# 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. import json import os import shutil from glob import glob from os.path import join from textwrap import dedent from lru import LRU import bcolz from bcolz import ctable from intervaltree import IntervalTree import logbook import numpy as np import pandas as pd from toolz import keymap, valmap from zipline.data._minute_bar_internal import ( minute_value, find_position_of_minute, find_last_traded_position_internal ) from zipline.gens.sim_engine import NANOS_IN_MINUTE from zipline.data.bar_reader import BarReader, NoDataOnDate from zipline.utils.calendars import get_calendar from zipline.utils.cli import maybe_show_progress from zipline.utils.memoize import lazyval logger = logbook.Logger('MinuteBars') US_EQUITIES_MINUTES_PER_DAY = 390 FUTURES_MINUTES_PER_DAY = 1440 DEFAULT_EXPECTEDLEN = US_EQUITIES_MINUTES_PER_DAY * 252 * 15 OHLC_RATIO = 1000 class BcolzMinuteOverlappingData(Exception): pass class BcolzMinuteWriterColumnMismatch(Exception): pass class MinuteBarReader(BarReader): @property def data_frequency(self): return "minute" def _calc_minute_index(market_opens, minutes_per_day): minutes = np.zeros(len(market_opens) * minutes_per_day, dtype='datetime64[ns]') deltas = np.arange(0, minutes_per_day, dtype='timedelta64[m]') for i, market_open in enumerate(market_opens): start = market_open.asm8 minute_values = start + deltas start_ix = minutes_per_day * i end_ix = start_ix + minutes_per_day minutes[start_ix:end_ix] = minute_values return pd.to_datetime(minutes, utc=True, box=True) def _sid_subdir_path(sid): """ Format subdir path to limit the number directories in any given subdirectory to 100. The number in each directory is designed to support at least 100000 equities. Parameters: ----------- sid : int Asset identifier. Returns: -------- out : string A path for the bcolz rootdir, including subdirectory prefixes based on the padded string representation of the given sid. e.g. 1 is formatted as 00/00/000001.bcolz """ padded_sid = format(sid, '06') return os.path.join( # subdir 1 00/XX padded_sid[0:2], # subdir 2 XX/00 padded_sid[2:4], "{0}.bcolz".format(str(padded_sid)) ) class BcolzMinuteBarMetadata(object): """ Parameters ---------- ohlc_ratio : int The factor by which the pricing data is multiplied so that the float data can be stored as an integer. calendar : zipline.utils.calendars.trading_calendar.TradingCalendar The TradingCalendar on which the minute bars are based. start_session : datetime The first trading session in the data set. end_session : datetime The last trading session in the data set. minutes_per_day : int The number of minutes per each period. """ FORMAT_VERSION = 3 METADATA_FILENAME = 'metadata.json' @classmethod def metadata_path(cls, rootdir): return os.path.join(rootdir, cls.METADATA_FILENAME) @classmethod def read(cls, rootdir): path = cls.metadata_path(rootdir) with open(path) as fp: raw_data = json.load(fp) try: version = raw_data['version'] except KeyError: # Version was first written with version 1, assume 0, # if version does not match. version = 0 default_ohlc_ratio = raw_data['ohlc_ratio'] if version >= 1: minutes_per_day = raw_data['minutes_per_day'] else: # version 0 always assumed US equities. minutes_per_day = US_EQUITIES_MINUTES_PER_DAY if version >= 2: calendar = get_calendar(raw_data['calendar_name']) start_session = pd.Timestamp( raw_data['start_session'], tz='UTC') end_session = pd.Timestamp(raw_data['end_session'], tz='UTC') else: # No calendar info included in older versions, so # default to NYSE. calendar = get_calendar('NYSE') start_session = pd.Timestamp( raw_data['first_trading_day'], tz='UTC') end_session = calendar.minute_to_session_label( pd.Timestamp( raw_data['market_closes'][-1], unit='m', tz='UTC') ) if version >= 3: ohlc_ratios_per_sid = raw_data['ohlc_ratios_per_sid'] if ohlc_ratios_per_sid is not None: ohlc_ratios_per_sid = keymap(int, ohlc_ratios_per_sid) else: ohlc_ratios_per_sid = None return cls( default_ohlc_ratio, ohlc_ratios_per_sid, calendar, start_session, end_session, minutes_per_day, version=version, ) def __init__( self, default_ohlc_ratio, ohlc_ratios_per_sid, calendar, start_session, end_session, minutes_per_day, version=FORMAT_VERSION, ): self.calendar = calendar self.start_session = start_session self.end_session = end_session self.default_ohlc_ratio = default_ohlc_ratio self.ohlc_ratios_per_sid = ohlc_ratios_per_sid self.minutes_per_day = minutes_per_day self.version = version def write(self, rootdir): """ Write the metadata to a JSON file in the rootdir. Values contained in the metadata are: version : int The value of FORMAT_VERSION of this class. ohlc_ratio : int The default ratio by which to multiply the pricing data to convert the floats from floats to an integer to fit within the np.uint32. If ohlc_ratios_per_sid is None or does not contain a mapping for a given sid, this ratio is used. ohlc_ratios_per_sid : dict A dict mapping each sid in the output to the factor by which the pricing data is multiplied so that the float data can be stored as an integer. minutes_per_day : int The number of minutes per each period. calendar_name : str The name of the TradingCalendar on which the minute bars are based. start_session : datetime 'YYYY-MM-DD' formatted representation of the first trading session in the data set. end_session : datetime 'YYYY-MM-DD' formatted representation of the last trading session in the data set. Deprecated, but included for backwards compatibility: first_trading_day : string 'YYYY-MM-DD' formatted representation of the first trading day available in the dataset. market_opens : list List of int64 values representing UTC market opens as minutes since epoch. market_closes : list List of int64 values representing UTC market closes as minutes since epoch. """ calendar = self.calendar slicer = calendar.schedule.index.slice_indexer( self.start_session, self.end_session, ) schedule = calendar.schedule[slicer] market_opens = schedule.market_open market_closes = schedule.market_close metadata = { 'version': self.version, 'ohlc_ratio': self.default_ohlc_ratio, 'ohlc_ratios_per_sid': self.ohlc_ratios_per_sid, 'minutes_per_day': self.minutes_per_day, 'calendar_name': self.calendar.name, 'start_session': str(self.start_session.date()), 'end_session': str(self.end_session.date()), # Write these values for backwards compatibility 'first_trading_day': str(self.start_session.date()), 'market_opens': ( market_opens.values.astype('datetime64[m]'). astype(np.int64).tolist()), 'market_closes': ( market_closes.values.astype('datetime64[m]'). astype(np.int64).tolist()), } with open(self.metadata_path(rootdir), 'w+') as fp: json.dump(metadata, fp) class BcolzMinuteBarWriter(object): """ Class capable of writing minute OHLCV data to disk into bcolz format. Parameters ---------- rootdir : string Path to the root directory into which to write the metadata and bcolz subdirectories. calendar : zipline.utils.calendars.trading_calendar.TradingCalendar The trading calendar on which to base the minute bars. Used to get the market opens used as a starting point for each periodic span of minutes in the index, and the market closes that correspond with the market opens. minutes_per_day : int The number of minutes per each period. Defaults to 390, the mode of minutes in NYSE trading days. start_session : datetime The first trading session in the data set. end_session : datetime The last trading session in the data set. default_ohlc_ratio : int, optional The default ratio by which to multiply the pricing data to convert from floats to integers that fit within np.uint32. If ohlc_ratios_per_sid is None or does not contain a mapping for a given sid, this ratio is used. Default is OHLC_RATIO (1000). ohlc_ratios_per_sid : dict, optional A dict mapping each sid in the output to the ratio by which to multiply the pricing data to convert the floats from floats to an integer to fit within the np.uint32. expectedlen : int, optional The expected length of the dataset, used when creating the initial bcolz ctable. If the expectedlen is not used, the chunksize and corresponding compression ratios are not ideal. Defaults to supporting 15 years of NYSE equity market data. see: http://bcolz.blosc.org/opt-tips.html#informing-about-the-length-of-your-carrays # noqa write_metadata : bool, optional If True, writes the minute bar metadata (on init of the writer). If False, no metadata is written (existing metadata is retained). Default is True. Notes ----- Writes a bcolz directory for each individual sid, all contained within a root directory which also contains metadata about the entire dataset. Each individual asset's data is stored as a bcolz table with a column for each pricing field: (open, high, low, close, volume) The open, high, low, and close columns are integers which are 1000 times the quoted price, so that the data can represented and stored as an np.uint32, supporting market prices quoted up to the thousands place. volume is a np.uint32 with no mutation of the tens place. The 'index' for each individual asset are a repeating period of minutes of length `minutes_per_day` starting from each market open. The file format does not account for half-days. e.g.: 2016-01-19 14:31 2016-01-19 14:32 ... 2016-01-19 20:59 2016-01-19 21:00 2016-01-20 14:31 2016-01-20 14:32 ... 2016-01-20 20:59 2016-01-20 21:00 All assets are written with a common 'index', sharing a common first trading day. Assets that do not begin trading until after the first trading day will have zeros for all pricing data up and until data is traded. 'index' is in quotations, because bcolz does not provide an index. The format allows index-like behavior by writing each minute's data into the corresponding position of the enumeration of the aforementioned datetime index. The datetimes which correspond to each position are written in the metadata as integer nanoseconds since the epoch into the `minute_index` key. See Also -------- zipline.data.minute_bars.BcolzMinuteBarReader """ COL_NAMES = ('open', 'high', 'low', 'close', 'volume') def __init__(self, rootdir, calendar, start_session, end_session, minutes_per_day, default_ohlc_ratio=OHLC_RATIO, ohlc_ratios_per_sid=None, expectedlen=DEFAULT_EXPECTEDLEN, write_metadata=True): self._rootdir = rootdir self._start_session = start_session self._end_session = end_session self._calendar = calendar slicer = ( calendar.schedule.index.slice_indexer(start_session, end_session)) self._schedule = calendar.schedule[slicer] self._session_labels = self._schedule.index self._minutes_per_day = minutes_per_day self._expectedlen = expectedlen self._default_ohlc_ratio = default_ohlc_ratio self._ohlc_ratios_per_sid = ohlc_ratios_per_sid self._minute_index = _calc_minute_index( self._schedule.market_open, self._minutes_per_day) if write_metadata: metadata = BcolzMinuteBarMetadata( self._default_ohlc_ratio, self._ohlc_ratios_per_sid, self._calendar, self._start_session, self._end_session, self._minutes_per_day, ) metadata.write(self._rootdir) @property def first_trading_day(self): return self._start_session def ohlc_ratio_for_sid(self, sid): if self._ohlc_ratios_per_sid is not None: try: return self._ohlc_ratios_per_sid[sid] except KeyError: pass # If no ohlc_ratios_per_sid dict is passed, or if the specified # sid is not in the dict, fallback to the general ohlc_ratio. return self._default_ohlc_ratio def sidpath(self, sid): """ Parameters: ----------- sid : int Asset identifier. Returns: -------- out : string Full path to the bcolz rootdir for the given sid. """ sid_subdir = _sid_subdir_path(sid) return join(self._rootdir, sid_subdir) def last_date_in_output_for_sid(self, sid): """ Parameters: ----------- sid : int Asset identifier. Returns: -------- out : pd.Timestamp The midnight of the last date written in to the output for the given sid. """ sizes_path = "{0}/close/meta/sizes".format(self.sidpath(sid)) if not os.path.exists(sizes_path): return pd.NaT with open(sizes_path, mode='r') as f: sizes = f.read() data = json.loads(sizes) num_days = data['shape'][0] / self._minutes_per_day if num_days == 0: # empty container return pd.NaT return self._session_labels[num_days - 1] def _init_ctable(self, path): """ Create empty ctable for given path. Parameters: ----------- path : string The path to rootdir of the new ctable. """ # Only create the containing subdir on creation. # This is not to be confused with the `.bcolz` directory, but is the # directory up one level from the `.bcolz` directories. sid_containing_dirname = os.path.dirname(path) if not os.path.exists(sid_containing_dirname): # Other sids may have already created the containing directory. os.makedirs(sid_containing_dirname) initial_array = np.empty(0, np.uint32) table = ctable( rootdir=path, columns=[ initial_array, initial_array, initial_array, initial_array, initial_array, ], names=[ 'open', 'high', 'low', 'close', 'volume' ], expectedlen=self._expectedlen, mode='w', ) table.flush() return table def _ensure_ctable(self, sid): """Ensure that a ctable exists for ``sid``, then return it.""" sidpath = self.sidpath(sid) if not os.path.exists(sidpath): return self._init_ctable(sidpath) return bcolz.ctable(rootdir=sidpath, mode='a') def _zerofill(self, table, numdays): # Compute the number of minutes to be filled, accounting for the # possibility of a partial day's worth of minutes existing for # the previous day. minute_offset = len(table) % self._minutes_per_day num_to_prepend = numdays * self._minutes_per_day - minute_offset prepend_array = np.zeros(num_to_prepend, np.uint32) # Fill all OHLCV with zeros. table.append([prepend_array] * 5) table.flush() def pad(self, sid, date): """ Fill sid container with empty data through the specified date. If the last recorded trade is not at the close, then that day will be padded with zeros until its close. Any day after that (up to and including the specified date) will be padded with `minute_per_day` worth of zeros Parameters: ----------- sid : int The asset identifier for the data being written. date : datetime-like The date used to calculate how many slots to be pad. The padding is done through the date, i.e. after the padding is done the `last_date_in_output_for_sid` will be equal to `date` """ table = self._ensure_ctable(sid) last_date = self.last_date_in_output_for_sid(sid) tds = self._session_labels if date <= last_date or date < tds[0]: # No need to pad. return if last_date == pd.NaT: # If there is no data, determine how many days to add so that # desired days are written to the correct slots. days_to_zerofill = tds[tds.slice_indexer(end=date)] else: days_to_zerofill = tds[tds.slice_indexer( start=last_date + tds.freq, end=date)] self._zerofill(table, len(days_to_zerofill)) new_last_date = self.last_date_in_output_for_sid(sid) assert new_last_date == date, "new_last_date={0} != date={1}".format( new_last_date, date) def set_sid_attrs(self, sid, **kwargs): """Write all the supplied kwargs as attributes of the sid's file. """ table = self._ensure_ctable(sid) for k, v in kwargs.items(): table.attrs[k] = v def write(self, data, show_progress=False): """Write a stream of minute data. Parameters ---------- data : iterable[(int, pd.DataFrame)] The data to write. Each element should be a tuple of sid, data where data has the following format: columns : ('open', 'high', 'low', 'close', 'volume') open : float64 high : float64 low : float64 close : float64 volume : float64|int64 index : DatetimeIndex of market minutes. A given sid may appear more than once in ``data``; however, the dates must be strictly increasing. show_progress : bool, optional Whether or not to show a progress bar while writing. """ ctx = maybe_show_progress( data, show_progress=show_progress, item_show_func=lambda e: e if e is None else str(e[0]), label="Merging minute equity files:", ) write_sid = self.write_sid with ctx as it: for e in it: write_sid(*e) def write_sid(self, sid, df): """ Write the OHLCV data for the given sid. If there is no bcolz ctable yet created for the sid, create it. If the length of the bcolz ctable is not exactly to the date before the first day provided, fill the ctable with 0s up to that date. Parameters: ----------- sid : int The asset identifer for the data being written. df : pd.DataFrame DataFrame of market data with the following characteristics. columns : ('open', 'high', 'low', 'close', 'volume') open : float64 high : float64 low : float64 close : float64 volume : float64|int64 index : DatetimeIndex of market minutes. """ cols = { 'open': df.open.values, 'high': df.high.values, 'low': df.low.values, 'close': df.close.values, 'volume': df.volume.values, } dts = df.index.values # Call internal method, since DataFrame has already ensured matching # index and value lengths. self._write_cols(sid, dts, cols) def write_cols(self, sid, dts, cols): """ Write the OHLCV data for the given sid. If there is no bcolz ctable yet created for the sid, create it. If the length of the bcolz ctable is not exactly to the date before the first day provided, fill the ctable with 0s up to that date. Parameters: ----------- sid : int The asset identifier for the data being written. dts : datetime64 array The dts corresponding to values in cols. cols : dict of str -> np.array dict of market data with the following characteristics. keys are ('open', 'high', 'low', 'close', 'volume') open : float64 high : float64 low : float64 close : float64 volume : float64|int64 """ if not all(len(dts) == len(cols[name]) for name in self.COL_NAMES): raise BcolzMinuteWriterColumnMismatch( "Length of dts={0} should match cols: {1}".format( len(dts), " ".join("{0}={1}".format(name, len(cols[name])) for name in self.COL_NAMES))) self._write_cols(sid, dts, cols) def _write_cols(self, sid, dts, cols): """ Internal method for `write_cols` and `write`. Parameters: ----------- sid : int The asset identifier for the data being written. dts : datetime64 array The dts corresponding to values in cols. cols : dict of str -> np.array dict of market data with the following characteristics. keys are ('open', 'high', 'low', 'close', 'volume') open : float64 high : float64 low : float64 close : float64 volume : float64|int64 """ table = self._ensure_ctable(sid) tds = self._session_labels input_first_day = self._calendar.minute_to_session_label( pd.Timestamp(dts[0])) last_date = self.last_date_in_output_for_sid(sid) day_before_input = input_first_day - tds.freq self.pad(sid, day_before_input) table = self._ensure_ctable(sid) # Get the number of minutes already recorded in this sid's ctable num_rec_mins = table.size all_minutes = self._minute_index # Get the latest minute we wish to write to the ctable last_minute_to_write = pd.Timestamp(dts[-1], tz='UTC') # In the event that we've already written some minutely data to the # ctable, guard against overwriting that data. if num_rec_mins > 0: last_recorded_minute = all_minutes[num_rec_mins - 1] if last_minute_to_write <= last_recorded_minute: raise BcolzMinuteOverlappingData(dedent(""" Data with last_date={0} already includes input start={1} for sid={2}""".strip()).format(last_date, input_first_day, sid)) latest_min_count = all_minutes.get_loc(last_minute_to_write) # Get all the minutes we wish to write (all market minutes after the # latest currently written, up to and including last_minute_to_write) all_minutes_in_window = all_minutes[num_rec_mins:latest_min_count + 1] minutes_count = all_minutes_in_window.size open_col = np.zeros(minutes_count, dtype=np.uint32) high_col = np.zeros(minutes_count, dtype=np.uint32) low_col = np.zeros(minutes_count, dtype=np.uint32) close_col = np.zeros(minutes_count, dtype=np.uint32) vol_col = np.zeros(minutes_count, dtype=np.uint32) dt_ixs = np.searchsorted(all_minutes_in_window.values, dts.astype('datetime64[ns]')) ohlc_ratio = self.ohlc_ratio_for_sid(sid) def convert_col(col): """Adapt float column into a uint32 column. """ return (np.nan_to_num(col) * ohlc_ratio).astype(np.uint32) open_col[dt_ixs] = convert_col(cols['open']) high_col[dt_ixs] = convert_col(cols['high']) low_col[dt_ixs] = convert_col(cols['low']) close_col[dt_ixs] = convert_col(cols['close']) vol_col[dt_ixs] = cols['volume'].astype(np.uint32) table.append([ open_col, high_col, low_col, close_col, vol_col ]) table.flush() def data_len_for_day(self, day): """ Return the number of data points up to and including the provided day. """ day_ix = self._session_labels.get_loc(day) # Add one to the 0-indexed day_ix to get the number of days. num_days = day_ix + 1 return num_days * self._minutes_per_day def truncate(self, date): """Truncate data beyond this date in all ctables.""" truncate_slice_end = self.data_len_for_day(date) glob_path = os.path.join(self._rootdir, "*", "*", "*.bcolz") sid_paths = glob(glob_path) for sid_path in sid_paths: file_name = os.path.basename(sid_path) try: table = bcolz.open(rootdir=sid_path) except IOError: continue if table.len <= truncate_slice_end: logger.info("{0} not past truncate date={1}.", file_name, date) continue logger.info( "Truncting {0} back at end_date={1}", file_name, date.date() ) new_table = table[:truncate_slice_end] tmp_path = sid_path + '.bak' shutil.move(sid_path, tmp_path) try: bcolz.ctable(new_table, rootdir=sid_path) try: shutil.rmtree(tmp_path) except Exception as err: logger.info( "Could not delete tmp_path={0}, err={1}", tmp_path, err ) except Exception as err: # On any ctable write error, restore the original table. logger.warn( "Could not write {0}, err={1}", file_name, err ) shutil.move(tmp_path, sid_path) # Update end session in metadata. metadata = BcolzMinuteBarMetadata.read(self._rootdir) metadata.end_session = date metadata.write(self._rootdir) class BcolzMinuteBarReader(MinuteBarReader): """ Reader for data written by BcolzMinuteBarWriter Parameters: ----------- rootdir : string The root directory containing the metadata and asset bcolz directories. See Also -------- zipline.data.minute_bars.BcolzMinuteBarWriter """ FIELDS = ('open', 'high', 'low', 'close', 'volume') def __init__(self, rootdir, sid_cache_size=1000): self._rootdir = rootdir metadata = self._get_metadata() self._start_session = metadata.start_session self._end_session = metadata.end_session self.calendar = metadata.calendar slicer = self.calendar.schedule.index.slice_indexer( self._start_session, self._end_session, ) self._schedule = self.calendar.schedule[slicer] self._market_opens = self._schedule.market_open self._market_open_values = self._market_opens.values.\ astype('datetime64[m]').astype(np.int64) self._market_closes = self._schedule.market_close self._market_close_values = self._market_closes.values.\ astype('datetime64[m]').astype(np.int64) self._default_ohlc_inverse = 1.0 / metadata.default_ohlc_ratio ohlc_ratios = metadata.ohlc_ratios_per_sid if ohlc_ratios: self._ohlc_inverses_per_sid = ( valmap(lambda x: 1.0 / x, ohlc_ratios)) else: self._ohlc_inverses_per_sid = None self._minutes_per_day = metadata.minutes_per_day self._carrays = { field: LRU(sid_cache_size) for field in self.FIELDS } self._last_get_value_dt_position = None self._last_get_value_dt_value = None # This is to avoid any bad data or other performance-killing situation # where there a consecutive streak of 0 (no volume) starting at an # asset's start date. # if asset 1 started on 2015-01-03 but its first trade is 2015-01-06 # 10:31 AM US/Eastern, this dict would store {1: 23675971}, # which is the minute epoch of that date. self._known_zero_volume_dict = {} def _get_metadata(self): return BcolzMinuteBarMetadata.read(self._rootdir) @property def trading_calendar(self): return self.calendar @lazyval def last_available_dt(self): _, close = self.calendar.open_and_close_for_session(self._end_session) return close @property def first_trading_day(self): return self._start_session def _ohlc_ratio_inverse_for_sid(self, sid): if self._ohlc_inverses_per_sid is not None: try: return self._ohlc_inverses_per_sid[sid] except KeyError: pass # If we can not get a sid-specific OHLC inverse for this sid, # fallback to the default. return self._default_ohlc_inverse def _minutes_to_exclude(self): """ Calculate the minutes which should be excluded when a window occurs on days which had an early close, i.e. days where the close based on the regular period of minutes per day and the market close do not match. Returns: -------- List of DatetimeIndex representing the minutes to exclude because of early closes. """ market_opens = self._market_opens.values.astype('datetime64[m]') market_closes = self._market_closes.values.astype('datetime64[m]') minutes_per_day = (market_closes - market_opens).astype(np.int64) early_indices = np.where( minutes_per_day != self._minutes_per_day - 1)[0] early_opens = self._market_opens[early_indices] early_closes = self._market_closes[early_indices] minutes = [(market_open, early_close) for market_open, early_close in zip(early_opens, early_closes)] return minutes @lazyval def _minute_exclusion_tree(self): """ Build an interval tree keyed by the start and end of each range of positions should be dropped from windows. (These are the minutes between an early close and the minute which would be the close based on the regular period if there were no early close.) The value of each node is the same start and end position stored as a tuple. The data is stored as such in support of a fast answer to the question, does a given start and end position overlap any of the exclusion spans? Returns ------- IntervalTree containing nodes which represent the minutes to exclude because of early closes. """ itree = IntervalTree() for market_open, early_close in self._minutes_to_exclude(): start_pos = self._find_position_of_minute(early_close) + 1 end_pos = ( self._find_position_of_minute(market_open) + self._minutes_per_day - 1 ) data = (start_pos, end_pos) itree[start_pos:end_pos + 1] = data return itree def _exclusion_indices_for_range(self, start_idx, end_idx): """ Returns ------- List of tuples of (start, stop) which represent the ranges of minutes which should be excluded when a market minute window is requested. """ itree = self._minute_exclusion_tree if itree.overlaps(start_idx, end_idx): ranges = [] intervals = itree[start_idx:end_idx] for interval in intervals: ranges.append(interval.data) return sorted(ranges) else: return None def _get_carray_path(self, sid, field): sid_subdir = _sid_subdir_path(sid) # carrays are subdirectories of the sid's rootdir return os.path.join(self._rootdir, sid_subdir, field) def _open_minute_file(self, field, sid): sid = int(sid) try: carray = self._carrays[field][sid] except KeyError: carray = self._carrays[field][sid] = \ bcolz.carray(rootdir=self._get_carray_path(sid, field), mode='r') return carray def table_len(self, sid): """Returns the length of the underlying table for this sid.""" return len(self._open_minute_file('close', sid)) def get_sid_attr(self, sid, name): sid_subdir = _sid_subdir_path(sid) sid_path = os.path.join(self._rootdir, sid_subdir) attrs = bcolz.attrs.attrs(sid_path, 'r') try: return attrs[name] except KeyError: return None def get_value(self, sid, dt, field): """ Retrieve the pricing info for the given sid, dt, and field. Parameters: ----------- sid : int Asset identifier. dt : datetime-like The datetime at which the trade occurred. field : string The type of pricing data to retrieve. ('open', 'high', 'low', 'close', 'volume') Returns: -------- out : float|int The market data for the given sid, dt, and field coordinates. For OHLC: Returns a float if a trade occurred at the given dt. If no trade occurred, a np.nan is returned. For volume: Returns the integer value of the volume. (A volume of 0 signifies no trades for the given dt.) """ if self._last_get_value_dt_value == dt.value: minute_pos = self._last_get_value_dt_position else: try: minute_pos = self._find_position_of_minute(dt) except ValueError: raise NoDataOnDate() self._last_get_value_dt_value = dt.value self._last_get_value_dt_position = minute_pos try: value = self._open_minute_file(field, sid)[minute_pos] except IndexError: value = 0 if value == 0: if field == 'volume': return 0 else: return np.nan if field != 'volume': value *= self._ohlc_ratio_inverse_for_sid(sid) return value def get_last_traded_dt(self, asset, dt): minute_pos = self._find_last_traded_position(asset, dt) if minute_pos == -1: return pd.NaT return self._pos_to_minute(minute_pos) def _find_last_traded_position(self, asset, dt): volumes = self._open_minute_file('volume', asset) start_date_minute = asset.start_date.value / NANOS_IN_MINUTE dt_minute = dt.value / NANOS_IN_MINUTE try: # if we know of a dt before which this asset has no volume, # don't look before that dt earliest_dt_to_search = self._known_zero_volume_dict[asset.sid] except KeyError: earliest_dt_to_search = start_date_minute if dt_minute < earliest_dt_to_search: return -1 pos = find_last_traded_position_internal( self._market_open_values, self._market_close_values, dt_minute, earliest_dt_to_search, volumes, self._minutes_per_day, ) if pos == -1: # if we didn't find any volume before this dt, save it to avoid # work in the future. try: self._known_zero_volume_dict[asset.sid] = max( dt_minute, self._known_zero_volume_dict[asset.sid] ) except KeyError: self._known_zero_volume_dict[asset.sid] = dt_minute return pos def _pos_to_minute(self, pos): minute_epoch = minute_value( self._market_open_values, pos, self._minutes_per_day ) return pd.Timestamp(minute_epoch, tz='UTC', unit="m") def _find_position_of_minute(self, minute_dt): """ Internal method that returns the position of the given minute in the list of every trading minute since market open of the first trading day. Adjusts non market minutes to the last close. ex. this method would return 1 for 2002-01-02 9:32 AM Eastern, if 2002-01-02 is the first trading day of the dataset. Parameters ---------- minute_dt: pd.Timestamp The minute whose position should be calculated. Returns ------- int: The position of the given minute in the list of all trading minutes since market open on the first trading day. """ return find_position_of_minute( self._market_open_values, self._market_close_values, minute_dt.value / NANOS_IN_MINUTE, self._minutes_per_day, False, ) def load_raw_arrays(self, fields, start_dt, end_dt, sids): """ Parameters ---------- fields : list of str 'open', 'high', 'low', 'close', or 'volume' start_dt: Timestamp Beginning of the window range. end_dt: Timestamp End of the window range. sids : list of int The asset identifiers in the window. Returns ------- list of np.ndarray A list with an entry per field of ndarrays with shape (minutes in range, sids) with a dtype of float64, containing the values for the respective field over start and end dt range. """ start_idx = self._find_position_of_minute(start_dt) end_idx = self._find_position_of_minute(end_dt) num_minutes = (end_idx - start_idx + 1) results = [] indices_to_exclude = self._exclusion_indices_for_range( start_idx, end_idx) if indices_to_exclude is not None: for excl_start, excl_stop in indices_to_exclude: length = excl_stop - excl_start + 1 num_minutes -= length shape = num_minutes, len(sids) for field in fields: if field != 'volume': out = np.full(shape, np.nan) else: out = np.zeros(shape, dtype=np.uint32) for i, sid in enumerate(sids): carray = self._open_minute_file(field, sid) values = carray[start_idx:end_idx + 1] if indices_to_exclude is not None: for excl_start, excl_stop in indices_to_exclude[::-1]: excl_slice = np.s_[ excl_start - start_idx:excl_stop - start_idx + 1] values = np.delete(values, excl_slice) where = values != 0 # first slice down to len(where) because we might not have # written data for all the minutes requested if field != 'volume': out[:len(where), i][where] = ( values[where] * self._ohlc_ratio_inverse_for_sid(sid)) else: out[:len(where), i][where] = values[where] results.append(out) return results