(cfromknecht) replace with five_minute_bar_writer
-                minute_bar_writer.write(
-                    self._fetch_symbol_iter(
-                        api_key,
-                        cache,
-                        symbol_map,
-                        calendar,
-                        start_session,
-                        end_session,
-                        '5-minute',
-                        retries,
-                    ),
+                # Post-process metadata using cached symbol frames, and write to
+                # disk.  This metadata must be written before any attempt to write
+                # either minute or 5-minute data.
+                metadata = self._post_process_metadata(
+                    raw_metadata,
+                    cache,
                     show_progress=show_progress,
                 )
+                asset_db_writer.write(metadata)
 
-            # Compile minute symbol data if bundle supports minute mode and
-            # persist the dataset to disk.
-            if 'minute' in self.frequencies:
-                minute_bar_writer.write(
-                    self._fetch_symbol_iter(
-                        api_key,
-                        cache,
-                        symbol_map,
-                        calendar,
-                        start_session,
-                        end_session,
-                        'minute',
-                        retries,
-                    ),
-                    show_progress=show_progress,
-                )
+                # Compile 5-minute symbol data if bundle supports 5-minute mode and
+                # persist the dataset to disk.
+                if '5-minute' in self.frequencies:
+                    five_minute_bar_writer.write(
+                        self._fetch_symbol_iter(
+                            api_key,
+                            cache,
+                            symbol_map,
+                            calendar,
+                            start_session,
+                            end_session,
+                            '5-minute',
+                            retries,
+                        ),
+                        length=len(symbol_map),
+                        show_progress=show_progress,
+                    )
 
-            # For legacy purposes, this call is required to ensure the database
-            # contains an appropriately initialized file structure.  We don't
-            # forsee a usecase for adjustments at this time, but may later
-            # choose to expose this functionality in the future.
-            if len(self.splits) > 0 or len(self.dividends) > 0:
+                # Compile minute symbol data if bundle supports minute mode and
+                # persist the dataset to disk.
+                if 'minute' in self.frequencies:
+                    minute_bar_writer.write(
+                        self._fetch_symbol_iter(
+                            api_key,
+                            cache,
+                            symbol_map,
+                            calendar,
+                            start_session,
+                            end_session,
+                            'minute',
+                            retries,
+                        ),
+                        show_progress=show_progress,
+                    )
+
+                # For legacy purposes, this call is required to ensure the database
+                # contains an appropriately initialized file structure.  We don't
+                # forsee a usecase for adjustments at this time, but may later
+                # choose to expose this functionality in the future.
                 adjustment_writer.write(
                     splits=(
                         pd.concat(self.splits, ignore_index=True)
-                        #if self.splits is not None \
-                        #and len(self.splits) > 0 else
-                        #None
+                        if len(self.splits) > 0 else
+                        None
                     ),
                     dividends=(
                         pd.concat(self.dividends, ignore_index=True)
-                        #if self.dividends is not None \
-                        #and len(dividends) > 0 else
-                        #None
+                        if len(self.dividends) > 0 else
+                        None
                     ),
                 )
+            else:
+                # Otherwise, user has instructed to download and untar bundle
+                # directly from the bundles `tar_url`.
+                self._download_and_untar(show_progress, output_dir)
+        except Exception as e:
+            log.exception(
+                ' Failed to ingest {name}:\n{msg}'.format(
+                    name=self.name,
+                    msg=str(e),
+                )
+            )
         else:
-            # Otherwise, user has instructed to download and untar bundle
-            # directly from the bundles `tar_url`.
-            self._download_and_untar(show_progress, output_dir)
+            self._reset()
 
     def _download_and_untar(self, show_progress, output_dir):
         # Download bundle conditioned on whether the user would like progress
@@ -233,7 +255,7 @@ class BaseBundle(object):
     def _fetch_metadata_frame(self,
                              api_key,
                              cache,
-                             retries=5,
+                             retries=DEFAULT_RETRIES,
                              environ=None,
                              show_progress=False):
         
@@ -257,7 +279,7 @@ class BaseBundle(object):
         for page_number in count(1):
             # Attempt to load metadata page from cache.  If it does not exist,
             # poll the API upto `retries` times in order to get raw DataFrame.
-            key = 'metadata-page-{pn}'.format(pn=page_number)
+            key = 'metadata-page-{pn}.frame'.format(pn=page_number)
             try:
                 raw = cache[key]
             except KeyError:
@@ -289,6 +311,10 @@ class BaseBundle(object):
                 # Empty DataFrame signals completion.
                 break
 
+            # Apply selective asset filtering, useful for benchmark
+            # ingestion.
+            raw = raw[raw.symbol.isin(self._asset_filter)]
+
             # Update cached value for key.
             cache[key] = raw
 
@@ -317,8 +343,9 @@ class BaseBundle(object):
                 # Attempt to load data from disk, the cache should have an entry
                 # for each symbol at this point of the execution. If one does
                 # not exist, we should fail.
+                key = '{sym}.daily.frame'.format(sym=symbol)
                 try:
-                    raw_data = cache[symbol]
+                    raw_data = cache[key]
                 except KeyError:
                     raise ValueError(
                       'Unable to find cached data for symbol: {0}'.format(symbol)
@@ -398,8 +425,9 @@ class BaseBundle(object):
                                    retries):
 
         # Attempt to load pre-existing symbol data from cache.
+        key = '{sym}.{freq}.frame'.format(sym=symbol, freq=data_frequency)
         try:
-            raw_data = cache[symbol]
+            raw_data = cache[key]
         except KeyError:
             raw_data = None
 
@@ -418,6 +446,36 @@ class BaseBundle(object):
             # proceed to next symbol directly since no API call was required.
             return raw_data, should_sleep
 
+        # If we arrive here, we must have attempted an API call.
+        # Setting this flag tells the iterator to pause before starting
+        # the next asset, that we don't exceed the data source's rate
+        # limit.
+        should_sleep = True
+
+        raw_data = self._fetch_symbol_frame(
+            api_key,
+            symbol,
+            calendar,
+            start_session,
+            end_session,
+            data_frequency,
+            retries=retries,
+        )
+
+        # Cache latest symbol data.
+        cache[key] = raw_data
+
+        return raw_data, should_sleep
+
+    def _fetch_symbol_frame(self,
+                            api_key,
+                            symbol,
+                            calendar,
+                            start_session,
+                            end_session,
+                            data_frequency,
+                            retries=DEFAULT_RETRIES):
+
         # Data for symbol is old enough to attempt an update or is not
         # present in the cache.  Fetch raw data for a single symbol 
         # with requested intervals and frequency. Retry as necessary.
@@ -432,6 +490,7 @@ class BaseBundle(object):
                     data_frequency,
                 )
                 raw_data.index = pd.to_datetime(raw_data.index, utc=True)
+                raw_data.index = raw_data.index.tz_localize('UTC')
 
                 # Filter incoming data to fit start and end sessions.
                 raw_data = raw_data[
@@ -443,15 +502,7 @@ class BaseBundle(object):
                 # previous frame is probably an incomplete.
                 raw_data = raw_data[~raw_data.index.duplicated(keep='last')]
 
-                # Cache latest symbol data.
-                cache[symbol] = raw_data
-
-                # If we arrive here, we must have attempted an API call.
-                # This flag tells the iterator to pause before starting the next
-                # asset, that we don't exceed the data source's rate limit.
-                should_sleep = True
-
-                return raw_data, should_sleep
+                return raw_data
 
             except Exception as e:
                 log.exception(
@@ -468,35 +519,5 @@ class BaseBundle(object):
             )
 
 
-    def _write_symbol_for_freq(self,
-                               pricing_iter,
-                               data_frequency,
-                               daily_bar_writer,
-                               minute_bar_writer,
-                               assets,
-                               show_progress=False):
-
-        if data_frequency == 'daily':
-            daily_bar_writer.write(
-                pricing_iter,
-                assets=assets,
-                show_progress=show_progress,
-            )
-        elif data_frequency == '5-minute':
-            # TODO(cfromknecht) replace with five minute writer
-            minute_bar_writer.write(
-                pricing_iter,
-                show_progress=show_progress,
-            )
-        elif data_frequency == 'minute':
-            minute_bar_writer.write(
-                pricing_iter,
-                show_progress=show_progress,
-            )
-        else:
-            raise ValueError(
-                'Unsupported data-frequency: {0}'.format(data_frequency)
-            )
-
 def _dtypes_to_cols(dtypes):
     return [name for name, _ in dtypes]

catalyst/data/bundles/base_pricing.py

@@ -38,9 +38,6 @@ class BasePricingBundle(BaseBundle):
         ]
 
 class BaseCryptoPricingBundle(BasePricingBundle):
-    def __init__(self):
-        super(BasePricingBundle, self).__init__()
-
     @lazyval
     def calendar_name(self):
         return 'OPEN'
@@ -49,6 +46,10 @@ class BaseCryptoPricingBundle(BasePricingBundle):
     def minutes_per_day(self):
         return 1440
 
+    @lazyval
+    def five_minutes_per_day(self):
+        return 288
+
     @property
     def splits(self):
         return []
@@ -58,11 +59,6 @@ class BaseCryptoPricingBundle(BasePricingBundle):
         return []
 
 class BaseEquityPricingBundle(BasePricingBundle):
-    def __init__(self):
-        super(BasePricingBundle, self).__init__()
-        self._splits = []
-        self._dividends = []
-
     @lazyval
     def calendar_name(self):
         return 'NYSE'
@@ -71,6 +67,9 @@ class BaseEquityPricingBundle(BasePricingBundle):
     def minutes_per_day(self):
         return 390
 
+    @lazyval
+    def five_minutes_per_day(self):
+        return 78
 
     @property
     def splits(self):

catalyst/data/bundles/core.py

@@ -17,6 +17,10 @@ from ..us_equity_pricing import (
     SQLiteAdjustmentReader,
     SQLiteAdjustmentWriter,
 )
+from ..five_minute_bars import (
+    BcolzFiveMinuteBarReader,
+    BcolzFiveMinuteBarWriter,
+)
 from ..minute_bars import (
     BcolzMinuteBarReader,
     BcolzMinuteBarWriter,
@@ -44,16 +48,21 @@ def asset_db_path(bundle_name, timestr, environ=None, db_version=None):
     )
 
 
-def minute_equity_path(bundle_name, timestr, environ=None):
+def minute_path(bundle_name, timestr, environ=None):
     return pth.data_path(
-        minute_equity_relative(bundle_name, timestr, environ),
+        minute_relative(bundle_name, timestr, environ),
         environ=environ,
     )
 
-
-def daily_equity_path(bundle_name, timestr, environ=None):
+def five_minute_path(bundle_name, timestr, environ=None):
     return pth.data_path(
-        daily_equity_relative(bundle_name, timestr, environ),
+        five_minute_relative(bundle_name, timestr, environ),
+        environ=environ,
+    )
+
+def daily_path(bundle_name, timestr, environ=None):
+    return pth.data_path(
+        daily_relative(bundle_name, timestr, environ),
         environ=environ,
     )
 
@@ -80,12 +89,14 @@ def cache_relative(bundle_name, timestr, environ=None):
     return bundle_name, '.cache'
 
 
-def daily_equity_relative(bundle_name, timestr, environ=None):
-    return bundle_name, timestr, 'daily_equities.bcolz'
+def daily_relative(bundle_name, timestr, environ=None):
+    return bundle_name, timestr, 'daily.bcolz'
 
+def five_minute_relative(bundle_name, timestr, environ=None):
+    return bundle_name, timestr, 'five_minute.bcolz'
 
-def minute_equity_relative(bundle_name, timestr, environ=None):
-    return bundle_name, timestr, 'minute_equities.bcolz'
+def minute_relative(bundle_name, timestr, environ=None):
+    return bundle_name, timestr, 'minute.bcolz'
 
 
 def asset_db_relative(bundle_name, timestr, environ=None, db_version=None):
@@ -195,13 +206,14 @@ RegisteredBundle = namedtuple(
      'start_session',
      'end_session',
      'minutes_per_day',
+     'five_minutes_per_day',
      'ingest',
      'create_writers']
 )
 
 BundleData = namedtuple(
     'BundleData',
-    'asset_finder equity_minute_bar_reader equity_daily_bar_reader '
+    'asset_finder minute_bar_reader five_minute_bar_reader daily_bar_reader '
     'adjustment_reader',
 )
 
@@ -281,15 +293,17 @@ def _make_bundle_core():
     bundles = mappingproxy(_bundles)
 
     def register_bundle(bundle_cls,
+                        asset_filter=None,
                         start_session=None,
                         end_session=None,
                         create_writers=True):
-        bundle = bundle_cls()
+        bundle = bundle_cls(asset_filter=asset_filter)
         return register(
             bundle.name,
             bundle.ingest,
             calendar_name=bundle.calendar_name,
             minutes_per_day=bundle.minutes_per_day,
+            five_minutes_per_day=bundle.five_minutes_per_day,
             start_session=start_session,
             end_session=end_session,
             create_writers=create_writers,
@@ -298,10 +312,11 @@ def _make_bundle_core():
     @curry
     def register(name,
                  f,
-                 calendar_name='NYSE',
+                 calendar_name='OPEN',
                  start_session=None,
                  end_session=None,
-                 minutes_per_day=390,
+                 minutes_per_day=1440,
+                 five_minutes_per_day=288,
                  create_writers=True):
         """Register a data bundle ingest function.
 
@@ -382,6 +397,7 @@ def _make_bundle_core():
             start_session=start_session,
             end_session=end_session,
             minutes_per_day=minutes_per_day,
+            five_minutes_per_day=five_minutes_per_day,
             ingest=f,
             create_writers=create_writers,
         )
@@ -413,7 +429,8 @@ def _make_bundle_core():
                environ=os.environ,
                timestamp=None,
                assets_versions=(),
-               show_progress=False):
+               show_progress=False,
+               is_compile=False):
         """Ingest data for a given bundle.
 
         Parameters
@@ -463,7 +480,7 @@ def _make_bundle_core():
                     pth.data_path([], environ=environ))
                 )
                 daily_bars_path = wd.ensure_dir(
-                    *daily_equity_relative(
+                    *daily_relative(
                         name, timestr, environ=environ,
                     )
                 )
@@ -477,10 +494,20 @@ def _make_bundle_core():
                 # when we create the SQLiteAdjustmentWriter below. The
                 # SQLiteAdjustmentWriter needs to open the daily ctables so
                 # that it can compute the adjustment ratios for the dividends.
-
                 daily_bar_writer.write(())
+
+                five_minute_bar_writer = BcolzFiveMinuteBarWriter(
+                    wd.ensure_dir(*five_minute_relative(
+                        name, timestr, environ=environ)
+                    ),
+                    calendar,
+                    start_session,
+                    end_session,
+                    five_minutes_per_day=bundle.five_minutes_per_day,
+                )
+
                 minute_bar_writer = BcolzMinuteBarWriter(
-                    wd.ensure_dir(*minute_equity_relative(
+                    wd.ensure_dir(*minute_relative(
                         name, timestr, environ=environ)
                     ),
                     calendar,
@@ -488,6 +515,7 @@ def _make_bundle_core():
                     end_session,
                     minutes_per_day=bundle.minutes_per_day,
                 )
+
                 assets_db_path = wd.getpath(*asset_db_relative(
                     name, timestr, environ=environ,
                 ))
@@ -504,6 +532,7 @@ def _make_bundle_core():
                 )
             else:
                 daily_bar_writer = None
+                five_minute_bar_writer = None
                 minute_bar_writer = None
                 asset_db_writer = None
                 adjustment_db_writer = None
@@ -515,6 +544,7 @@ def _make_bundle_core():
                 environ,
                 asset_db_writer,
                 minute_bar_writer,
+                five_minute_bar_writer,
                 daily_bar_writer,
                 adjustment_db_writer,
                 calendar,
@@ -522,6 +552,7 @@ def _make_bundle_core():
                 end_session,
                 cache,
                 show_progress,
+                is_compile,
                 pth.data_path([name, timestr], environ=environ),
             )
 
@@ -597,11 +628,14 @@ def _make_bundle_core():
             asset_finder=AssetFinder(
                 asset_db_path(name, timestr, environ=environ),
             ),
-            equity_minute_bar_reader=BcolzMinuteBarReader(
-                minute_equity_path(name, timestr, environ=environ),
+            minute_bar_reader=BcolzMinuteBarReader(
+                minute_path(name, timestr, environ=environ),
             ),
-            equity_daily_bar_reader=BcolzDailyBarReader(
-                daily_equity_path(name, timestr, environ=environ),
+            five_minute_bar_reader=BcolzFiveMinuteBarReader(
+                five_minute_path(name, timestr, environ=environ),
+            ),
+            daily_bar_reader=BcolzDailyBarReader(
+                daily_path(name, timestr, environ=environ),
             ),
             adjustment_reader=SQLiteAdjustmentReader(
                 adjustment_db_path(name, timestr, environ=environ),

catalyst/data/bundles/poloniex.py

@@ -36,6 +36,7 @@ class PoloniexBundle(BaseCryptoPricingBundle):
     def frequencies(self):
         return set((
             'daily',
+            '5-minute',
         ))
 
     @lazyval
@@ -72,8 +73,8 @@ class PoloniexBundle(BaseCryptoPricingBundle):
         return raw
 
     def post_process_symbol_metadata(self, asset_id, sym_md, sym_data):
-        start_date = sym_data.index[0].tz_localize(None)
-        end_date = sym_data.index[-1].tz_localize(None)
+        start_date = sym_data.index[0]
+        end_date = sym_data.index[-1]
         ac_date = end_date + pd.Timedelta(days=1)
 
         return (
@@ -100,7 +101,6 @@ class PoloniexBundle(BaseCryptoPricingBundle):
             ),
             orient='records',
         )
-
         raw.set_index('date', inplace=True)
 
         scale = 1000.0
@@ -155,4 +155,4 @@ class PoloniexBundle(BaseCryptoPricingBundle):
             query=urlencode(query_params),
         )
 
-register_bundle(PoloniexBundle)
+register_bundle(PoloniexBundle, ['USDT_BTC'])

catalyst/data/data_portal.py

@@ -42,6 +42,7 @@ from catalyst.assets.roll_finder import (
 )
 from catalyst.data.dispatch_bar_reader import (
     AssetDispatchMinuteBarReader,
+    AssetDispatchFiveMinuteBarReader,
     AssetDispatchSessionBarReader
 )
 from catalyst.data.resample import (
@@ -114,12 +115,16 @@ class DataPortal(object):
         The calendar instance used to provide minute->session information.
     first_trading_day : pd.Timestamp
         The first trading day for the simulation.
-    equity_daily_reader : BcolzDailyBarReader, optional
+    daily_reader : BcolzDailyBarReader, optional
         The daily bar reader for equities. This will be used to service
         daily data backtests or daily history calls in a minute backetest.
         If a daily bar reader is not provided but a minute bar reader is,
         the minutes will be rolled up to serve the daily requests.
-    equity_minute_reader : BcolzMinuteBarReader, optional
+    five_minute_reader : BcolzFiveMinuteBarReader, optional
+        The five minute bar reader for equities. This will be used to service
+        5-minute data backtests or five-minute history calls.  This can be used
+        to serve daily calls if no daily bar reader is provided.
+    minute_reader : BcolzMinuteBarReader, optional
         The minute bar reader for equities. This will be used to service
         minute data backtests or minute history calls. This can be used
         to serve daily calls if no daily bar reader is provided.
@@ -144,8 +149,9 @@ class DataPortal(object):
                  asset_finder,
                  trading_calendar,
                  first_trading_day,
-                 equity_daily_reader=None,
-                 equity_minute_reader=None,
+                 daily_reader=None,
+                 five_minute_reader=None,
+                 minute_reader=None,
                  future_daily_reader=None,
                  future_minute_reader=None,
                  adjustment_reader=None,
@@ -180,7 +186,7 @@ class DataPortal(object):
             # Infer the last session from the provided readers.
             last_sessions = [
                 reader.last_available_dt
-                for reader in [equity_daily_reader, future_daily_reader]
+                for reader in [daily_reader, future_daily_reader]
                 if reader is not None
             ]
             if last_sessions:
@@ -194,7 +200,11 @@ class DataPortal(object):
             # Infer the last minute from the provided readers.
             last_minutes = [
                 reader.last_available_dt
-                for reader in [equity_minute_reader, future_minute_reader]
+                for reader in [
+                    minute_reader,
+                    five_minute_reader,
+                    future_minute_reader,
+                ]
                 if reader is not None
             ]
             if last_minutes:
@@ -202,10 +212,12 @@ class DataPortal(object):
             else:
                 self._last_available_minute = None
 
-        aligned_equity_minute_reader = self._ensure_reader_aligned(
-            equity_minute_reader)
-        aligned_equity_session_reader = self._ensure_reader_aligned(
-            equity_daily_reader)
+        aligned_minute_reader = self._ensure_reader_aligned(
+            minute_reader)
+        aligned_five_minute_reader = self._ensure_reader_aligned(
+            five_minute_reader)
+        aligned_session_reader = self._ensure_reader_aligned(
+            daily_reader)
         aligned_future_minute_reader = self._ensure_reader_aligned(
             future_minute_reader)
         aligned_future_session_reader = self._ensure_reader_aligned(
@@ -217,12 +229,15 @@ class DataPortal(object):
         }
 
         aligned_minute_readers = {}
+        aligned_five_minute_readers = {}
         aligned_session_readers = {}
 
-        if aligned_equity_minute_reader is not None:
-            aligned_minute_readers[Equity] = aligned_equity_minute_reader
-        if aligned_equity_session_reader is not None:
-            aligned_session_readers[Equity] = aligned_equity_session_reader
+        if aligned_minute_reader is not None:
+            aligned_minute_readers[Equity] = aligned_minute_reader
+        if aligned_five_minute_reader is not None:
+            aligned_five_minute_readers[Equity] = aligned_five_minute_reader
+        if aligned_session_reader is not None:
+            aligned_session_readers[Equity] = aligned_session_reader
 
         if aligned_future_minute_reader is not None:
             aligned_minute_readers[Future] = aligned_future_minute_reader
@@ -252,6 +267,13 @@ class DataPortal(object):
             self._last_available_minute,
         )
 
+        _dispatch_five_minute_reader = AssetDispatchFiveMinuteBarReader(
+            self.trading_calendar,
+            self.asset_finder,
+            aligned_five_minute_readers,
+            self._last_available_minute,
+        )
+
         _dispatch_session_reader = AssetDispatchSessionBarReader(
             self.trading_calendar,
             self.asset_finder,
@@ -261,6 +283,7 @@ class DataPortal(object):
 
         self._pricing_readers = {
             'minute': _dispatch_minute_reader,
+            '5-minute': _dispatch_five_minute_reader,
             'daily': _dispatch_session_reader,
         }
 
@@ -514,15 +537,17 @@ class DataPortal(object):
                     )
             else:
                 if field == "last_traded":
-                    return self.get_last_traded_dt(asset, dt, 'minute')
+                    return self.get_last_traded_dt(asset, dt, data_frequency)
                 elif field == "price":
-                    return self._get_minute_spot_value(
-                        asset, "close", dt, ffill=True,
+                    return self._get_minutely_spot_value(
+                        asset, "close", dt, data_frequency, ffill=True,
                     )
                 elif field == "contract":
                     return self._get_current_contract(asset, dt)
                 else:
-                    return self._get_minute_spot_value(asset, field, dt)
+                    return self._get_minutely_spot_value(
+                        asset, field, dt, data_frequency,
+                     )
 
         if assets_is_scalar:
             return get_single_asset_value(assets)
@@ -648,8 +673,14 @@ class DataPortal(object):
 
         return spot_value
 
-    def _get_minute_spot_value(self, asset, column, dt, ffill=False):
-        reader = self._get_pricing_reader('minute')
+    def _get_minutely_spot_value(self,
+                                asset,
+                                column,
+                                dt,
+                                data_frequency,
+                                ffill=False):
+
+        reader = self._get_pricing_reader(data_frequency)
 
         if ffill:
             # If forward filling, we want the last minute with values (up to
@@ -680,8 +711,32 @@ class DataPortal(object):
         # the value we found came from a different day, so we have to adjust
         # the data if there are any adjustments on that day barrier
         return self.get_adjusted_value(
-            asset, column, query_dt,
-            dt, "minute", spot_value=result
+            asset,
+            column,
+            query_dt,
+            dt,
+            data_frequency,
+            spot_value=result
+        )
+
+
+    def _get_five_minute_spot_value(self, asset, column, dt, ffill=False):
+        return self._get_minutely_spot_value(
+            asset,
+            column,
+            dt,
+            ffill, 
+            '5-minute',
+        )
+        
+
+    def _get_minute_spot_value(self, asset, column, dt, ffill=False):
+        return self._get_minutely_spot_value(
+            asset,
+            column,
+            dt,
+            ffill, 
+            'minute',
         )
 
     def _get_daily_spot_value(self, asset, column, dt):

catalyst/data/dispatch_bar_reader.py

@@ -130,13 +130,17 @@ class AssetDispatchBarReader(with_metaclass(ABCMeta)):
 
         return results
 
-
 class AssetDispatchMinuteBarReader(AssetDispatchBarReader):
 
     def _dt_window_size(self, start_dt, end_dt):
         return len(self.trading_calendar.minutes_in_range(start_dt, end_dt))
 
 
+class AssetDispatchFiveMinuteBarReader(AssetDispatchBarReader):
+
+    def _dt_window_size(self, start_dt, end_dt):
+        return len(self.trading_calendar.five_minutes_in_range(start_dt, end_dt))
+
 class AssetDispatchSessionBarReader(AssetDispatchBarReader):
 
     def _dt_window_size(self, start_dt, end_dt):

catalyst/data/five_minute_bars.py

@@ -35,9 +35,9 @@ from six import with_metaclass
 from toolz import keymap, valmap
 
 from catalyst.data._minute_bar_internal import (
-    minute_value,
-    find_position_of_minute,
-    find_last_traded_position_internal
+    five_minute_value,
+    find_position_of_five_minute,
+    find_last_traded_five_minute_position_internal,
 )
 
 from catalyst.gens.sim_engine import NANOS_IN_MINUTE
@@ -48,15 +48,16 @@ from catalyst.data.us_equity_pricing import (
     check_uint64_safe,
 )
 from catalyst.utils.calendars import get_calendar
-from catalyst.utils.cli import maybe_show_progress
+from catalyst.utils.cli import (
+    item_show_count,
+    maybe_show_progress,
+)
 from catalyst.utils.memoize import lazyval
 
 logger = logbook.Logger('FiveMinuteBars')
 
 OPEN_FIVE_MINUTES_PER_DAY = 288
-US_EQUITIES_MINUTES_PER_DAY = 390
 
-DEFAULT_EXPECTEDLEN = US_EQUITIES_MINUTES_PER_DAY * 252 * 15
 DEFAULT_EXPECTEDLEN_CRYPTO = OPEN_FIVE_MINUTES_PER_DAY * 366 * 15
 
 OHLC_RATIO = 1000000
@@ -66,6 +67,8 @@ OHLCV = frozenset(['open', 'high', 'low', 'close', 'volume'])
 
 UINT64_MAX = iinfo(uint64).max
 
+NANOS_IN_FIVE_MINUTES = 5 * NANOS_IN_MINUTE
+
 class BcolzFiveMinuteOverlappingData(Exception):
     pass
 
@@ -83,7 +86,7 @@ class FiveMinuteBarReader(BarReader):
 def _calc_five_minute_index(market_opens, five_minutes_per_day):
     five_minutes = np.zeros(len(market_opens) * five_minutes_per_day,
                        dtype='datetime64[ns]')
-    deltas = np.arange(0, five_minutes_per_day, dtype='timedelta64[m]')
+    deltas = 5 * np.arange(0, five_minutes_per_day, dtype='timedelta64[m]')
     for i, market_open in enumerate(market_opens):
         start = market_open.asm8
         five_minute_values = start + deltas
@@ -211,7 +214,7 @@ class BcolzFiveMinuteBarMetadata(object):
     """
     FORMAT_VERSION = 3
 
-    METADATA_FILENAME = 'metadata.json'
+    METADATA_FILENAME = 'five-minute-metadata.json'
 
     @classmethod
     def metadata_path(cls, rootdir):
@@ -268,7 +271,7 @@ class BcolzFiveMinuteBarMetadata(object):
                 calendar,
                 start_session,
                 end_session,
-                minutes_per_day,
+                five_minutes_per_day,
                 version=version,
             )
 
@@ -345,7 +348,7 @@ class BcolzFiveMinuteBarMetadata(object):
             'version': self.version,
             'ohlc_ratio': self.default_ohlc_ratio,
             'ohlc_ratios_per_sid': self.ohlc_ratios_per_sid,
-            'minutes_per_day': self.five_minutes_per_day,
+            'five_minutes_per_day': self.five_minutes_per_day,
             'calendar_name': self.calendar.name,
             'start_session': str(self.start_session.date()),
             'end_session': str(self.end_session.date()),
@@ -461,7 +464,7 @@ class BcolzFiveMinuteBarWriter(object):
                  five_minutes_per_day,
                  default_ohlc_ratio=OHLC_RATIO,
                  ohlc_ratios_per_sid=None,
-                 expectedlen=DEFAULT_EXPECTED_CRYPTO_LEN,
+                 expectedlen=DEFAULT_EXPECTEDLEN_CRYPTO,
                  write_metadata=True):
 
         self._rootdir = rootdir
@@ -477,11 +480,11 @@ class BcolzFiveMinuteBarWriter(object):
         self._default_ohlc_ratio = default_ohlc_ratio
         self._ohlc_ratios_per_sid = ohlc_ratios_per_sid
 
-        self._minute_index = _calc_minute_index(
-            self._schedule.market_open, self._minutes_per_day)
+        self._five_minute_index = _calc_five_minute_index(
+            self._schedule.market_open, self._five_minutes_per_day)
 
         if write_metadata:
-            metadata = BcolzMinuteBarMetadata(
+            metadata = BcolzFiveMinuteBarMetadata(
                 self._default_ohlc_ratio,
                 self._ohlc_ratios_per_sid,
                 self._calendar,
@@ -678,7 +681,11 @@ class BcolzFiveMinuteBarWriter(object):
         for k, v in kwargs.items():
             table.attrs[k] = v
 
-    def write(self, data, show_progress=False, invalid_data_behavior='warn'):
+    def write(self,
+              data,
+              length=None,
+              show_progress=False,
+              invalid_data_behavior='warn'):
         """Write a stream of minute data.
 
         Parameters
@@ -698,14 +705,15 @@ class BcolzFiveMinuteBarWriter(object):
         show_progress : bool, optional
             Whether or not to show a progress bar while writing.
         """
-        ctx = maybe_show_progress(
+        with maybe_show_progress(
             data,
+            length=length,
+            show_percent=False,
             show_progress=show_progress,
-            item_show_func=lambda e: e if e is None else str(e[0]),
-            label="Merging minute equity files:",
-        )
-        write_sid = self.write_sid
-        with ctx as it:
+            item_show_func=item_show_count(length),
+            label='Compiling five-minute data',
+        ) as it:
+            write_sid = self.write_sid
             for e in it:
                 write_sid(*e, invalid_data_behavior=invalid_data_behavior)
 
@@ -807,10 +815,13 @@ class BcolzFiveMinuteBarWriter(object):
         # Get the number of minutes already recorded in this sid's ctable
         num_rec_mins = table.size
 
-        all_minutes = self._minute_index
+        all_minutes = self._five_minute_index
         # Get the latest minute we wish to write to the ctable
         last_minute_to_write = pd.Timestamp(dts[-1], tz='UTC')
 
+        #print 'all_minutes[-1]:', all_minutes[num_rec_mins-1]
+        #print 'last_minute_to_write:', last_minute_to_write
+
         # In the event that we've already written some minutely data to the
         # ctable, guard against overwriting that data.
         if num_rec_mins > 0:
@@ -864,7 +875,7 @@ class BcolzFiveMinuteBarWriter(object):
         day_ix = self._session_labels.get_loc(day)
         # Add one to the 0-indexed day_ix to get the number of days.
         num_days = day_ix + 1
-        return num_days * self._minutes_per_day
+        return num_days * self._five_minutes_per_day
 
     def truncate(self, date):
         """Truncate data beyond this date in all ctables."""
@@ -1002,7 +1013,7 @@ class BcolzFiveMinuteBarReader(FiveMinuteBarReader):
         market_closes = self._market_closes.values.astype('datetime64[m]')
         minutes_per_day = (market_closes - market_opens).astype(np.int64) / 5
         early_indices = np.where(
-            minutes_per_day != self._minutes_per_day - 1)[0]
+            minutes_per_day != self._five_minutes_per_day - 1)[0]
         early_opens = self._market_opens[early_indices]
         early_closes = self._market_closes[early_indices]
         minutes = [(market_open, early_close)
@@ -1030,9 +1041,9 @@ class BcolzFiveMinuteBarReader(FiveMinuteBarReader):
         """
         itree = IntervalTree()
         for market_open, early_close in self._minutes_to_exclude():
-            start_pos = self._find_position_of_minute(early_close) + 1
+            start_pos = self._find_position_of_five_minute(early_close) + 1
             end_pos = (
-                self._find_position_of_minute(market_open)
+                self._find_position_of_five_minute(market_open)
                 +
                 self._five_minutes_per_day
                 -
@@ -1121,7 +1132,7 @@ class BcolzFiveMinuteBarReader(FiveMinuteBarReader):
             minute_pos = self._last_get_value_dt_position
         else:
             try:
-                minute_pos = self._find_position_of_minute(dt)
+                minute_pos = self._find_position_of_five_minute(dt)
             except ValueError:
                 raise NoDataOnDate()
 
@@ -1143,15 +1154,15 @@ class BcolzFiveMinuteBarReader(FiveMinuteBarReader):
         return value
 
     def get_last_traded_dt(self, asset, dt):
-        minute_pos = self._find_last_traded_position(asset, dt)
+        minute_pos = self._find_last_traded_five_minute_position(asset, dt)
         if minute_pos == -1:
             return pd.NaT
         return self._pos_to_minute(minute_pos)
 
-    def _find_last_traded_position(self, asset, dt):
+    def _find_last_traded_five_minute_position(self, asset, dt):
         volumes = self._open_minute_file('volume', asset)
-        start_date_minute = asset.start_date.value / NANOS_IN_MINUTE
-        dt_minute = dt.value / NANOS_IN_MINUTE
+        start_date_minute = asset.start_date.value / NANOS_IN_FIVE_MINUTE
+        dt_minute = dt.value / NANOS_IN_FIVE_MINUTE
 
         try:
             # if we know of a dt before which this asset has no volume,
@@ -1163,13 +1174,13 @@ class BcolzFiveMinuteBarReader(FiveMinuteBarReader):
         if dt_minute < earliest_dt_to_search:
             return -1
 
-        pos = find_last_traded_position_internal(
+        pos = find_last_traded_five_minute_position_internal(
             self._market_open_values,
             self._market_close_values,
             dt_minute,
             earliest_dt_to_search,
             volumes,
-            self._minutes_per_day,
+            self._five_minutes_per_day,
         )
 
         if pos == -1:
@@ -1186,15 +1197,15 @@ class BcolzFiveMinuteBarReader(FiveMinuteBarReader):
         return pos
 
     def _pos_to_minute(self, pos):
-        minute_epoch = minute_value(
+        minute_epoch = five_minute_value(
             self._market_open_values,
             pos,
-            self._minutes_per_day
+            self._five_minutes_per_day
         )
 
         return pd.Timestamp(minute_epoch, tz='UTC', unit="m")
 
-    def _find_position_of_minute(self, minute_dt):
+    def _find_position_of_five_minute(self, minute_dt):
         """
         Internal method that returns the position of the given minute in the
         list of every trading minute since market open of the first trading
@@ -1213,11 +1224,11 @@ class BcolzFiveMinuteBarReader(FiveMinuteBarReader):
         int: The position of the given minute in the list of all trading
         minutes since market open on the first trading day.
         """
-        return find_position_of_minute(
+        return find_position_of_five_minute(
             self._market_open_values,
             self._market_close_values,
-            minute_dt.value / NANOS_IN_MINUTE,
-            self._minutes_per_day,
+            minute_dt.value / NANOS_IN_FIVE_MINUTE,
+            self._five_minutes_per_day,
             False,
         )
 
@@ -1241,8 +1252,8 @@ class BcolzFiveMinuteBarReader(FiveMinuteBarReader):
             (minutes in range, sids) with a dtype of float64, containing the
             values for the respective field over start and end dt range.
         """
-        start_idx = self._find_position_of_minute(start_dt)
-        end_idx = self._find_position_of_minute(end_dt)
+        start_idx = self._find_position_of_five_minute(start_dt)
+        end_idx = self._find_position_of_five_minute(end_dt)
 
         num_minutes = (end_idx - start_idx + 1)
 
@@ -1261,7 +1272,7 @@ class BcolzFiveMinuteBarReader(FiveMinuteBarReader):
             if field != 'volume':
                 out = np.full(shape, np.nan)
             else:
-                out = np.zeros(shape, dtype=int64)
+                out = np.zeros(shape, dtype=uint64)
 
             for i, sid in enumerate(sids):
                 carray = self._open_minute_file(field, sid)

catalyst/data/loader.py

@@ -33,7 +33,7 @@ from ..utils.paths import (
 )
 from ..utils.deprecate import deprecated
 
-from catalyst.curate.poloniex import PoloniexCurator
+from catalyst.data.bundles.poloniex import PoloniexBundle
 from catalyst.utils.calendars import get_calendar
 
 
@@ -232,11 +232,14 @@ def load_market_data(trading_day=None, trading_days=None, bm_symbol='SPY',
     treasury_curves = tc[tc.index.slice_indexer(first_date, last_date)]
     return benchmark_returns, treasury_curves
 
-def ensure_crypto_benchmark_data(symbol, first_date, last_date, now,
-                                trading_day, environ=None):
+def ensure_crypto_benchmark_data(symbol,
+                                 first_date,
+                                 last_date,
+                                 now,
+                                 trading_day,
+                                 environ=None):
+
     filename = get_benchmark_filename(symbol)
-    source_filename = '/var/tmp/catalyst/data/poloniex/crypto_prices-{0}.csv'.\
-        format(symbol)
 
     logger.info(
         ('Loading benchmark data for {symbol!r} '
@@ -269,92 +272,23 @@ def ensure_crypto_benchmark_data(symbol, first_date, last_date, now,
         last_date=last_date
     )
 
-    def dateparse(time_in_secs):
-        return datetime.datetime.fromtimestamp(float(time_in_secs), pytz.utc)
-
-    def compute_daily_bars(five_min_bars, schedule):
-        # filter and copy the entry at the beginning of each session
-        daily_bars = five_min_bars[
-            five_min_bars.index.isin(schedule)
-        ].copy()
-
-        day_offset = pd.Timedelta(days=1)
-
-        # iterate through session starts doing:
-        # 1. filter five_min_bars to get all entries in one day
-        # 2. compute daily bar entry
-        # 3. record in rid-th row of daily_bars
-        for rid, start_date in enumerate(daily_bars.index):
-            # compute beginning of next session
-            end_date = start_date + day_offset
-
-            # filter for entries session entries
-            day_data = five_min_bars[
-                (five_min_bars.index >= start_date) &
-                (five_min_bars.index < end_date)
-            ]
-
-            # compute and record daily bar
-            daily_bars.iloc[rid] = (
-                day_data.open.iloc[0],   # first open price
-                day_data.high.max(),     # max of high prices
-                day_data.low.min(),      # min of low prices
-                day_data.close.iloc[-1], # last close prices
-                day_data.volume.sum(),   # sum of all volumes
-            )
-
-        # scale to allow trading 10-ths of a coin
-        scale = 10.0
-        daily_bars.loc[:, 'open'] /= scale
-        daily_bars.loc[:, 'high'] /= scale
-        daily_bars.loc[:, 'low'] /= scale
-        daily_bars.loc[:, 'close'] /= scale
-        daily_bars.loc[:, 'volume'] *= scale
-        
-        return daily_bars
-
-    
-    five_min_bars = None
+    # Load benchmark symbol from Poloniex API
     try:
-        # load five minute bars from csv cache
-        five_min_bars = pd.read_csv(
-            source_filename,
-            names=['date', 'open', 'high', 'low', 'close', 'volume'],
-            index_col=[0],
-            parse_dates=True,
-            date_parser=dateparse,
+        bundle = PoloniexBundle()
+        bench_raw = bundle._fetch_symbol_frame(
+            None,
+            symbol,
+            get_calendar(bundle.calendar_name),
+            first_date,
+            last_date,
+            'daily',
         )
-        five_min_bars.index = pd.to_datetime(five_min_bars.index, utc=True, unit='s')
-    except (OSError, IOError):
-        # Otherwise load from Poloniex API
-        try:
-            pc = PoloniexCurator()
-            pc.append_data_single_pair(symbol)
-
-            five_min_bars = pc.to_dataframe(
-                time.mktime(first_date.timetuple()),
-                time.mktime(last_date.timetuple()),
-                currencyPair=symbol,
-            )
-        except (OSError, IOError, HTTPError):
-            logger.exception('Failed to new crypto benchmark returns')
-            raise
-
-    # compute daily bars for open calendar
-    open_calendar = get_calendar('OPEN')
-    daily_bars = compute_daily_bars(
-        five_min_bars,
-        open_calendar.all_sessions,
-    )
-
-    # filter daily bars to include first_date and last_date
-    daily_bars = daily_bars[
-        (daily_bars.index >= (first_date - trading_day)) &
-        (daily_bars.index <= last_date)
-    ]
+    except (OSError, IOError, HTTPError):
+        logger.exception('Failed to fetch new crypto benchmark returns')
+        raise
 
     # select close column and compute percent change between days
-    daily_close = daily_bars[['close']]
+    daily_close = bench_raw[['close']]
     daily_close = daily_close.pct_change(1).iloc[1:]
 
     try:

catalyst/data/us_equity_pricing.py

@@ -229,7 +229,7 @@ class BcolzDailyBarWriter(object):
 
     @property
     def progress_bar_message(self):
-        return 'Compiling daily pricing data'
+        return 'Compiling daily data'
 
     def write(self,
               data,