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MAINT: Makes the date_gen skip non-market times.

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This commit is contained in:
Joe Jevnik
2014-11-17 13:16:30 -05:00
parent e3d8b1034e
commit df3af31fc1
1 changed files with 23 additions and 13 deletions
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zipline/sources/test_source.py
+23 -13
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@@ -52,25 +52,42 @@ def create_trade(sid, price, amount, datetime, source_id="test_factory"):
return trade
@with_environment()
def date_gen(start=datetime(2006, 6, 6, 12, tzinfo=pytz.utc),
delta=timedelta(minutes=1),
count=100,
repeats=None):
repeats=None,
env=None):
"""
Utility to generate a stream of dates.
"""
one_day = timedelta(days=1)
daily_delta = not (delta.total_seconds()
% timedelta(days=1).total_seconds())
cur = start
if delta == one_day:
if daily_delta:
# if we are producing daily timestamps, we
# use midnight
cur = cur.replace(hour=0, minute=0, second=0,
microsecond=0)
def advance_current(cur):
"""
Advances the current dt skipping non market days and minutes.
"""
cur = cur + delta
if not (env.is_trading_day
if daily_delta
else env.is_market_hours)(cur):
if daily_delta:
return env.next_trading_day(cur)
else:
return env.next_open_and_close
else:
return cur
# yield count trade events, all on trading days, and
# during trading hours.
# NB: Being inside of trading hours is currently dependent upon the
# count parameter being less than the number of trading minutes in a day
for i in range(count):
if repeats:
for j in range(repeats):
@@ -78,14 +95,7 @@ def date_gen(start=datetime(2006, 6, 6, 12, tzinfo=pytz.utc),
else:
yield cur
cur = cur + delta
cur_midnight = cur.replace(hour=0, minute=0, second=0, microsecond=0)
# skip over any non-trading days
while cur_midnight not in trading_days:
cur = cur + one_day
cur_midnight = cur.replace(hour=0, minute=0, second=0,
microsecond=0)
cur = cur.replace(day=cur_midnight.day)
cur = advance_current(cur)
def mock_prices(count):