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BLD: improve periods calculation

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This commit is contained in:
lenak25
2018-03-04 13:44:04 +02:00
parent 5197ab6cc2
commit e59f46dfd6
2 changed files with 65 additions and 62 deletions
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catalyst/exchange/utils/exchange_utils.py
+4 -14
View File
@@ -16,7 +16,6 @@ from catalyst.exchange.utils.serialization_utils import ExchangeJSONEncoder, \
ExchangeJSONDecoder
from catalyst.utils.paths import data_root, ensure_directory, \
last_modified_time
from catalyst.exchange.utils.datetime_utils import get_periods_range
def get_sid(symbol):
@@ -740,19 +739,10 @@ def get_candles_df(candles, field, freq, bar_count, end_dt=None):
for asset in candles:
asset_df = transform_candles_to_df(candles[asset])
rounded_end_dt = end_dt.round(freq)
periods = get_periods_range(
start_dt=None, end_dt=rounded_end_dt,
freq=freq, periods=bar_count
)
if rounded_end_dt > end_dt:
periods = periods[:-1]
elif rounded_end_dt <= end_dt:
periods = periods[1:]
# periods = pd.date_range(end=end_dt, periods=bar_count, freq=freq)
rounded_end_dt = end_dt.floor(freq)
periods = pd.date_range(end=rounded_end_dt,
periods=bar_count,
freq=freq)
asset_df = forward_fill_df_if_needed(asset_df, periods)
all_series[asset] = pd.Series(asset_df[field])
tests/exchange/test_exchange_utils.py
+61 -48
View File
@@ -2,6 +2,7 @@ from catalyst.exchange.utils.exchange_utils import transform_candles_to_df, \
forward_fill_df_if_needed, get_candles_df
from catalyst.testing.fixtures import WithLogger, ZiplineTestCase
from datetime import timedelta
from pandas import Timestamp, DataFrame, concat
import numpy as np
@@ -15,9 +16,59 @@ class TestExchangeUtils(WithLogger, ZiplineTestCase):
new_df.index.name = None
return new_df
@classmethod
def verify_forward_fill_df_if_needed(cls, candles, periods, expected_df):
observed_df = forward_fill_df_if_needed(
transform_candles_to_df(candles),
periods)
assert (expected_df.equals(observed_df))
@classmethod
def verify_get_candles_df(cls, assets, candles, end_fixed_dt,
expected_df, check_next_candle=False):
# run on all the fields
for field in ['volume', 'open', 'close', 'high', 'low']:
field_dt = cls.get_specific_field_from_df(expected_df,
field,
assets[0])
# run on several timestamps
for delta in range(5):
end_dt = end_fixed_dt + timedelta(minutes=delta)
assert (field_dt.equals(get_candles_df({assets[0]: candles},
field, '5T', 3,
end_dt=end_dt)))
field_dt_a1 = cls.get_specific_field_from_df(expected_df,
field,
assets[0])
field_dt_a2 = cls.get_specific_field_from_df(expected_df,
field,
assets[1])
observed_df = get_candles_df({assets[0]: candles,
assets[1]: candles},
field, '5T', 3,
end_dt=end_dt)
assert (observed_df.equals(concat([field_dt_a1, field_dt_a2],
axis=1)))
if check_next_candle:
# one candle forward
end_dt = end_fixed_dt + timedelta(minutes=6)
observed_df = get_candles_df({assets[0]: candles,
assets[1]: candles},
field, '5T', 3,
end_dt=end_dt)
assert (not observed_df.equals(concat([field_dt_a1,
field_dt_a2],
axis=1)))
assert (concat([field_dt_a1, field_dt_a2],
axis=1)[1:].equals(observed_df[:-1]))
def test_get_candles_df(self):
asset = 'btc_usdt'
asset2 = 'eth_usdt'
assets = ['btc_usdt', 'eth_usdt']
# test forward fill in the end
candles = [{'high': 595, 'volume': 10, 'low': 594,
@@ -51,20 +102,12 @@ class TestExchangeUtils(WithLogger, ZiplineTestCase):
Timestamp('2018-03-01 09:50:00+0000', tz='UTC'),
Timestamp('2018-03-01 09:55:00+0000', tz='UTC')]
observed_df = forward_fill_df_if_needed(
transform_candles_to_df(candles),
periods)
expected_df = transform_candles_to_df(expected)
assert (expected_df.equals(observed_df))
for field in ['volume', 'open', 'close', 'high', 'low']:
field_dt = self.get_specific_field_from_df(expected_df,
field,
asset)
assert (field_dt.equals(get_candles_df({asset: candles},
field, '5T', 3,
end_dt=periods[2])))
self.verify_forward_fill_df_if_needed(candles, periods,
expected_df)
self.verify_get_candles_df(assets, candles, periods[2],
expected_df, True)
# test forward fill in the middle
candles = [{'high': 595, 'volume': 10, 'low': 594,
@@ -94,28 +137,9 @@ class TestExchangeUtils(WithLogger, ZiplineTestCase):
tz='UTC')
}]
df = transform_candles_to_df(candles)
observed_df = forward_fill_df_if_needed(df, periods)
expected_df = transform_candles_to_df(expected)
assert (expected_df.equals(observed_df))
for field in ['volume', 'open', 'close', 'high', 'low']:
# test several assets as well
observed_df = get_candles_df({asset: candles,
asset2: candles},
field, '5T', 3,
end_dt=periods[2])
field_dt_a1 = self.get_specific_field_from_df(expected_df,
field,
asset)
field_dt_a2 = self.get_specific_field_from_df(expected_df,
field,
asset2)
assert(observed_df.equals(concat([field_dt_a1, field_dt_a2],
axis=1)))
self.verify_forward_fill_df_if_needed(candles, periods, expected_df)
self.verify_get_candles_df(assets, candles, periods[2], expected_df)
# test "forward fill" at the beginning
candles = [{'high': 595, 'volume': 10, 'low': 594,
@@ -145,18 +169,7 @@ class TestExchangeUtils(WithLogger, ZiplineTestCase):
tz='UTC')
}]
df = transform_candles_to_df(candles)
observed_df = forward_fill_df_if_needed(df, periods)
expected_df = transform_candles_to_df(expected)
assert (expected_df.equals(observed_df))
self.verify_forward_fill_df_if_needed(candles, periods, expected_df)
# Not the same due to dropna - commenting out for now
"""
for field in ['volume', 'open', 'close', 'high', 'low']:
field_dt = self.get_specific_field_from_df(observed_df,
field,
asset)
assert(field_dt.equals(get_candles_df({asset:candles},
field, '5T', 3,
end_dt=periods[2])))
"""
# self.verify_get_candles_df(assets, candles, periods[2], expected_df)