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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/test_bar_data.py
+20 -27
View File
@@ -15,7 +15,6 @@
from nose_parameterized import parameterized
import numpy as np
import pandas as pd
from toolz import merge
from zipline._protocol import handle_non_market_minutes
from zipline.protocol import BarData
@@ -109,32 +108,26 @@ class TestMinuteBarData(WithBarDataChecks,
# asset2 has trades every 10 minutes
# split_asset trades every minute
# illiquid_split_asset trades every 10 minutes
return merge(
{
sid: create_minute_df_for_asset(
cls.env,
cls.bcolz_minute_bar_days[0],
cls.bcolz_minute_bar_days[-1],
)
for sid in (1, cls.SPLIT_ASSET_SID)
},
{
sid: create_minute_df_for_asset(
cls.env,
cls.bcolz_minute_bar_days[0],
cls.bcolz_minute_bar_days[-1],
10,
)
for sid in (2, cls.ILLIQUID_SPLIT_ASSET_SID)
},
{
cls.HILARIOUSLY_ILLIQUID_ASSET_SID: create_minute_df_for_asset(
cls.env,
cls.bcolz_minute_bar_days[0],
cls.bcolz_minute_bar_days[-1],
50,
)
},
for sid in (1, cls.SPLIT_ASSET_SID):
yield sid, create_minute_df_for_asset(
cls.env,
cls.bcolz_minute_bar_days[0],
cls.bcolz_minute_bar_days[-1],
)
for sid in (2, cls.ILLIQUID_SPLIT_ASSET_SID):
yield sid, create_minute_df_for_asset(
cls.env,
cls.bcolz_minute_bar_days[0],
cls.bcolz_minute_bar_days[-1],
10,
)
yield cls.HILARIOUSLY_ILLIQUID_ASSET_SID, create_minute_df_for_asset(
cls.env,
cls.bcolz_minute_bar_days[0],
cls.bcolz_minute_bar_days[-1],
50,
)
@classmethod