# # 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, array from numpy.testing import assert_almost_equal from pandas import ( DataFrame, DatetimeIndex, Timestamp, Timedelta, NaT, ) 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 all_market_closes = cls.env.open_and_closes.market_close indexer = all_market_opens.index.slice_indexer( start=TEST_CALENDAR_START, end=TEST_CALENDAR_STOP ) cls.market_opens = all_market_opens[indexer] cls.market_closes = all_market_closes[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, self.market_closes, 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) def test_write_multiple_sids(self): """ Test writing multiple sids. Tests both that the data is written to the correct sid, as well as ensuring that the logic for creating the subdirectory path to each sid does not cause issues from attempts to recreate existing paths. (Calling out this coverage, because an assertion of that logic does not show up in the test itself, but is exercised by the act of attempting to write two consecutive sids, which would be written to the same containing directory, `00/00/000001.bcolz` and `00/00/000002.bcolz) Before applying a check to make sure the path writing did not re-attempt directory creation an OSError like the following would occur: ``` OSError: [Errno 17] File exists: '/tmp/tmpR7yzzT/minute_bars/00/00' ``` """ minute = self.market_opens[TEST_CALENDAR_START] sids = [1, 2] data = DataFrame( data={ 'open': [15.0], 'high': [17.0], 'low': [11.0], 'close': [15.0], 'volume': [100.0] }, index=[minute]) self.writer.write(sids[0], data) data = DataFrame( data={ 'open': [25.0], 'high': [27.0], 'low': [21.0], 'close': [25.0], 'volume': [200.0] }, index=[minute]) self.writer.write(sids[1], data) sid = sids[0] open_price = self.reader.get_value(sid, minute, 'open') self.assertEquals(15.0, open_price) high_price = self.reader.get_value(sid, minute, 'high') self.assertEquals(17.0, high_price) low_price = self.reader.get_value(sid, minute, 'low') self.assertEquals(11.0, low_price) close_price = self.reader.get_value(sid, minute, 'close') self.assertEquals(15.0, close_price) volume_price = self.reader.get_value(sid, minute, 'volume') self.assertEquals(100.0, volume_price) sid = sids[1] open_price = self.reader.get_value(sid, minute, 'open') self.assertEquals(25.0, open_price) high_price = self.reader.get_value(sid, minute, 'high') self.assertEquals(27.0, high_price) low_price = self.reader.get_value(sid, minute, 'low') self.assertEquals(21.0, low_price) close_price = self.reader.get_value(sid, minute, 'close') self.assertEquals(25.0, close_price) volume_price = self.reader.get_value(sid, minute, 'volume') self.assertEquals(200.0, volume_price) def test_pad_data(self): """ Test writing empty data. """ sid = 1 last_date = self.writer.last_date_in_output_for_sid(sid) self.assertIs(last_date, NaT) self.writer.pad(sid, TEST_CALENDAR_START) last_date = self.writer.last_date_in_output_for_sid(sid) self.assertEqual(last_date, TEST_CALENDAR_START) freq = self.market_opens.index.freq minute = self.market_opens[TEST_CALENDAR_START + freq] data = DataFrame( data={ 'open': [15.0], 'high': [17.0], 'low': [11.0], 'close': [15.0], 'volume': [100.0] }, index=[minute]) self.writer.write(sid, data) open_price = self.reader.get_value(sid, minute, 'open') self.assertEquals(15.0, open_price) high_price = self.reader.get_value(sid, minute, 'high') self.assertEquals(17.0, high_price) low_price = self.reader.get_value(sid, minute, 'low') self.assertEquals(11.0, low_price) close_price = self.reader.get_value(sid, minute, 'close') self.assertEquals(15.0, close_price) volume_price = self.reader.get_value(sid, minute, 'volume') self.assertEquals(100.0, volume_price) def test_write_cols(self): minute_0 = self.market_opens[self.test_calendar_start] minute_1 = minute_0 + timedelta(minutes=1) sid = 1 cols = { 'open': array([10.0, 11.0]), 'high': array([20.0, 21.0]), 'low': array([30.0, 31.0]), 'close': array([40.0, 41.0]), 'volume': array([50.0, 51.0]) } dts = array([minute_0, minute_1], dtype='datetime64[s]') self.writer.write_cols(sid, dts, cols) 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_unadjusted_minutes(self): """ Test unadjusted minutes. """ start_minute = self.market_opens[TEST_CALENDAR_START] minutes = [start_minute, start_minute + Timedelta('1 min'), start_minute + Timedelta('2 min')] sids = [1, 2] data_1 = DataFrame( data={ 'open': [15.0, nan, 15.1], 'high': [17.0, nan, 17.1], 'low': [11.0, nan, 11.1], 'close': [14.0, nan, 14.1], 'volume': [1000, 0, 1001] }, index=minutes) self.writer.write(sids[0], data_1) data_2 = DataFrame( data={ 'open': [25.0, nan, 25.1], 'high': [27.0, nan, 27.1], 'low': [21.0, nan, 21.1], 'close': [24.0, nan, 24.1], 'volume': [2000, 0, 2001] }, index=minutes) self.writer.write(sids[1], data_2) reader = BcolzMinuteBarReader(self.dest) columns = ['open', 'high', 'low', 'close', 'volume'] sids = [sids[0], sids[1]] arrays = reader.unadjusted_window( columns, minutes[0], minutes[-1], sids) data = {sids[0]: data_1, sids[1]: data_2} for i, col in enumerate(columns): for j, sid in enumerate(sids): assert_almost_equal(data[sid][col], arrays[i][j])