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ENH: Add PanelMinuteBarReader, use it in TradingAlgorithm.run.

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TradingAlgorithm.run didn't support Panel minute bar data, and assumed
all Panel data was daily.

To rectify this, adding PanelMinuteBarReader class.
TradingAlgorithm.run decides whether to use it or PanelDailyBarReader
by assuming data is daily if and only if the time of day of every
Timestamp is identical.
This commit is contained in:
Nathan Wolfe
2016-07-29 17:10:21 -04:00
parent 70ac5323de
commit cfe755855c
2 changed files with 144 additions and 12 deletions
Download Patch File Download Diff File Expand all files Collapse all files
zipline/algorithm.py
+33 -12
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@@ -38,6 +38,7 @@ from zipline._protocol import handle_non_market_minutes
from zipline.assets.synthetic import make_simple_equity_info
from zipline.data.data_portal import DataPortal
from zipline.data.us_equity_pricing import PanelDailyBarReader
from zipline.data.minute_bars import PanelMinuteBarReader
from zipline.errors import (
AttachPipelineAfterInitialize,
HistoryInInitialize,
@@ -615,8 +616,8 @@ class TradingAlgorithm(object):
# to be inferred.
if overwrite_sim_params:
self.sim_params = self.sim_params.create_new(
data.major_axis[0],
data.major_axis[-1]
normalize_date(data.major_axis[0]),
normalize_date(data.major_axis[-1])
)
copy_panel = data.rename(
@@ -634,16 +635,36 @@ class TradingAlgorithm(object):
copy_panel.items
)
)
equity_daily_reader = PanelDailyBarReader(
self.trading_calendar.all_sessions,
copy_panel,
)
self.data_portal = DataPortal(
self.asset_finder,
self.trading_calendar,
first_trading_day=equity_daily_reader.first_trading_day,
equity_daily_reader=equity_daily_reader,
)
# Assume data is daily if timestamp times are
# standardized, otherwise assume minute bars.
times = copy_panel.major_axis.time
if np.all(times == times[0]):
equity_daily_reader = PanelDailyBarReader(
self.trading_calendar.all_sessions,
copy_panel,
)
self.data_portal = DataPortal(
self.asset_finder,
self.trading_calendar,
first_trading_day=equity_daily_reader
.first_trading_day,
equity_daily_reader=equity_daily_reader,
)
else:
if overwrite_sim_params:
self.sim_params.data_frequency = 'minute'
equity_minute_reader = PanelMinuteBarReader(
self.trading_calendar.all_minutes,
copy_panel,
)
self.data_portal = DataPortal(
self.asset_finder,
self.trading_calendar,
first_trading_day=equity_minute_reader
.first_trading_day,
equity_minute_reader=equity_minute_reader,
)
# Force a reset of the performance tracker, in case
# this is a repeat run of the algorithm.