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3 Commits
Author SHA1 Message Date
Eddie Hebert 71a34bf7ac MAINT: Standardize reader get value methods. 
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.
 2016-08-24 12:46:36 -04:00
Eddie Hebert 4a017ef63b ENH: Session bar reader resampled from minute data 
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.
 2016-08-18 11:37:42 -04:00
Eddie Hebert d1f7a819fc TST: Share resample test cases. 
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`.
 2016-08-16 15:44:32 -04:00