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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
2016-04-20 15:42:27 -04:00
parent e73ce0bf2b
commit efac476976
12 changed files with 172 additions and 170 deletions
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tests/test_algorithm.py
+23 -31
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@@ -29,7 +29,6 @@ from testfixtures import TempDirectory
import numpy as np
import pandas as pd
import pytz
from toolz import merge
from zipline import TradingAlgorithm
from zipline.api import FixedSlippage
@@ -1039,25 +1038,20 @@ class TestBeforeTradingStart(WithDataPortal,
index=asset_minutes,
)
split_data.iloc[780:] = split_data.iloc[780:] / 2.0
return merge(
{
sid: create_minute_df_for_asset(
cls.env,
cls.data_start,
cls.sim_params.period_end,
)
for sid in (1, 8554)
},
{
2: create_minute_df_for_asset(
cls.env,
cls.data_start,
cls.sim_params.period_end,
50,
),
cls.SPLIT_ASSET_SID: split_data,
},
for sid in (1, 8554):
yield sid, create_minute_df_for_asset(
cls.env,
cls.data_start,
cls.sim_params.period_end,
)
yield 2, create_minute_df_for_asset(
cls.env,
cls.data_start,
cls.sim_params.period_end,
50,
)
yield cls.SPLIT_ASSET_SID, split_data
@classmethod
def make_splits_data(cls):
@@ -2552,18 +2546,16 @@ class TestOrderCancelation(WithDataPortal,
minutes_arr = np.arange(1, 1 + minutes_count)
# normal test data, but volume is pinned at 1 share per minute
return {
1: pd.DataFrame(
{
'open': minutes_arr + 1,
'high': minutes_arr + 2,
'low': minutes_arr - 1,
'close': minutes_arr,
'volume': np.full(minutes_count, 1),
},
index=asset_minutes,
),
}
yield 1, pd.DataFrame(
{
'open': minutes_arr + 1,
'high': minutes_arr + 2,
'low': minutes_arr - 1,
'close': minutes_arr,
'volume': np.full(minutes_count, 1),
},
index=asset_minutes,
)
@classmethod
def make_daily_bar_data(cls):