# # 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 datetime import timedelta import os from unittest import TestCase from numpy import nan from numpy.testing import assert_almost_equal from pandas import ( DataFrame, DatetimeIndex, Timestamp, ) from testfixtures import TempDirectory from zipline.data.minute_bars import ( BcolzMinuteBarWriter, BcolzMinuteBarReader, BcolzMinuteOverlappingData, US_EQUITIES_MINUTES_PER_DAY, ) from zipline.finance.trading import TradingEnvironment TEST_CALENDAR_START = Timestamp('2015-06-01', tz='UTC') TEST_CALENDAR_STOP = Timestamp('2015-06-30', tz='UTC') class BcolzMinuteBarTestCase(TestCase): @classmethod def setUpClass(cls): cls.env = TradingEnvironment() all_market_opens = cls.env.open_and_closes.market_open indexer = all_market_opens.index.slice_indexer( start=TEST_CALENDAR_START, end=TEST_CALENDAR_STOP ) cls.market_opens = all_market_opens[indexer] cls.test_calendar_start = cls.market_opens.index[0] cls.test_calendar_stop = cls.market_opens.index[-1] def setUp(self): self.dir_ = TempDirectory() self.dir_.create() self.dest = self.dir_.getpath('minute_bars') os.makedirs(self.dest) self.writer = BcolzMinuteBarWriter( TEST_CALENDAR_START, self.dest, self.market_opens, US_EQUITIES_MINUTES_PER_DAY, ) self.reader = BcolzMinuteBarReader(self.dest) def tearDown(self): self.dir_.cleanup() def test_write_one_ohlcv(self): minute = self.market_opens[self.test_calendar_start] sid = 1 data = DataFrame( data={ 'open': [10.0], 'high': [20.0], 'low': [30.0], 'close': [40.0], 'volume': [50.0] }, index=[minute]) self.writer.write(sid, data) open_price = self.reader.get_value(sid, minute, 'open') self.assertEquals(10.0, open_price) high_price = self.reader.get_value(sid, minute, 'high') self.assertEquals(20.0, high_price) low_price = self.reader.get_value(sid, minute, 'low') self.assertEquals(30.0, low_price) close_price = self.reader.get_value(sid, minute, 'close') self.assertEquals(40.0, close_price) volume_price = self.reader.get_value(sid, minute, 'volume') self.assertEquals(50.0, volume_price) def test_write_two_bars(self): minute_0 = self.market_opens[self.test_calendar_start] minute_1 = minute_0 + timedelta(minutes=1) sid = 1 data = DataFrame( data={ 'open': [10.0, 11.0], 'high': [20.0, 21.0], 'low': [30.0, 31.0], 'close': [40.0, 41.0], 'volume': [50.0, 51.0] }, index=[minute_0, minute_1]) self.writer.write(sid, data) open_price = self.reader.get_value(sid, minute_0, 'open') self.assertEquals(10.0, open_price) high_price = self.reader.get_value(sid, minute_0, 'high') self.assertEquals(20.0, high_price) low_price = self.reader.get_value(sid, minute_0, 'low') self.assertEquals(30.0, low_price) close_price = self.reader.get_value(sid, minute_0, 'close') self.assertEquals(40.0, close_price) volume_price = self.reader.get_value(sid, minute_0, 'volume') self.assertEquals(50.0, volume_price) open_price = self.reader.get_value(sid, minute_1, 'open') self.assertEquals(11.0, open_price) high_price = self.reader.get_value(sid, minute_1, 'high') self.assertEquals(21.0, high_price) low_price = self.reader.get_value(sid, minute_1, 'low') self.assertEquals(31.0, low_price) close_price = self.reader.get_value(sid, minute_1, 'close') self.assertEquals(41.0, close_price) volume_price = self.reader.get_value(sid, minute_1, 'volume') self.assertEquals(51.0, volume_price) def test_write_on_second_day(self): second_day = self.test_calendar_start + 1 minute = self.market_opens[second_day] sid = 1 data = DataFrame( data={ 'open': [10.0], 'high': [20.0], 'low': [30.0], 'close': [40.0], 'volume': [50.0] }, index=[minute]) self.writer.write(sid, data) open_price = self.reader.get_value(sid, minute, 'open') self.assertEquals(10.0, open_price) high_price = self.reader.get_value(sid, minute, 'high') self.assertEquals(20.0, high_price) low_price = self.reader.get_value(sid, minute, 'low') self.assertEquals(30.0, low_price) close_price = self.reader.get_value(sid, minute, 'close') self.assertEquals(40.0, close_price) volume_price = self.reader.get_value(sid, minute, 'volume') self.assertEquals(50.0, volume_price) def test_write_empty(self): minute = self.market_opens[self.test_calendar_start] sid = 1 data = DataFrame( data={ 'open': [0], 'high': [0], 'low': [0], 'close': [0], 'volume': [0] }, index=[minute]) self.writer.write(sid, data) open_price = self.reader.get_value(sid, minute, 'open') assert_almost_equal(nan, open_price) high_price = self.reader.get_value(sid, minute, 'high') assert_almost_equal(nan, high_price) low_price = self.reader.get_value(sid, minute, 'low') assert_almost_equal(nan, low_price) close_price = self.reader.get_value(sid, minute, 'close') assert_almost_equal(nan, close_price) volume_price = self.reader.get_value(sid, minute, 'volume') assert_almost_equal(0, volume_price) def test_write_on_multiple_days(self): tds = self.market_opens.index days = tds[tds.slice_indexer( start=self.test_calendar_start + 1, end=self.test_calendar_start + 3 )] minutes = DatetimeIndex([ self.market_opens[days[0]] + timedelta(minutes=60), self.market_opens[days[1]] + timedelta(minutes=120), ]) sid = 1 data = DataFrame( data={ 'open': [10.0, 11.0], 'high': [20.0, 21.0], 'low': [30.0, 31.0], 'close': [40.0, 41.0], 'volume': [50.0, 51.0] }, index=minutes) self.writer.write(sid, data) minute = minutes[0] open_price = self.reader.get_value(sid, minute, 'open') self.assertEquals(10.0, open_price) high_price = self.reader.get_value(sid, minute, 'high') self.assertEquals(20.0, high_price) low_price = self.reader.get_value(sid, minute, 'low') self.assertEquals(30.0, low_price) close_price = self.reader.get_value(sid, minute, 'close') self.assertEquals(40.0, close_price) volume_price = self.reader.get_value(sid, minute, 'volume') self.assertEquals(50.0, volume_price) minute = minutes[1] open_price = self.reader.get_value(sid, minute, 'open') self.assertEquals(11.0, open_price) high_price = self.reader.get_value(sid, minute, 'high') self.assertEquals(21.0, high_price) low_price = self.reader.get_value(sid, minute, 'low') self.assertEquals(31.0, low_price) close_price = self.reader.get_value(sid, minute, 'close') self.assertEquals(41.0, close_price) volume_price = self.reader.get_value(sid, minute, 'volume') self.assertEquals(51.0, volume_price) def test_no_overwrite(self): minute = self.market_opens[TEST_CALENDAR_START] sid = 1 data = DataFrame( data={ 'open': [10.0], 'high': [20.0], 'low': [30.0], 'close': [40.0], 'volume': [50.0] }, index=[minute]) self.writer.write(sid, data) with self.assertRaises(BcolzMinuteOverlappingData): self.writer.write(sid, data)