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ENH: make BcolzMinuteBarWriter.write take iterable

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Updates the BcolzMinuteBarWriter.write api to allow users to pass their
data as a stream instead of requiring that they loop over their data
externally. This matches the API presented by BcolzDailyBarWriter.
This commit is contained in:
Joe Jevnik
2016-04-29 16:14:48 -04:00
parent e73ce0bf2b
commit efac476976
12 changed files with 172 additions and 170 deletions
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tests/finance/test_slippage.py
+18 -20
View File
@@ -58,18 +58,16 @@ class SlippageTestCase(WithSimParams, WithDataPortal, ZiplineTestCase):
@classmethod
def make_minute_bar_data(cls):
return {
133: pd.DataFrame(
{
'open': [3.0, 3.0, 3.5, 4.0, 3.5],
'high': [3.15, 3.15, 3.15, 3.15, 3.15],
'low': [2.85, 2.85, 2.85, 2.85, 2.85],
'close': [3.0, 3.5, 4.0, 3.5, 3.0],
'volume': [2000, 2000, 2000, 2000, 2000],
},
index=cls.minutes,
),
}
yield 133, pd.DataFrame(
{
'open': [3.0, 3.0, 3.5, 4.0, 3.5],
'high': [3.15, 3.15, 3.15, 3.15, 3.15],
'low': [2.85, 2.85, 2.85, 2.85, 2.85],
'close': [3.0, 3.5, 4.0, 3.5, 3.0],
'volume': [2000, 2000, 2000, 2000, 2000],
},
index=cls.minutes,
)
@classmethod
def init_class_fixtures(cls):
@@ -77,8 +75,8 @@ class SlippageTestCase(WithSimParams, WithDataPortal, ZiplineTestCase):
cls.ASSET133 = cls.env.asset_finder.retrieve_asset(133)
def test_volume_share_slippage(self):
assets = {
133: pd.DataFrame(
assets = (
(133, pd.DataFrame(
{
'open': [3.00],
'high': [3.15],
@@ -87,8 +85,8 @@ class SlippageTestCase(WithSimParams, WithDataPortal, ZiplineTestCase):
'volume': [200],
},
index=[self.minutes[0]],
),
}
)),
)
days = pd.date_range(
start=normalize_date(self.minutes[0]),
end=normalize_date(self.minutes[-1])
@@ -465,8 +463,8 @@ class SlippageTestCase(WithSimParams, WithDataPortal, ZiplineTestCase):
data['sid'] = self.ASSET133
order = Order(**data)
assets = {
133: pd.DataFrame(
assets = (
(133, pd.DataFrame(
{
'open': [event_data['open']],
'high': [event_data['high']],
@@ -475,8 +473,8 @@ class SlippageTestCase(WithSimParams, WithDataPortal, ZiplineTestCase):
'volume': [event_data['volume']],
},
index=[pd.Timestamp('2006-01-05 14:31', tz='UTC')],
),
}
)),
)
days = pd.date_range(
start=normalize_date(self.minutes[0]),
end=normalize_date(self.minutes[-1])