catalyst

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Commit Graph

Author	SHA1	Message	Date
Eddie Hebert	a3c1f4ce36	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	f14fcd9b07	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	9685f3077a	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

Author

SHA1

Message

Date

Eddie Hebert

a3c1f4ce36

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

f14fcd9b07

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

9685f3077a

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

3 Commits