Merge pull request #1401 from quantopian/session-bar-interface

MAINT: Factor out session bar reader interface.

zipline/data/session_bars.py

@@ -0,0 +1,101 @@
+# Copyright 2016 Quantopian, Inc.
+#
+# Licensed under the Apache License, Version 2.0 (the "License");
+# you may not use this file except in compliance with the License.
+# You may obtain a copy of the License at
+#
+#     http://www.apache.org/licenses/LICENSE-2.0
+#
+# Unless required by applicable law or agreed to in writing, software
+# distributed under the License is distributed on an "AS IS" BASIS,
+# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+# See the License for the specific language governing permissions and
+# limitations under the License.
+from abc import ABCMeta, abstractmethod, abstractproperty
+from six import with_metaclass
+
+
+class SessionBarReader(with_metaclass(ABCMeta)):
+    """
+    Reader for OHCLV pricing data at a session frequency.
+    """
+    @abstractmethod
+    def load_raw_arrays(self, columns, start_date, end_date, assets):
+        """
+        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
+            (minutes in range, sids) with a dtype of float64, containing the
+            values for the respective field over start and end dt range.
+        """
+        pass
+
+    @abstractmethod
+    def spot_price(self, sid, session, colname):
+        """
+        Retrieve the value at the given coordinates.
+
+        This function shares the same input and semantics as the
+        ``MinuteBarReaders``'s ``get_value``, in the future, the names may be
+        made consistent.
+
+        Parameters
+        ----------
+        sid : int
+            The asset identifier.
+        session : pd.Timestamp
+            The session label for the desired data point.
+        colname : string
+            The OHLVC name for the desired data point.
+
+        Returns
+        -------
+        value : float|int
+            The value at the given coordinates, ``float`` for OHLC, ``int``
+            for 'volume'.
+
+        See Also
+        --------
+        zipline.minute_bars.MinuteBarReader.get_value
+        """
+        pass
+
+    @abstractproperty
+    def sessions(self):
+        """
+        Returns
+        -------
+        sessions : DatetimeIndex
+           All session labels (unionining the range for all assets) which the
+           reader can provide.
+        """
+        pass
+
+    @abstractproperty
+    def last_available_dt(self):
+        """
+        Returns
+        -------
+        dt : pd.Timestamp
+            The last session for which the reader can provide data.
+        """
+        pass
+
+    def trading_calendar(self):
+        """
+        Returns the zipline.utils.calendar.trading_calendar used to read
+        the data.  Can be None (if the writer didn't specify it).
+        """
+        pass