# # Copyright 2016 Quantopian, Inc. # # Licensed under the Apache License, Version 2.0 (the "License"); # you may not use this file except in compliance with the License. # You may obtain a copy of the License at # # http://www.apache.org/licenses/LICENSE-2.0 # # Unless required by applicable law or agreed to in writing, software # distributed under the License is distributed on an "AS IS" BASIS, # WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. # See the License for the specific language governing permissions and # limitations under the License. from itertools import permutations, product import numpy as np import pandas as pd from catalyst.data.us_equity_pricing import PanelBarReader from catalyst.testing import ExplodingObject from catalyst.testing.fixtures import ( WithAssetFinder, ZiplineTestCase, ) from catalyst.utils.calendars import get_calendar class WithPanelBarReader(WithAssetFinder): @classmethod def init_class_fixtures(cls): super(WithPanelBarReader, cls).init_class_fixtures() finder = cls.asset_finder trading_calendar = get_calendar('NYSE') items = finder.retrieve_all(finder.sids) major_axis = ( trading_calendar.sessions_in_range if cls.FREQUENCY == 'daily' else trading_calendar.minutes_for_sessions_in_range )(cls.START_DATE, cls.END_DATE) minor_axis = ['open', 'high', 'low', 'close', 'volume'] shape = tuple(map(len, [items, major_axis, minor_axis])) raw_data = np.arange(shape[0] * shape[1] * shape[2]).reshape(shape) cls.panel = pd.Panel( raw_data, items=items, major_axis=major_axis, minor_axis=minor_axis, ) cls.reader = PanelBarReader(trading_calendar, cls.panel, cls.FREQUENCY) def test_get_value(self): panel = self.panel reader = self.reader for asset, date, field in product(*panel.axes): self.assertEqual( panel.loc[asset, date, field], reader.get_value(asset, date, field), ) def test_duplicate_values(self): UNIMPORTANT_VALUE = 57 panel = pd.Panel( UNIMPORTANT_VALUE, items=['a', 'b', 'b', 'a'], major_axis=['c'], minor_axis=['d'], ) unused = ExplodingObject() axis_names = ['items', 'major_axis', 'minor_axis'] for axis_order in permutations((0, 1, 2)): transposed = panel.transpose(*axis_order) with self.assertRaises(ValueError) as e: PanelBarReader(unused, transposed, 'daily') expected = ( "Duplicate entries in Panel.{name}: ['a', 'b'].".format( name=axis_names[axis_order.index(0)], ) ) self.assertEqual(str(e.exception), expected) def test_sessions(self): sessions = self.reader.sessions self.assertEqual(self.NUM_SESSIONS, len(sessions)) self.assertEqual(self.START_DATE, sessions[0]) self.assertEqual(self.END_DATE, sessions[-1]) class TestPanelDailyBarReader(WithPanelBarReader, ZiplineTestCase): FREQUENCY = 'daily' START_DATE = pd.Timestamp('2006-01-03', tz='utc') END_DATE = pd.Timestamp('2006-02-01', tz='utc') NUM_SESSIONS = 21 class TestPanelMinuteBarReader(WithPanelBarReader, ZiplineTestCase): FREQUENCY = 'minute' START_DATE = pd.Timestamp('2015-12-23', tz='utc') END_DATE = pd.Timestamp('2015-12-24', tz='utc') NUM_SESSIONS = 2