Merge pull request #1050 from quantopian/minute-bar-unadjusted-window

ENH: Unadjusted window data for minute bars.

tests/data/test_minute_bars.py

@@ -23,7 +23,8 @@ from pandas import (
     DataFrame,
     DatetimeIndex,
     Timestamp,
-    NaT
+    Timedelta,
+    NaT,
 )
 from testfixtures import TempDirectory
 
@@ -500,3 +501,47 @@ class BcolzMinuteBarTestCase(TestCase):
         volume_price = self.reader.get_value(sid, minute_1, 'volume')
 
         self.assertEquals(51.0, volume_price)
+
+    def test_unadjusted_minutes(self):
+        """
+        Test unadjusted minutes.
+        """
+        start_minute = self.market_opens[TEST_CALENDAR_START]
+        minutes = [start_minute,
+                   start_minute + Timedelta('1 min'),
+                   start_minute + Timedelta('2 min')]
+        sids = [1, 2]
+        data_1 = DataFrame(
+            data={
+                'open': [15.0, nan, 15.1],
+                'high': [17.0, nan, 17.1],
+                'low': [11.0, nan, 11.1],
+                'close': [14.0, nan, 14.1],
+                'volume': [1000, 0, 1001]
+            },
+            index=minutes)
+        self.writer.write(sids[0], data_1)
+
+        data_2 = DataFrame(
+            data={
+                'open': [25.0, nan, 25.1],
+                'high': [27.0, nan, 27.1],
+                'low': [21.0, nan, 21.1],
+                'close': [24.0, nan, 24.1],
+                'volume': [2000, 0, 2001]
+            },
+            index=minutes)
+        self.writer.write(sids[1], data_2)
+
+        reader = BcolzMinuteBarReader(self.dest)
+
+        columns = ['open', 'high', 'low', 'close', 'volume']
+        sids = [sids[0], sids[1]]
+        arrays = reader.unadjusted_window(
+            columns, minutes[0], minutes[-1], sids)
+
+        data = {sids[0]: data_1, sids[1]: data_2}
+
+        for i, col in enumerate(columns):
+            for j, sid in enumerate(sids):
+                assert_almost_equal(data[sid][col], arrays[i][j])

zipline/data/minute_bars.py

@@ -613,3 +613,47 @@ class BcolzMinuteBarReader(object):
         since market open on the first trading day.
         """
         return self._minute_index.get_loc(minute_dt)
+
+    def unadjusted_window(self, fields, start_dt, end_dt, sids):
+        """
+        Parameters
+        ----------
+        fields : list of str
+           'open', 'high', 'low', 'close', or 'volume'
+        start_dt: Timestamp
+           Beginning of the window range.
+        end_dt: Timestamp
+           End of the window range.
+        sids : list of int
+           The asset identifiers in the window.
+
+        Returns
+        -------
+        list of np.ndarray
+            A list with an entry per field of ndarrays with shape
+            (sids, minutes in range) with a dtype of float64, containing the
+            values for the respective field over start and end dt range.
+        """
+        # TODO: Handle early closes.
+        start_idx = self._find_position_of_minute(start_dt)
+        end_idx = self._find_position_of_minute(end_dt)
+
+        results = []
+
+        shape = (len(sids), (end_idx - start_idx + 1))
+
+        for field in fields:
+            if field != 'volume':
+                out = np.full(shape, np.nan)
+            else:
+                out = np.zeros(shape, dtype=np.uint32)
+
+            for i, sid in enumerate(sids):
+                carray = self._open_minute_file(field, sid)
+                values = carray[start_idx:end_idx + 1]
+                where = values != 0
+                out[i, where] = values[where]
+            if field != 'volume':
+                out *= self._ohlc_inverse
+            results.append(out)
+        return results