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MAINT: Consolidates minute_window methods in schedule classes

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This commit is contained in:
jfkirk
2016-06-08 13:34:19 -04:00
committed by Jean Bredeche
parent 26742dda67
commit ddaf3d5b02
8 changed files with 118 additions and 256 deletions
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tests/test_exchange_calendar.py
+1 -1
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@@ -112,7 +112,7 @@ class ExchangeCalendarTestBase(object):
def test_minute_window(self):
for open in self.answers.market_open:
open_tz = open.tz_localize('UTC')
window = self.calendar.minute_window(open_tz, 390, 1)
window = self.calendar.market_minute_window(open_tz, 390, step=1)
self.assertEqual(len(window), 390)
tests/test_finance.py
+11 -11
View File
@@ -203,7 +203,7 @@ class FinanceTestCase(WithLogger,
data_frequency="minute"
)
minutes = default_nyse_schedule.minute_window(
minutes = default_nyse_schedule.execution_minute_window(
sim_params.first_open,
int((trade_interval.total_seconds() / 60) * trade_count)
+ 100)
@@ -497,7 +497,7 @@ class TradingEnvironmentTestCase(WithLogger,
utc_start = pd.Timestamp(start.astimezone(utc))
# Get the next 10 minutes
minutes = self.cal.minute_window(
minutes = self.cal.market_minute_window(
utc_start, 10,
)
self.assertEqual(len(minutes), 10)
@@ -505,7 +505,7 @@ class TradingEnvironmentTestCase(WithLogger,
self.assertEqual(minutes[i], utc_start + timedelta(minutes=i))
# Get the previous 10 minutes.
minutes = self.cal.minute_window(
minutes = self.cal.market_minute_window(
utc_start, 10, step=-1,
)
self.assertEqual(len(minutes), 10)
@@ -518,14 +518,14 @@ class TradingEnvironmentTestCase(WithLogger,
# Today: 10:01 AM -> 4:00 PM (360 minutes)
# Tomorrow: 9:31 AM -> 4:00 PM (390 minutes, 750 total)
# Last Day: 9:31 AM -> 12:00 PM (150 minutes, 900 total)
minutes = self.cal.minute_window(
minutes = self.cal.market_minute_window(
start, 900,
)
today = self.cal.minutes_for_date(utc_start)[30:]
tomorrow = self.cal.minutes_for_date(
today = self.cal.trading_minutes_for_day(utc_start)[30:]
tomorrow = self.cal.trading_minutes_for_day(
start + timedelta(days=1)
)
last_day = self.cal.minutes_for_date(
last_day = self.cal.trading_minutes_for_day(
start + timedelta(days=2))[:150]
self.assertEqual(len(minutes), 900)
@@ -540,17 +540,17 @@ class TradingEnvironmentTestCase(WithLogger,
# Today: 10:01 AM -> 9:31 AM (31 minutes)
# Friday: 4:00 PM -> 9:31 AM (390 minutes, 421 total)
# Thursday: 4:00 PM -> 9:41 AM (380 minutes, 801 total)
minutes = self.cal.minute_window(
minutes = self.cal.market_minute_window(
start, 801, step=-1,
)
today = self.cal.minutes_for_date(utc_start)[30::-1]
today = self.cal.trading_minutes_for_day(utc_start)[30::-1]
# minus an extra two days from each of these to account for the two
# weekend days we skipped
friday = self.cal.minutes_for_date(
friday = self.cal.trading_minutes_for_day(
start + timedelta(days=-3),
)[::-1]
thursday = self.cal.minutes_for_date(
thursday = self.cal.trading_minutes_for_day(
start + timedelta(days=-4),
)[:9:-1]