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MAINT: Pass data_frequency to get_history_window

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This allows us to remove the check for whether the provided dt had a
time of midnight, which was a flimsy way to infer if the data frequency
was 'daily'. Besides the explicit check being preferable, this method
was broken on the futures calendar, since midnight is a valid market
minute.
This commit is contained in:
Andrew Daniels
2017-05-04 16:06:15 -04:00
parent 423a76730c
commit d155d894fe
9 changed files with 176 additions and 86 deletions
Download Patch File Download Diff File Expand all files Collapse all files
tests/test_api_shim.py
+2
View File
@@ -265,6 +265,7 @@ class TestAPIShim(WithCreateBarData,
5,
"1m",
"volume",
"minute",
True
)
else:
@@ -274,6 +275,7 @@ class TestAPIShim(WithCreateBarData,
5,
"1m",
"volume",
"minute",
)
test_sim_params = SimulationParameters(
tests/test_benchmark.py
+7 -1
View File
@@ -101,7 +101,12 @@ class TestBenchmark(WithDataPortal, WithSimParams, WithTradingCalendars,
# should be the equivalent of getting the price history, then doing
# a pct_change on it
manually_calculated = self.data_portal.get_history_window(
[1], days_to_use[-1], len(days_to_use), "1d", "close"
[1],
days_to_use[-1],
len(days_to_use),
"1d",
"close",
"daily",
)[1].pct_change()
# compare all the fields except the first one, for which we don't have
@@ -187,6 +192,7 @@ class TestBenchmark(WithDataPortal, WithSimParams, WithTradingCalendars,
len(days_to_use),
"1d",
"close",
"daily",
)[2].pct_change()
for idx, day in enumerate(days_to_use[1:]):
tests/test_continuous_futures.py
+31 -21
View File
@@ -670,7 +670,7 @@ def record_current_contract(algo, data):
window = self.data_portal.get_history_window(
[cf],
Timestamp('2016-03-04 18:01', tz='US/Eastern').tz_convert('UTC'),
30, '1d', 'sid')
30, '1d', 'sid', 'minute')
self.assertEqual(window.loc['2016-01-26', cf],
0,
@@ -696,7 +696,7 @@ def record_current_contract(algo, data):
window = self.data_portal.get_history_window(
[cf],
Timestamp('2016-04-06 18:01', tz='US/Eastern').tz_convert('UTC'),
30, '1d', 'sid')
30, '1d', 'sid', 'minute')
self.assertEqual(window.loc['2016-02-25', cf],
1,
@@ -724,7 +724,7 @@ def record_current_contract(algo, data):
window = self.data_portal.get_history_window(
[cf],
Timestamp('2016-01-11 18:01', tz='US/Eastern').tz_convert('UTC'),
3, '1d', 'sid')
3, '1d', 'sid', 'minute')
self.assertEqual(window.loc['2016-01-08', cf],
10,
@@ -745,7 +745,7 @@ def record_current_contract(algo, data):
window = self.data_portal.get_history_window(
[cf],
Timestamp('2016-03-04 18:01', tz='US/Eastern').tz_convert('UTC'),
30, '1d', 'sid')
30, '1d', 'sid', 'minute')
self.assertEqual(window.loc['2016-01-26', cf],
1,
@@ -771,7 +771,7 @@ def record_current_contract(algo, data):
window = self.data_portal.get_history_window(
[cf],
Timestamp('2016-04-06 18:01', tz='US/Eastern').tz_convert('UTC'),
30, '1d', 'sid')
30, '1d', 'sid', 'minute')
self.assertEqual(window.loc['2016-02-25', cf],
2,
@@ -799,7 +799,7 @@ def record_current_contract(algo, data):
window = self.data_portal.get_history_window(
[cf],
Timestamp('2016-03-04 18:01', tz='US/Eastern').tz_convert('UTC'),
30, '1d', 'sid')
30, '1d', 'sid', 'minute')
# Volume cuts out for FOF16 on 2016-01-25
self.assertEqual(window.loc['2016-01-26', cf],
@@ -826,7 +826,7 @@ def record_current_contract(algo, data):
window = self.data_portal.get_history_window(
[cf],
Timestamp('2016-04-06 18:01', tz='US/Eastern').tz_convert('UTC'),
30, '1d', 'sid')
30, '1d', 'sid', 'minute')
self.assertEqual(window.loc['2016-02-25', cf],
1,
@@ -863,7 +863,7 @@ def record_current_contract(algo, data):
window = self.data_portal.get_history_window(
[cf.sid],
Timestamp('2016-01-26 18:01', tz='US/Eastern').tz_convert('UTC'),
30, '1m', 'sid')
30, '1m', 'sid', 'minute')
self.assertEqual(window.loc['2016-01-26 22:32', cf],
0,
@@ -882,7 +882,7 @@ def record_current_contract(algo, data):
window = self.data_portal.get_history_window(
[cf],
Timestamp('2016-01-27 18:01', tz='US/Eastern').tz_convert('UTC'),
30, '1m', 'sid')
30, '1m', 'sid', 'minute')
self.assertEqual(window.loc['2016-01-27 22:32', cf],
1,
@@ -896,7 +896,9 @@ def record_current_contract(algo, data):
cf = self.data_portal.asset_finder.create_continuous_future(
'FO', 0, 'calendar', None)
window = self.data_portal.get_history_window(
[cf.sid], Timestamp('2016-03-06', tz='UTC'), 30, '1d', 'close')
[cf.sid],
Timestamp('2016-03-06', tz='UTC'),
30, '1d', 'close', 'daily')
assert_almost_equal(
window.loc['2016-01-26', cf],
@@ -915,7 +917,9 @@ def record_current_contract(algo, data):
# Advance the window a month.
window = self.data_portal.get_history_window(
[cf.sid], Timestamp('2016-04-06', tz='UTC'), 30, '1d', 'close')
[cf.sid],
Timestamp('2016-04-06', tz='UTC'),
30, '1d', 'close', 'daily')
assert_almost_equal(
window.loc['2016-02-24', cf],
@@ -946,7 +950,9 @@ def record_current_contract(algo, data):
cf = self.data_portal.asset_finder.create_continuous_future(
'MA', 0, 'volume', None)
window = self.data_portal.get_history_window(
[cf.sid], Timestamp('2016-03-06', tz='UTC'), 30, '1d', 'close')
[cf.sid],
Timestamp('2016-03-06', tz='UTC'),
30, '1d', 'close', 'daily')
assert_almost_equal(
window.loc['2016-01-26', cf],
@@ -965,7 +971,9 @@ def record_current_contract(algo, data):
# Advance the window a month.
window = self.data_portal.get_history_window(
[cf.sid], Timestamp('2016-04-06', tz='UTC'), 30, '1d', 'close')
[cf.sid],
Timestamp('2016-04-06', tz='UTC'),
30, '1d', 'close', 'daily')
assert_almost_equal(
window.loc['2016-02-24', cf],
@@ -991,7 +999,8 @@ def record_current_contract(algo, data):
'FO', 0, 'calendar', 'add')
window = self.data_portal.get_history_window(
[cf, cf_mul, cf_add],
Timestamp('2016-03-06', tz='UTC'), 30, '1d', 'close')
Timestamp('2016-03-06', tz='UTC'),
30, '1d', 'close', 'daily')
# Unadjusted value is: 115011.44
# Adjustment is based on hop from 115231.44 to 125231.44
@@ -1034,7 +1043,8 @@ def record_current_contract(algo, data):
# Advance the window a month.
window = self.data_portal.get_history_window(
[cf, cf_mul, cf_add],
Timestamp('2016-04-06', tz='UTC'), 30, '1d', 'close')
Timestamp('2016-04-06', tz='UTC'),
30, '1d', 'close', 'daily')
# Unadjusted value: 115221.44
# Adjustments based on hops:
@@ -1116,7 +1126,7 @@ def record_current_contract(algo, data):
window = self.data_portal.get_history_window(
[cf.sid],
Timestamp('2016-02-25 18:01', tz='US/Eastern').tz_convert('UTC'),
30, '1m', 'close')
30, '1m', 'close', 'minute')
self.assertEqual(window.loc['2016-02-25 22:32', cf],
115231.412,
@@ -1135,7 +1145,7 @@ def record_current_contract(algo, data):
window = self.data_portal.get_history_window(
[cf],
Timestamp('2016-02-28 18:01', tz='US/Eastern').tz_convert('UTC'),
30, '1m', 'close')
30, '1m', 'close', 'minute')
self.assertEqual(window.loc['2016-02-26 22:32', cf],
125241.412,
@@ -1155,7 +1165,7 @@ def record_current_contract(algo, data):
window = self.data_portal.get_history_window(
[cf, cf_mul, cf_add],
Timestamp('2016-02-25 18:01', tz='US/Eastern').tz_convert('UTC'),
30, '1m', 'close')
30, '1m', 'close', 'minute')
# Unadjusted: 115231.412
# Adjustment based on roll:
@@ -1198,7 +1208,7 @@ def record_current_contract(algo, data):
window = self.data_portal.get_history_window(
[cf, cf_mul, cf_add],
Timestamp('2016-02-28 18:01', tz='US/Eastern').tz_convert('UTC'),
30, '1m', 'close')
30, '1m', 'close', 'minute')
# No adjustments in this window.
self.assertEqual(window.loc['2016-02-26 22:32', cf_mul],
@@ -1219,7 +1229,7 @@ def record_current_contract(algo, data):
window = self.data_portal.get_history_window(
[cf, cf_mul, cf_add],
Timestamp('2016-02-25 18:01', tz='US/Eastern').tz_convert('UTC'),
30, '1m', 'close')
30, '1m', 'close', 'minute')
# Unadjusted: 115231.412
# Adjustment based on roll:
@@ -1262,7 +1272,7 @@ def record_current_contract(algo, data):
window = self.data_portal.get_history_window(
[cf, cf_mul, cf_add],
Timestamp('2016-02-28 18:01', tz='US/Eastern').tz_convert('UTC'),
30, '1m', 'close')
30, '1m', 'close', 'minute')
# No adjustments in this window.
self.assertEqual(window.loc['2016-02-26 22:32', cf_mul],
tests/test_history.py
+80 -46
View File
@@ -654,7 +654,8 @@ class MinuteEquityHistoryTestCase(WithHistory, ZiplineTestCase):
self.trading_calendar.open_and_close_for_session(jan5)[1],
2,
'1d',
'close'
'close',
'minute',
)[asset]
np.testing.assert_array_equal(np.array([np.nan, 8389]), window1)
@@ -665,7 +666,8 @@ class MinuteEquityHistoryTestCase(WithHistory, ZiplineTestCase):
pd.Timestamp('2015-01-06 14:35', tz='UTC'),
2,
'1d',
'close'
'close',
'minute',
)[asset]
# Value from 1/5 should be quartered
@@ -683,7 +685,8 @@ class MinuteEquityHistoryTestCase(WithHistory, ZiplineTestCase):
pd.Timestamp('2015-01-07 14:35', tz='UTC'),
3,
'1d',
'close'
'close',
'minute',
)[asset]
np.testing.assert_array_equal(
@@ -697,7 +700,8 @@ class MinuteEquityHistoryTestCase(WithHistory, ZiplineTestCase):
pd.Timestamp('2015-01-08 14:40', tz='UTC'),
2,
'1d',
'close'
'close',
'minute',
)[asset]
# should not be adjusted
@@ -715,7 +719,8 @@ class MinuteEquityHistoryTestCase(WithHistory, ZiplineTestCase):
self.trading_calendar.open_and_close_for_session(jan5)[1],
2,
'1d',
'close'
'close',
'minute',
)[asset]
np.testing.assert_array_equal(np.array([nan, 391]), window1)
@@ -726,7 +731,8 @@ class MinuteEquityHistoryTestCase(WithHistory, ZiplineTestCase):
pd.Timestamp('2015-01-06 14:35', tz='UTC'),
2,
'1d',
'close'
'close',
'minute',
)[asset]
np.testing.assert_array_equal(
@@ -742,7 +748,8 @@ class MinuteEquityHistoryTestCase(WithHistory, ZiplineTestCase):
pd.Timestamp('2015-01-07 14:35', tz='UTC'),
3,
'1d',
'close'
'close',
'minute',
)[asset]
np.testing.assert_array_equal(
@@ -758,7 +765,8 @@ class MinuteEquityHistoryTestCase(WithHistory, ZiplineTestCase):
pd.Timestamp('2015-01-08 14:40', tz='UTC'),
2,
'1d',
'close'
'close',
'minute',
)[asset]
# should not be adjusted, should be 787 to 791
@@ -977,7 +985,8 @@ class MinuteEquityHistoryTestCase(WithHistory, ZiplineTestCase):
equity_cal.open_and_close_for_session(jan5)[1],
10,
'1m',
'close'
'close',
'minute',
)[asset]
np.testing.assert_array_equal(
@@ -997,7 +1006,8 @@ class MinuteEquityHistoryTestCase(WithHistory, ZiplineTestCase):
pd.Timestamp('2015-01-06 14:35', tz='UTC'),
window2_count,
'1m',
'close'
'close',
'minute',
)[asset]
# five minutes from 1/5 should be halved
@@ -1034,7 +1044,8 @@ class MinuteEquityHistoryTestCase(WithHistory, ZiplineTestCase):
pd.Timestamp('2015-01-07 14:35', tz='UTC'),
window3_count,
'1m',
'close'
'close',
'minute',
)[asset]
# first five minutes should be 4385-4390, but eigthed
@@ -1065,7 +1076,8 @@ class MinuteEquityHistoryTestCase(WithHistory, ZiplineTestCase):
pd.Timestamp('2015-01-07 14:40', tz='UTC'),
5,
'1m',
'close'
'close',
'minute',
)[asset]
# should not be adjusted, should be 1005 to 1009
@@ -1080,7 +1092,8 @@ class MinuteEquityHistoryTestCase(WithHistory, ZiplineTestCase):
pd.Timestamp('2015-01-05 21:00', tz='UTC'),
10,
'1m',
'close'
'close',
'minute',
)[self.DIVIDEND_ASSET]
np.testing.assert_array_equal(np.array(range(382, 392)), window1)
@@ -1096,7 +1109,8 @@ class MinuteEquityHistoryTestCase(WithHistory, ZiplineTestCase):
window2_end,
window2_count,
'1m',
'close'
'close',
'minute',
)[self.DIVIDEND_ASSET]
# first dividend is 2%, so the first five values should be 2% lower
@@ -1123,7 +1137,8 @@ class MinuteEquityHistoryTestCase(WithHistory, ZiplineTestCase):
window3_end,
window3_count,
'1m',
'close'
'close',
'minute',
)[self.DIVIDEND_ASSET]
# first five minute from 1/7 should be hit by 0.9408 (= 0.98 * 0.96)
@@ -1278,7 +1293,8 @@ class MinuteEquityHistoryTestCase(WithHistory, ZiplineTestCase):
window_end,
bar_count,
'1m',
'close'
'close',
'minute',
)[self.HALF_DAY_TEST_ASSET]
# 390 minutes for 7/2, 210 minutes for 7/3, 7/4-7/6 closed
@@ -1334,7 +1350,8 @@ class MinuteEquityHistoryTestCase(WithHistory, ZiplineTestCase):
first_equity_open,
bar_count,
'1m',
'close'
'close',
'minute',
)
expected = range(asset1_idx - 97, asset1_idx + 3)
@@ -1376,7 +1393,12 @@ class MinuteEquityHistoryTestCase(WithHistory, ZiplineTestCase):
with self.assertRaisesRegexp(
HistoryWindowStartsBeforeData, exp_msg):
self.data_portal.get_history_window(
[self.ASSET1], first_day_minutes[5], 15, '1m', 'price'
[self.ASSET1],
first_day_minutes[5],
15,
'1m',
'price',
'minute',
)[self.ASSET1]
def test_daily_history_blended(self):
@@ -1405,7 +1427,8 @@ class MinuteEquityHistoryTestCase(WithHistory, ZiplineTestCase):
minute,
3,
'1d',
field
field,
'minute',
)[self.ASSET2]
self.assertEqual(len(window), 3)
@@ -1428,10 +1451,6 @@ class MinuteEquityHistoryTestCase(WithHistory, ZiplineTestCase):
last_val = -1
# XXX
if minute == day:
continue
if minute < equity_open:
# If before the equity calendar open, we don't yet
# have data (but price is forward-filled).
@@ -1486,7 +1505,8 @@ class MinuteEquityHistoryTestCase(WithHistory, ZiplineTestCase):
minute,
3,
'1d',
field
field,
'minute',
)[self.ASSET2]
self.assertEqual(len(window), 3)
@@ -1510,10 +1530,6 @@ class MinuteEquityHistoryTestCase(WithHistory, ZiplineTestCase):
self.assertEqual(window[0], 22873500)
self.assertEqual(window[1], 38083500)
# XXX
if minute == day:
continue
last_val = -1
if minute < equity_open:
@@ -1779,7 +1795,8 @@ class DailyEquityHistoryTestCase(WithHistory, ZiplineTestCase):
pd.Timestamp('2015-01-05', tz='UTC'),
1,
'1d',
'close'
'close',
'daily',
)[asset]
np.testing.assert_array_equal(window1, [2])
@@ -1789,7 +1806,8 @@ class DailyEquityHistoryTestCase(WithHistory, ZiplineTestCase):
pd.Timestamp('2015-01-05', tz='UTC'),
1,
'1d',
'volume'
'volume',
'daily',
)[asset]
np.testing.assert_array_equal(window1_volume, [200])
@@ -1800,7 +1818,8 @@ class DailyEquityHistoryTestCase(WithHistory, ZiplineTestCase):
pd.Timestamp('2015-01-06', tz='UTC'),
2,
'1d',
'close'
'close',
'daily',
)[asset]
# first value should be halved, second value unadjusted
@@ -1811,7 +1830,8 @@ class DailyEquityHistoryTestCase(WithHistory, ZiplineTestCase):
pd.Timestamp('2015-01-06', tz='UTC'),
2,
'1d',
'volume'
'volume',
'daily',
)[asset]
if asset == self.SPLIT_ASSET:
@@ -1826,7 +1846,8 @@ class DailyEquityHistoryTestCase(WithHistory, ZiplineTestCase):
pd.Timestamp('2015-01-07', tz='UTC'),
3,
'1d',
'close'
'close',
'daily',
)[asset]
np.testing.assert_array_equal([0.25, 1.5, 4], window3)
@@ -1836,7 +1857,8 @@ class DailyEquityHistoryTestCase(WithHistory, ZiplineTestCase):
pd.Timestamp('2015-01-07', tz='UTC'),
3,
'1d',
'volume'
'volume',
'daily',
)[asset]
if asset == self.SPLIT_ASSET:
@@ -1853,7 +1875,8 @@ class DailyEquityHistoryTestCase(WithHistory, ZiplineTestCase):
pd.Timestamp('2015-01-05', tz='UTC'),
1,
'1d',
'close'
'close',
'daily',
)[self.DIVIDEND_ASSET]
np.testing.assert_array_equal(window1, [2])
@@ -1864,7 +1887,8 @@ class DailyEquityHistoryTestCase(WithHistory, ZiplineTestCase):
pd.Timestamp('2015-01-06', tz='UTC'),
2,
'1d',
'close'
'close',
'daily',
)[self.DIVIDEND_ASSET]
# first dividend is 2%, so the first value should be 2% lower than
@@ -1877,7 +1901,8 @@ class DailyEquityHistoryTestCase(WithHistory, ZiplineTestCase):
pd.Timestamp('2015-01-07', tz='UTC'),
3,
'1d',
'close'
'close',
'daily',
)[self.DIVIDEND_ASSET]
# second dividend is 0.96
@@ -1937,7 +1962,8 @@ class DailyEquityHistoryTestCase(WithHistory, ZiplineTestCase):
second_day,
4,
'1d',
'price'
'price',
'daily',
)[self.ASSET1]
with self.assertRaisesRegexp(HistoryWindowStartsBeforeData, exp_msg):
@@ -1946,7 +1972,8 @@ class DailyEquityHistoryTestCase(WithHistory, ZiplineTestCase):
second_day,
4,
'1d',
'volume'
'volume',
'daily',
)[self.ASSET1]
# Use a minute to force minute mode.
@@ -1959,7 +1986,8 @@ class DailyEquityHistoryTestCase(WithHistory, ZiplineTestCase):
first_minute,
4,
'1d',
'close'
'close',
'daily',
)[self.ASSET2]
def test_history_window_different_order(self):
@@ -1976,7 +2004,8 @@ class DailyEquityHistoryTestCase(WithHistory, ZiplineTestCase):
day,
4,
"1d",
"close"
"close",
'daily',
)
window_2 = self.data_portal.get_history_window(
@@ -1984,7 +2013,8 @@ class DailyEquityHistoryTestCase(WithHistory, ZiplineTestCase):
day,
4,
"1d",
"close"
"close",
'daily',
)
np.testing.assert_almost_equal(window_1[self.ASSET1].values,
@@ -2004,7 +2034,8 @@ class DailyEquityHistoryTestCase(WithHistory, ZiplineTestCase):
pd.Timestamp('2014-02-07', tz='UTC'),
4,
"1d",
"close"
"close",
'daily',
)
window_2 = self.data_portal.get_history_window(
@@ -2012,7 +2043,8 @@ class DailyEquityHistoryTestCase(WithHistory, ZiplineTestCase):
pd.Timestamp('2014-02-05', tz='UTC'),
4,
"1d",
"close"
"close",
'daily',
)
window_3 = self.data_portal.get_history_window(
@@ -2020,7 +2052,8 @@ class DailyEquityHistoryTestCase(WithHistory, ZiplineTestCase):
pd.Timestamp('2014-02-07', tz='UTC'),
4,
"1d",
"close"
"close",
'daily',
)
window_4 = self.data_portal.get_history_window(
@@ -2028,7 +2061,8 @@ class DailyEquityHistoryTestCase(WithHistory, ZiplineTestCase):
pd.Timestamp('2014-01-22', tz='UTC'),
4,
"1d",
"close"
"close",
'daily',
)
# Calling 02-07 after resetting the window should not affect the
zipline/_protocol.pyx
+6 -3
View File
@@ -648,7 +648,8 @@ cdef class BarData:
self._get_current_minute(),
bar_count,
frequency,
fields
fields,
self.data_frequency,
)
if self._adjust_minutes:
@@ -680,7 +681,8 @@ cdef class BarData:
self._get_current_minute(),
bar_count,
frequency,
field
field,
self.data_frequency,
)[assets] for field in fields
}
@@ -708,7 +710,8 @@ cdef class BarData:
self._get_current_minute(),
bar_count,
frequency,
field
field,
self.data_frequency,
) for field in fields
}
zipline/algorithm.py
+2
View File
@@ -2160,6 +2160,7 @@ class TradingAlgorithm(object):
bar_count,
frequency,
field,
self.data_frequency,
ffill,
)
else:
@@ -2176,6 +2177,7 @@ class TradingAlgorithm(object):
bar_count,
frequency,
field,
self.data_frequency,
ffill,
)
zipline/data/data_portal.py
+44 -14
View File
@@ -735,8 +735,12 @@ class DataPortal(object):
)
return tds[start_loc:end_loc + 1]
def _get_history_daily_window(self, assets, end_dt, bar_count,
field_to_use):
def _get_history_daily_window(self,
assets,
end_dt,
bar_count,
field_to_use,
data_frequency):
"""
Internal method that returns a dataframe containing history bars
of daily frequency for the given sids.
@@ -750,7 +754,7 @@ class DataPortal(object):
columns=None)
data = self._get_history_daily_window_data(
assets, days_for_window, end_dt, field_to_use
assets, days_for_window, end_dt, field_to_use, data_frequency
)
return pd.DataFrame(
data,
@@ -762,10 +766,9 @@ class DataPortal(object):
assets,
days_for_window,
end_dt,
field_to_use):
ends_at_midnight = (end_dt.hour == end_dt.minute == 0)
if ends_at_midnight:
field_to_use,
data_frequency):
if data_frequency == 'daily':
# two cases where we use daily data for the whole range:
# 1) the history window ends at midnight utc.
# 2) the last desired day of the window is after the
@@ -860,7 +863,13 @@ class DataPortal(object):
columns=assets
)
def get_history_window(self, assets, end_dt, bar_count, frequency, field,
def get_history_window(self,
assets,
end_dt,
bar_count,
frequency,
field,
data_frequency,
ffill=True):
"""
Public API method that returns a dataframe containing the requested
@@ -880,6 +889,10 @@ class DataPortal(object):
field: string
The desired field of the asset.
data_frequency: string
The frequency of the data to query; i.e. whether the data is
'daily' or 'minute' bars.
ffill: boolean
Forward-fill missing values. Only has effect if field
is 'price'.
@@ -894,10 +907,10 @@ class DataPortal(object):
if frequency == "1d":
if field == "price":
df = self._get_history_daily_window(assets, end_dt, bar_count,
"close")
"close", data_frequency)
else:
df = self._get_history_daily_window(assets, end_dt, bar_count,
field)
field, data_frequency)
elif frequency == "1m":
if field == "price":
df = self._get_history_minute_window(assets, end_dt, bar_count,
@@ -1299,7 +1312,13 @@ class DataPortal(object):
# returns is always calculated over the last 2 days, regardless
# of the simulation's data frequency.
hst = self.get_history_window(
[asset], dt, 2, "1d", "price", ffill=True
[asset],
dt,
2,
"1d",
"price",
data_frequency,
ffill=True,
)[asset]
return (hst.iloc[-1] - hst.iloc[0]) / hst.iloc[0]
@@ -1317,7 +1336,13 @@ class DataPortal(object):
calculated_bar_count = bars
price_arr = self.get_history_window(
[asset], dt, calculated_bar_count, freq_str, "price", ffill=True
[asset],
dt,
calculated_bar_count,
freq_str,
"price",
data_frequency,
ffill=True,
)[asset]
if transform_name == "mavg":
@@ -1326,8 +1351,13 @@ class DataPortal(object):
return nanstd(price_arr, ddof=1)
elif transform_name == "vwap":
volume_arr = self.get_history_window(
[asset], dt, calculated_bar_count, freq_str, "volume",
ffill=True
[asset],
dt,
calculated_bar_count,
freq_str,
"volume",
data_frequency,
ffill=True,
)[asset]
vol_sum = nansum(volume_arr)
zipline/sources/benchmark_source.py
+3
View File
@@ -146,6 +146,7 @@ class BenchmarkSource(object):
bar_count=len(minutes) + 1,
frequency="1m",
field="price",
data_frequency=self.emission_rate,
ffill=True
)[asset]
@@ -163,6 +164,7 @@ class BenchmarkSource(object):
bar_count=len(trading_days) + 1,
frequency="1d",
field="price",
data_frequency=self.emission_rate,
ffill=True
)[asset]
return benchmark_series.pct_change()[1:]
@@ -175,6 +177,7 @@ class BenchmarkSource(object):
bar_count=len(trading_days),
frequency="1d",
field="price",
data_frequency=self.emission_rate,
ffill=True
)[asset]
zipline/testing/core.py
+1 -1
View File
@@ -714,7 +714,7 @@ class FakeDataPortal(DataPortal):
return 1.0
def get_history_window(self, assets, end_dt, bar_count, frequency, field,
ffill=True):
data_frequency, ffill=True):
if frequency == "1d":
end_idx = \
self.trading_calendar.all_sessions.searchsorted(end_dt)