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Merge pull request #1377 from quantopian/isolate-global-calendar-state
MAINT: Isolate global calendar state.
This commit is contained in:
Scott Sanderson
@@ -10,95 +10,133 @@ from zipline.utils.calendars.exchange_calendar_bmf import BMFExchangeCalendar
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from zipline.utils.calendars.exchange_calendar_lse import LSEExchangeCalendar
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from zipline.utils.calendars.exchange_calendar_tsx import TSXExchangeCalendar
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_static_calendars = {}
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NYSE_CALENDAR_EXCHANGE_NAMES = frozenset([
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"NYSE",
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"NASDAQ",
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"BATS",
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])
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CME_CALENDAR_EXCHANGE_NAMES = frozenset([
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"CBOT",
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"CME",
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"COMEX",
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"NYMEX",
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])
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ICE_CALENDAR_EXCHANGE_NAMES = frozenset([
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"ICEUS",
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"NYFE",
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])
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CFE_CALENDAR_EXCHANGE_NAMES = frozenset(["CFE"])
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BMF_CALENDAR_EXCHANGE_NAMES = frozenset(["BMF"])
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LSE_CALENDAR_EXCHANGE_NAMES = frozenset(["LSE"])
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TSX_CALENDAR_EXCHANGE_NAMES = frozenset(["TSX"])
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_default_calendar_factories = {
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NYSE_CALENDAR_EXCHANGE_NAMES: NYSEExchangeCalendar,
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CME_CALENDAR_EXCHANGE_NAMES: CMEExchangeCalendar,
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ICE_CALENDAR_EXCHANGE_NAMES: ICEExchangeCalendar,
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CFE_CALENDAR_EXCHANGE_NAMES: CFEExchangeCalendar,
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BMF_CALENDAR_EXCHANGE_NAMES: BMFExchangeCalendar,
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LSE_CALENDAR_EXCHANGE_NAMES: LSEExchangeCalendar,
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TSX_CALENDAR_EXCHANGE_NAMES: TSXExchangeCalendar,
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}
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def get_calendar(name):
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class TradingCalendarDispatcher(object):
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"""
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Retrieves an instance of an TradingCalendar whose name is given.
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A class for dispatching and caching trading calendars.
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Parameters
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----------
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name : str
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The name of the TradingCalendar to be retrieved.
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Returns
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-------
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TradingCalendar
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The desired calendar.
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Methods of a global instance of this class are provided by
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zipline.utils.calendar_utils.
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"""
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if name not in _static_calendars:
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if name in ["NYSE", "NASDAQ", "BATS"]:
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cal = NYSEExchangeCalendar()
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elif name in ["CME", "CBOT", "COMEX", "NYMEX"]:
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cal = CMEExchangeCalendar()
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elif name in ["ICEUS", "NYFE"]:
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cal = ICEExchangeCalendar()
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elif name == "CFE":
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cal = CFEExchangeCalendar()
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elif name == 'BMF':
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cal = BMFExchangeCalendar()
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elif name == 'LSE':
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cal = LSEExchangeCalendar()
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elif name == 'TSX':
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cal = TSXExchangeCalendar()
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def __init__(self, calendar_factories):
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self._calendars = {}
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self._calendar_factories = calendar_factories
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else:
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raise InvalidCalendarName(calendar_name=name)
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def get_calendar(self, name):
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"""
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Retrieves an instance of an TradingCalendar whose name is given.
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register_calendar(name, cal)
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Parameters
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----------
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name : str
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The name of the TradingCalendar to be retrieved.
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return _static_calendars[name]
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Returns
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-------
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TradingCalendar
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The desired calendar.
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"""
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try:
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return self._calendars[name]
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except KeyError:
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pass
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for names, factory in self._calendar_factories.items():
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if name in names:
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# Use the same calendar for all exchanges that share the same
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# factory.
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calendar = factory()
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self._calendars.update({n: calendar for n in names})
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return calendar
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raise InvalidCalendarName(calendar_name=name)
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def register_calendar(self, name, calendar, force=False):
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"""
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Registers a calendar for retrieval by the get_calendar method.
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Parameters
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----------
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name: str
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The key with which to register this calendar.
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calendar: TradingCalendar
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The calendar to be registered for retrieval.
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force : bool, optional
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If True, old calendars will be overwritten on a name collision.
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If False, name collisions will raise an exception. Default: False.
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Raises
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------
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CalendarNameCollision
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If a calendar is already registered with the given calendar's name.
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"""
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# If we are forcing the registration, remove an existing calendar with
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# the same name.
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if force:
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self.deregister_calendar(name)
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if name in self._calendars:
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raise CalendarNameCollision(calendar_name=name)
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self._calendars[name] = calendar
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def deregister_calendar(self, name):
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"""
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If a calendar is registered with the given name, it is de-registered.
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Parameters
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----------
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cal_name : str
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The name of the calendar to be deregistered.
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"""
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self._calendars.pop(name, None)
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def clear_calendars(self):
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"""
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Deregisters all current registered calendars
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"""
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self._calendars.clear()
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def deregister_calendar(cal_name):
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"""
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If a calendar is registered with the given name, it is de-registered.
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# We maintain a global calendar dispatcher so that users can just do
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# `register_calendar('my_calendar', calendar) and then use `get_calendar`
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# without having to thread around a dispatcher.
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global_calendar_dispatcher = TradingCalendarDispatcher(
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_default_calendar_factories
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)
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Parameters
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----------
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cal_name : str
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The name of the calendar to be deregistered.
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"""
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try:
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_static_calendars.pop(cal_name)
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except KeyError:
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pass
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def clear_calendars():
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"""
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Deregisters all current registered calendars
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"""
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_static_calendars.clear()
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def register_calendar(name, calendar, force=False):
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"""
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Registers a calendar for retrieval by the get_calendar method.
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Parameters
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----------
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name: str
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The key with which to register this calendar.
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calendar: TradingCalendar
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The calendar to be registered for retrieval.
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force : bool, optional
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If True, old calendars will be overwritten on a name collision.
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If False, name collisions will raise an exception. Default: False.
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Raises
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------
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CalendarNameCollision
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If a calendar is already registered with the given calendar's name.
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"""
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# If we are forcing the registration, remove an existing calendar with the
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# same name.
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if force:
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deregister_calendar(name)
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# Check if we are already holding a calendar with the same name
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if name in _static_calendars:
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raise CalendarNameCollision(calendar_name=name)
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_static_calendars[name] = calendar
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get_calendar = global_calendar_dispatcher.get_calendar
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clear_calendars = global_calendar_dispatcher.clear_calendars
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deregister_calendar = global_calendar_dispatcher.deregister_calendar
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register_calendar = global_calendar_dispatcher.register_calendar
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