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.
Adds a new ``downsample`` method to all computable terms. Computable
terms (Filters, Factors, and Classifiers) can be downsampled to yearly,
quarterly, monthly, or weekly frequency.
The result of ``term.downsample`` is a new term of the same
family (Filter/Factor/Classifier) as ``term``. The downsampled term
computes by delegating to the original term; repeatedly calling its
``compute`` method with length-1 date ranges.
Downsampled terms take advantage of a new ``compute_extra_rows`` Term
method, which allows terms to dynamically request that additional extra
rows of themselves be computed based on the dates for which they're
being computed. This ensures, for example, that a monthly-downsampled
term always computes at the start of a month, even when a
naively-calculated pipeline window would end in the middle of the month.
- Split out extra_rows handling into an `ExecutionPlan` subclass.
`ExecutionPlan` now requires the dates and calendar against which a
set of terms will be computed, and now defers to a term's
`compute_extra_rows` method when deciding how many extra rows are
required to compute for that term. This will allow downsampled terms
to request enough extra rows to guarantee that we can maintain consistent
calculation dates.
As a consequence of the above, `TermGraph` now only deals with logical
dependencies, not with metadata surrounding extra row calculations.
This means that TermGraph can be used to generate dependency
visualizations in interactive contexts where we don't yet have a
calendar or start/end dates.
- Refactored test_{filter,factor,classifier} to use check_terms instead
of run_graph. This makes it easier to make changes to TermGraph,
since the testing interface is now to simply provide a dict of terms.
- Refactored BasePipelineTestCase to use fixtures to create an asset
finder. This fixes a potential leak of the test's asset db, which was
not being explicitly cleaned up.
- Refactored test_technical to use BasePipelineTestCase.
- Added a new special term, `InputDates()`, which can be used to request
date labels for inputs. Like `AssetExists`, `InputDates` is provided
in the initial workspace by default.
- Added a default (failing) `_compute` method to `AssetExists` which
provides a more useful error than AttributeError.
Replace `DailyBarReader` with `SessionBarReader`.
This was intended to go with the patch that added the `SessionBarReader`
abstract base class.
Also, added `trading_calendar` property decorator.
* MAINT: Use TradingCalendar objects for bundles
Instead of trading days, opens, and closes, register now takes a
TradingCalendar object, along with a start_session and end_session. The
ingest function is now passed these values instead as well.
* Accept calendar name in addition to the actual object
* Updates bundles documentation for changes
* Fix typo in docs
* Use class formatting
* Force start_session and end_session within the bounds of the calendar
* Use UTC timestamps in test_core
* Document Trading Calendar API in appendix.rst
In preparation for making a resampling session bar reader, make an
abstract base class with the methods currently used by consumers of the
reader; which should assist in making a drop-in replacement of the daily
bar reader.
While pulling out the interface, it does appear that `spot_price` and
the minute bar reader's `get_value` are the same method but by different
names, showing that there may be room for having both `MinuteBarReader`
and `SessionBarReader` sharing a common `BarReader` interface.
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`.
* BUG: Fixes asset writer to the select the latest asset to hold a sid
When constructing the asset_info dataframe, we were previously taking
the first symbol/sid pair to include, when we should be taking the most
recent.
* Ensure groups are sorted by increasing end_date
* Updates test_lookup_symbol_change_ticker to also cover asset_name
Scott Sanderson