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ENH: Augment data.can_trade to check whether the asset's exchange is currently

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open.
This commit is contained in:
Jean Bredeche
2016-07-20 09:08:46 -04:00
parent 164bd06dba
commit d8af3fb92e
5 changed files with 136 additions and 55 deletions
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tests/test_bar_data.py
+49 -14
View File
@@ -438,7 +438,7 @@ class TestMinuteBarData(WithBarDataChecks,
bd.current(self.HILARIOUSLY_ILLIQUID_ASSET, "volume")
)
def test_can_trade_at_midnight(self):
def test_can_trade_during_non_market_hours(self):
# make sure that if we use `can_trade` at midnight, we don't pretend
# we're in the previous day's last minute
the_day_after = self.trading_calendar.next_session_label(
@@ -453,19 +453,39 @@ class TestMinuteBarData(WithBarDataChecks,
with handle_non_market_minutes(bar_data):
self.assertFalse(bar_data.can_trade(asset))
# but make sure it works when the assets are alive
# NYSE is closed at midnight, so even if the asset is alive, can_trade
# should return False
bar_data2 = BarData(
self.data_portal,
lambda: self.equity_minute_bar_days[1],
"minute",
)
for asset in [self.ASSET1, self.HILARIOUSLY_ILLIQUID_ASSET]:
self.assertTrue(bar_data2.can_trade(asset))
self.assertFalse(bar_data2.can_trade(asset))
with handle_non_market_minutes(bar_data2):
self.assertTrue(bar_data2.can_trade(asset))
self.assertFalse(bar_data2.can_trade(asset))
def test_is_stale_at_midnight(self):
def test_can_trade_exchange_closed(self):
session = self.equity_minute_bar_days[1]
session_open, session_close = \
self.trading_calendar.open_and_close_for_session(session)
one_minute = pd.Timedelta(minutes=1)
minutes_to_check = [
(session_open - one_minute, False),
(session_open, True),
(session_close - one_minute, True),
(session_close, True),
(session_close + one_minute, False)
]
for info in minutes_to_check:
bar_data = BarData(self.data_portal, lambda: info[0], "minute")
self.assertEqual(info[1], bar_data.can_trade(self.ASSET1))
def test_is_stale_during_non_market_hours(self):
bar_data = BarData(
self.data_portal,
lambda: self.equity_minute_bar_days[1],
@@ -644,13 +664,20 @@ class TestDailyBarData(WithBarDataChecks,
)
cls.ASSETS = [cls.ASSET1, cls.ASSET2]
def get_last_minute_of_session(self, session_label):
return self.trading_calendar.open_and_close_for_session(
session_label
)[1]
def test_day_before_assets_trading(self):
# use the day before self.bcolz_daily_bar_days[0]
day = self.trading_calendar.previous_session_label(
self.equity_daily_bar_days[0]
minute = self.get_last_minute_of_session(
self.trading_calendar.previous_session_label(
self.equity_daily_bar_days[0]
)
)
bar_data = BarData(self.data_portal, lambda: day, "daily")
bar_data = BarData(self.data_portal, lambda: minute, "daily")
self.check_internal_consistency(bar_data)
self.assertFalse(bar_data.can_trade(self.ASSET1))
@@ -674,7 +701,9 @@ class TestDailyBarData(WithBarDataChecks,
# on self.equity_daily_bar_days[0], only asset1 has data
bar_data = BarData(
self.data_portal,
lambda: self.equity_daily_bar_days[0],
lambda: self.get_last_minute_of_session(
self.equity_daily_bar_days[0]
),
"daily",
)
self.check_internal_consistency(bar_data)
@@ -709,7 +738,9 @@ class TestDailyBarData(WithBarDataChecks,
def test_fully_active_day(self):
bar_data = BarData(
self.data_portal,
lambda: self.equity_daily_bar_days[1],
lambda: self.get_last_minute_of_session(
self.equity_daily_bar_days[1]
),
"daily",
)
self.check_internal_consistency(bar_data)
@@ -733,7 +764,9 @@ class TestDailyBarData(WithBarDataChecks,
def test_last_active_day(self):
bar_data = BarData(
self.data_portal,
lambda: self.equity_daily_bar_days[-1],
lambda: self.get_last_minute_of_session(
self.equity_daily_bar_days[-1]
),
"daily",
)
self.check_internal_consistency(bar_data)
@@ -751,11 +784,13 @@ class TestDailyBarData(WithBarDataChecks,
def test_after_assets_dead(self):
# both assets end on self.day[-1], so let's try the next day
next_day = self.trading_calendar.next_session_label(
self.equity_daily_bar_days[-1]
minute = self.get_last_minute_of_session(
self.trading_calendar.next_session_label(
self.equity_daily_bar_days[-1]
)
)
bar_data = BarData(self.data_portal, lambda: next_day, "daily")
bar_data = BarData(self.data_portal, lambda: minute, "daily")
self.check_internal_consistency(bar_data)
for asset in self.ASSETS:
zipline/_protocol.pyx
+22 -12
View File
@@ -426,9 +426,11 @@ cdef class BarData:
@check_parameters(('assets',), (Asset,))
def can_trade(self, assets):
"""
For the given asset or iterable of assets, returns true if the asset
is alive at the current simulation time and there is a known last
price.
For the given asset or iterable of assets, returns true if all of the
following are true:
- the asset is alive at the current simulation time
- the asset's exchange is open at the current simulation time
- there is a known last price for the asset.
Parameters
----------
@@ -460,15 +462,21 @@ cdef class BarData:
})
cdef bool _can_trade_for_asset(self, asset, dt, adjusted_dt, data_portal):
if asset._is_alive(dt, False):
# is there a last price?
return not np.isnan(
data_portal.get_spot_value(
asset, "price", adjusted_dt, self.data_frequency
)
)
session_label = normalize_date(dt) # FIXME
if not asset._is_alive_for_session(session_label):
# asset isn't alive
return False
return False
if not asset._asset_exchange_open(dt):
# exchange isn't open
return False
# is there a last price?
return not np.isnan(
data_portal.get_spot_value(
asset, "price", adjusted_dt, self.data_frequency
)
)
@check_parameters(('assets',), (Asset,))
def is_stale(self, assets):
@@ -511,7 +519,9 @@ cdef class BarData:
})
cdef bool _is_stale_for_asset(self, asset, dt, adjusted_dt, data_portal):
if not asset._is_alive(dt, False):
session_label = normalize_date(dt) # FIXME
if not asset._is_alive_for_session(session_label):
return False
current_volume = data_portal.get_spot_value(
zipline/assets/_assets.pyx
+50 -15
View File
@@ -34,6 +34,8 @@ from numpy cimport int64_t
import warnings
cimport numpy as np
from zipline.utils.calendars import get_calendar
# IMPORTANT NOTE: You must change this template if you change
# Asset.__reduce__, or else we'll attempt to unpickle an old version of this
@@ -42,6 +44,16 @@ from pandas.tslib import normalize_date
CACHE_FILE_TEMPLATE = '/tmp/.%s-%s.v6.cache'
FUTURE_EXCHANGE_MAPPING = {
"CFE": "CFE",
"CBOT": "CME",
"CME": "CME",
"COMEX": "CME",
"NYMEX": "CME",
"ICEUS": "ICE",
"NYFE": "ICE"
}
cdef class Asset:
cdef readonly int sid
@@ -89,6 +101,8 @@ cdef class Asset:
self.first_traded = first_traded
self.auto_close_date = auto_close_date
def __int__(self):
return self.sid
@@ -187,37 +201,58 @@ cdef class Asset:
"""
return cls(**dict_)
def _is_alive(self, dt, bool normalized):
def _is_alive_for_session(self, session_label):
"""
Returns whether the asset is alive at the given dt.
Parameters
----------
dt: pd.Timestamp
The desired timestamp.
normalized: boolean
Whether the date has already been normalized. If not, we need
to first normalize the date before doing the alive check. If the
date is already normalized, this method runs up to 80% faster.
session_label: pd.Timestamp
The desired session label to check. (midnight UTC)
Returns
-------
boolean: whether the asset is alive at the given dt.
"""
cdef int64_t dt_value
cdef int64_t ref_start
cdef int64_t ref_end
if not normalized:
dt_value = normalize_date(dt).value
else:
dt_value = dt.value
ref_start = self.start_date.value
ref_end = self.end_date.value
return ref_start <= dt_value <= ref_end
return ref_start <= session_label.value <= ref_end
def _asset_exchange_open(self, dt_minute):
"""
Parameters
----------
dt_minute: pd.Timestamp (UTC, tz-aware)
The minute to check.
Returns
-------
boolean: whether the asset's exchange is open at the given minute.
"""
calendar = self._exchange_trading_calendar_for_asset()
return calendar.is_open_on_minute(dt_minute)
def _exchange_trading_calendar_for_asset(self):
"""
Get the calendar for this asset's exchange.
Raises KeyError if the asset's exchange calendar cannot be found.
Returns
-------
The asset's exchange's trading calendar.
"""
if isinstance(self, Equity):
# FIXME: probably too Quantopian-specific
return get_calendar("NYSE")
else:
asset_exchange_str = self.exchange
calendar_str = FUTURE_EXCHANGE_MAPPING[asset_exchange_str]
return get_calendar(calendar_str)
cdef class Equity(Asset):
zipline/data/daily_history_aggregator.py
+12 -13
View File
@@ -15,8 +15,6 @@
import numpy as np
import pandas as pd
from pandas.tslib import normalize_date
class DailyHistoryAggregator(object):
"""
@@ -32,9 +30,10 @@ class DailyHistoryAggregator(object):
"""
def __init__(self, market_opens, minute_reader):
def __init__(self, market_opens, minute_reader, trading_calendar):
self._market_opens = market_opens
self._minute_reader = minute_reader
self._trading_calendar = trading_calendar
# The caches are structured as (date, market_open, entries), where
# entries is a dict of asset -> (last_visited_dt, value)
@@ -97,10 +96,10 @@ class DailyHistoryAggregator(object):
market_open, prev_dt, dt_value, entries = self._prelude(dt, 'open')
opens = []
normalized_date = normalize_date(dt)
session_label = self._trading_calendar.minute_to_session_label(dt)
for asset in assets:
if not asset._is_alive(normalized_date, True):
if not asset._is_alive_for_session(session_label):
opens.append(np.NaN)
continue
@@ -166,10 +165,10 @@ class DailyHistoryAggregator(object):
market_open, prev_dt, dt_value, entries = self._prelude(dt, 'high')
highs = []
normalized_date = normalize_date(dt)
session_label = self._trading_calendar.minute_to_session_label(dt)
for asset in assets:
if not asset._is_alive(normalized_date, True):
if not asset._is_alive_for_session(session_label):
highs.append(np.NaN)
continue
@@ -235,10 +234,10 @@ class DailyHistoryAggregator(object):
market_open, prev_dt, dt_value, entries = self._prelude(dt, 'low')
lows = []
normalized_date = normalize_date(dt)
session_label = self._trading_calendar.minute_to_session_label(dt)
for asset in assets:
if not asset._is_alive(normalized_date, True):
if not asset._is_alive_for_session(session_label):
lows.append(np.NaN)
continue
@@ -305,10 +304,10 @@ class DailyHistoryAggregator(object):
market_open, prev_dt, dt_value, entries = self._prelude(dt, 'close')
closes = []
normalized_dt = normalize_date(dt)
session_label = self._trading_calendar.minute_to_session_label(dt)
for asset in assets:
if not asset._is_alive(normalized_dt, True):
if not asset._is_alive_for_session(session_label):
closes.append(np.NaN)
continue
@@ -365,10 +364,10 @@ class DailyHistoryAggregator(object):
market_open, prev_dt, dt_value, entries = self._prelude(dt, 'volume')
volumes = []
normalized_date = normalize_date(dt)
session_label = self._trading_calendar.minute_to_session_label(dt)
for asset in assets:
if not asset._is_alive(normalized_date, True):
if not asset._is_alive_for_session(session_label):
volumes.append(0)
continue
zipline/data/data_portal.py
+3 -1
View File
@@ -150,7 +150,9 @@ class DataPortal(object):
if self._equity_minute_reader is not None:
self._equity_daily_aggregator = DailyHistoryAggregator(
self.trading_calendar.schedule.market_open,
self._equity_minute_reader)
self._equity_minute_reader,
self.trading_calendar
)
self._equity_minute_history_loader = USEquityMinuteHistoryLoader(
self.trading_calendar,
self._equity_minute_reader,