Refactor AlgorithmSimulator so that DAY_END is emitted for both
minute and daily emission, and that handling of end-of-minute
and end-of-day are separated
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.
Previously, whenever we try to access a missing value on the Positions
dict, we return a default Position and save it to the dict. Instead,
just return the Position
Changes BcolzDailyBarWriter to not be an abc, data is passed as an
iterator of (sid, dataframe) pairs to the write method.
Changes the AssetsDBWriter to be a single class which accepts an engine
at construction time and has a `write` method for writing dataframes for
the various tables. We no longer support writing the various other data
types, callers should coerce their data into a dataframe themselves. See
zipline.assets.synthetic for some helpers to do this.
Adds many new fixtures and updates some existing fixtures to use the new
ones:
WithDefaultDateBounds
A fixture that provides the suite a START_DATE and END_DATE. This is
meant to make it easy for other fixtures to synchronize their date
ranges without depending on eachother in strange ways. For example,
WithBcolzMinuteBarReader and WithBcolzDailyBarReader by default should
both have data for the same dates, so they may use depend on
WithDefaultDates without forcing a dependency between them.
WithTmpDir, WithInstanceTmpDir
Provides the suite or individual test case a temporary directory.
WithBcolzDailyBarReader
Provides the suite a BcolzDailyBarReader which reads from bcolz data
written to a temporary directory. The data will be read from
dataframes and then converted to bcolz files with
BcolzDailyBarWriter.write
WithBcolzDailyBarReaderFromCSVs
Provides the suite a BcolzDailyBarReader which reads from bcolz data
written to a temporary directory. The data will be read from a
collection of CSV files and then converted into the bcolz data through
BcolzDailyBarWriter.write_csvs
WithBcolzMinuteBarReader
Provides the suite a BcolzMinuteBarReader which reads from bcolz data
written to a temporary directory. The data will be read from
dataframes and then converted to bcolz files with
BcolzMinuteBarWriter.write
WithAdjustmentReader
Provides the suite a SQLiteAdjustmentReader which reads from an in
memory sqlite database. The data will be read from dataframes and then
converted into sqlite with SQLiteAdjustmentWriter.write
WithDataPortal
Provides each test case a DataPortal object with data from temporary
resources.
Renames zipline.utils.test_utils to zipline.testing
Adds zipline.testing.fixtures.ZiplineTestCase to manage setup and
teardown and adds mixins to define fixtures like an asset finder or
trading calendar.
Previously we have capitalized input strings at different levels in
our code: in the user-facing API methods and in the asset finder.
This commit moves input string capitalization exclusively to the API
method to which the string was supplied. Specifically, the string is
capitalized by a preprocess API method decorator. The preprocess
decorator passes the input string to the newly defined
ensure_upper_case() method, which returns a TypeError if the argument
supplied is not a string.
ensure_upper_case() is defined in a new file, zipline/utils/input_validation.py.
The existing expect_types() method is also moved there.
Various tests in tests/test_assets.py are modified to account for the
fact that the asset finder method lookup_symol() no longer capitalizes
its supplied argument.
'instant fill' execution may be on the path to deprecation, (the removal
is currently proposed by the branch which removes events in favor of
operating over dts.), so remove instant_fill from the close position
tests so that the input and output is the same between the proposed
branch and here.
(This was one of the few places where instant fill was used that
was not testing instant fill behavior explicitly, so may be better to
align this test with the rest of the suite.)
Also, change test methods to make it more clear on which day the values
the expected and actual results differed.
lookup_symbol_resolve_multiple was identical to lookup_symbol, except that lookup_symbol performed upper-casing of the input string and lookup_symbol would return Nones. Now, lookup_symbol has a kwarg 'default_None=True' and all symbols are upper-cased on insertion and request.
This commit removes the ability to reference a shared TradingEnvironment through the zipline.finance.trading module. In place, the classes that require a TradingEnvironment, or its child AssetFinder, contain their own references to those objects.
This commit also adds serialization utilities that allow for the pickling/unpickling of objects without unintentionally their TradingEnvironments or AssetFinders.
Jean Bredeche