Commit Graph

3 Commits

Author SHA1 Message Date
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
Eddie Hebert dd2c7db22d TST: Use sum for volume on daily data 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.
2016-08-05 14:24:14 -04:00