Working towards history results which contain mixed asset types, add
a reader which makes `load_raw_arrays` return results indexed on the
session/minute ranges specified by the specified `trading_calendar`
instead of the calendar of the backing reader.
This reader will be used to make Equity readers align with Future
readers. It is intended for use as part of another reader (which will
dispatch queries based on asset type and then recombined results) which
will be passed to the `[Minute|Session]HistoryLoaders in the data portal.
The daily/session bar reader's `spot_price` took the same parameters and
returned the same kind of output as the minute bar reader's `get_value`.
Standardize on one method to make a common interface, which may be
formally factored out in a later patch; to help enable writing reader
implementations or mixins which can be agnostic to the bar frequency.
Implement a `SessionBarReader` which uses a minute bar reader as a
backing source, resampling the minute bars into the box around the
corresponding session data.
Also, add future/CME test cases to resample suite.
Also, move `DailyHistoryAggregator` to `resample` module, so that tools
for converting from minute to session bars are collocated.
This patch is in preparation of adding a daily bar reader which
resamples minute data, which will be located in the `resample` module
and share the test cases and expected results in `test_resample`.
Change the mock minute data to no longer use an increasing arange, so
that a days worth of minute data can be summed and fit inside of a
uint32.
This change was required because of working on new test data that looked
like [0, 100, 200, 0, ] which was resulting in a daily rollup of 0 data,
when the coverage needed a non-0 value.
Also, factor out the resampling function, with an eye on a making it
easier to convert from minute bars to daily bars during ingest/load
processes.
Eddie Hebert