# # 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 numpy import ( arange, array, int64, float64, full, nan, transpose, zeros, ) from numpy.testing import assert_almost_equal, assert_array_equal from pandas import ( DataFrame, DatetimeIndex, Timestamp, Timedelta, NaT, date_range, ) from zipline.data.minute_bars import ( BcolzMinuteBarMetadata, BcolzMinuteBarWriter, BcolzMinuteBarReader, BcolzMinuteOverlappingData, US_EQUITIES_MINUTES_PER_DAY, BcolzMinuteWriterColumnMismatch ) from zipline.testing.fixtures import ( WithInstanceTmpDir, WithTradingCalendars, ZiplineTestCase, ) # Calendar is set to cover several half days, to check a case where half # days would be read out of order in cases of windows which spanned over # multiple half days. TEST_CALENDAR_START = Timestamp('2014-06-02', tz='UTC') TEST_CALENDAR_STOP = Timestamp('2015-12-31', tz='UTC') class BcolzMinuteBarTestCase(WithTradingCalendars, WithInstanceTmpDir, ZiplineTestCase): @classmethod def init_class_fixtures(cls): super(BcolzMinuteBarTestCase, cls).init_class_fixtures() cal = cls.trading_calendar.schedule.loc[ TEST_CALENDAR_START:TEST_CALENDAR_STOP ] cls.market_opens = cal.market_open cls.market_closes = cal.market_close cls.test_calendar_start = cls.market_opens.index[0] cls.test_calendar_stop = cls.market_opens.index[-1] def init_instance_fixtures(self): super(BcolzMinuteBarTestCase, self).init_instance_fixtures() self.dest = self.instance_tmpdir.getpath('minute_bars') os.makedirs(self.dest) self.writer = BcolzMinuteBarWriter( self.dest, self.trading_calendar, TEST_CALENDAR_START, TEST_CALENDAR_STOP, US_EQUITIES_MINUTES_PER_DAY, ) self.reader = BcolzMinuteBarReader(self.dest) def test_version(self): metadata = self.reader._get_metadata() self.assertEquals( metadata.version, BcolzMinuteBarMetadata.FORMAT_VERSION, ) 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(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(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(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(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(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(sid, data) with self.assertRaises(BcolzMinuteOverlappingData): self.writer.write_sid(sid, data) def test_append_to_same_day(self): """ Test writing data with the same date as existing data in our file. """ sid = 1 first_minute = self.market_opens[TEST_CALENDAR_START] data = DataFrame( data={ 'open': [10.0], 'high': [20.0], 'low': [30.0], 'close': [40.0], 'volume': [50.0] }, index=[first_minute]) self.writer.write_sid(sid, data) # Write data in the same day as the previous minute second_minute = first_minute + Timedelta(minutes=1) new_data = DataFrame( data={ 'open': [5.0], 'high': [10.0], 'low': [3.0], 'close': [7.0], 'volume': [10.0] }, index=[second_minute]) self.writer.write_sid(sid, new_data) open_price = self.reader.get_value(sid, second_minute, 'open') self.assertEquals(5.0, open_price) high_price = self.reader.get_value(sid, second_minute, 'high') self.assertEquals(10.0, high_price) low_price = self.reader.get_value(sid, second_minute, 'low') self.assertEquals(3.0, low_price) close_price = self.reader.get_value(sid, second_minute, 'close') self.assertEquals(7.0, close_price) volume_price = self.reader.get_value(sid, second_minute, 'volume') self.assertEquals(10.0, volume_price) def test_append_on_new_day(self): sid = 1 ohlcv = { 'open': [2.0], 'high': [3.0], 'low': [1.0], 'close': [2.0], 'volume': [10.0] } first_minute = self.market_opens[TEST_CALENDAR_START] data = DataFrame( data=ohlcv, index=[first_minute]) self.writer.write_sid(sid, data) next_day_minute = first_minute + Timedelta(days=1) new_data = DataFrame( data=ohlcv, index=[next_day_minute]) self.writer.write_sid(sid, new_data) second_minute = first_minute + Timedelta(minutes=1) # The second minute should have been padded with zeros for col in ('open', 'high', 'low', 'close'): assert_almost_equal( nan, self.reader.get_value(sid, second_minute, col) ) self.assertEqual( 0, self.reader.get_value(sid, second_minute, 'volume') ) # The first day should contain US_EQUITIES_MINUTES_PER_DAY rows. # The second day should contain a single row. self.assertEqual( len(self.writer._ensure_ctable(sid)), US_EQUITIES_MINUTES_PER_DAY + 1, ) 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_sid(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_sid(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 day = TEST_CALENDAR_START + freq minute = self.market_opens[day] data = DataFrame( data={ 'open': [15.0], 'high': [17.0], 'low': [11.0], 'close': [15.0], 'volume': [100.0] }, index=[minute]) self.writer.write_sid(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) # Check that if we then pad the rest of this day, we end up with # 2 days worth of minutes. self.writer.pad(sid, day) self.assertEqual( len(self.writer._ensure_ctable(sid)), self.writer._minutes_per_day * 2, ) def test_nans(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] minutes = date_range(minute, periods=9, freq='min') data = DataFrame( data={ 'open': full(9, nan), 'high': full(9, nan), 'low': full(9, nan), 'close': full(9, nan), 'volume': full(9, 0), }, index=[minutes]) self.writer.write_sid(sid, data) fields = ['open', 'high', 'low', 'close', 'volume'] ohlcv_window = list(map(transpose, self.reader.load_raw_arrays( fields, minutes[0], minutes[-1], [sid], ))) for i, field in enumerate(fields): if field != 'volume': assert_array_equal(full(9, nan), ohlcv_window[i][0]) else: assert_array_equal(zeros(9), ohlcv_window[i][0]) def test_differing_nans(self): """ Also test nans of differing values/construction. """ 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] minutes = date_range(minute, periods=9, freq='min') data = DataFrame( data={ 'open': ((0b11111111111 << 52) + arange(1, 10, dtype=int64)). view(float64), 'high': ((0b11111111111 << 52) + arange(11, 20, dtype=int64)). view(float64), 'low': ((0b11111111111 << 52) + arange(21, 30, dtype=int64)). view(float64), 'close': ((0b11111111111 << 52) + arange(31, 40, dtype=int64)). view(float64), 'volume': full(9, 0), }, index=[minutes]) self.writer.write_sid(sid, data) fields = ['open', 'high', 'low', 'close', 'volume'] ohlcv_window = list(map(transpose, self.reader.load_raw_arrays( fields, minutes[0], minutes[-1], [sid], ))) for i, field in enumerate(fields): if field != 'volume': assert_array_equal(full(9, nan), ohlcv_window[i][0]) else: assert_array_equal(zeros(9), ohlcv_window[i][0]) 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_write_cols_mismatch_length(self): dts = date_range(self.market_opens[self.test_calendar_start], periods=2, freq='min').asi8.astype('datetime64[s]') sid = 1 cols = { 'open': array([10.0, 11.0, 12.0]), 'high': array([20.0, 21.0]), 'low': array([30.0, 31.0, 33.0, 34.0]), 'close': array([40.0, 41.0]), 'volume': array([50.0, 51.0, 52.0]) } with self.assertRaises(BcolzMinuteWriterColumnMismatch): self.writer.write_cols(sid, dts, cols) 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_sid(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_sid(sids[1], data_2) reader = BcolzMinuteBarReader(self.dest) columns = ['open', 'high', 'low', 'close', 'volume'] sids = [sids[0], sids[1]] arrays = list(map(transpose, reader.load_raw_arrays( 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]) def test_unadjusted_minutes_early_close(self): """ Test unadjusted minute window, ensuring that early closes are filtered out. """ day_before_thanksgiving = Timestamp('2015-11-25', tz='UTC') xmas_eve = Timestamp('2015-12-24', tz='UTC') market_day_after_xmas = Timestamp('2015-12-28', tz='UTC') minutes = [self.market_closes[day_before_thanksgiving] - Timedelta('2 min'), self.market_closes[xmas_eve] - Timedelta('1 min'), self.market_opens[market_day_after_xmas] + Timedelta('1 min')] sids = [1, 2] data_1 = DataFrame( data={ 'open': [ 15.0, 15.1, 15.2], 'high': [17.0, 17.1, 17.2], 'low': [11.0, 11.1, 11.3], 'close': [14.0, 14.1, 14.2], 'volume': [1000, 1001, 1002], }, index=minutes) self.writer.write_sid(sids[0], data_1) data_2 = DataFrame( data={ 'open': [25.0, 25.1, 25.2], 'high': [27.0, 27.1, 27.2], 'low': [21.0, 21.1, 21.2], 'close': [24.0, 24.1, 24.2], 'volume': [2000, 2001, 2002], }, index=minutes) self.writer.write_sid(sids[1], data_2) reader = BcolzMinuteBarReader(self.dest) columns = ['open', 'high', 'low', 'close', 'volume'] sids = [sids[0], sids[1]] arrays = list(map(transpose, reader.load_raw_arrays( columns, minutes[0], minutes[-1], sids, ))) data = {sids[0]: data_1, sids[1]: data_2} start_minute_loc = \ self.trading_calendar.all_minutes.get_loc(minutes[0]) minute_locs = [ self.trading_calendar.all_minutes.get_loc(minute) - start_minute_loc for minute in minutes ] for i, col in enumerate(columns): for j, sid in enumerate(sids): assert_almost_equal(data[sid].loc[minutes, col], arrays[i][j][minute_locs]) def test_adjust_non_trading_minutes(self): start_day = Timestamp('2015-06-01', tz='UTC') end_day = Timestamp('2015-06-02', tz='UTC') sid = 1 cols = { 'open': arange(1, 781), 'high': arange(1, 781), 'low': arange(1, 781), 'close': arange(1, 781), 'volume': arange(1, 781) } dts = array(self.trading_calendar.minutes_for_sessions_in_range( self.trading_calendar.minute_to_session_label(start_day), self.trading_calendar.minute_to_session_label(end_day) )) self.writer.write_cols(sid, dts, cols) self.assertEqual( self.reader.get_value( sid, Timestamp('2015-06-01 20:00:00', tz='UTC'), 'open'), 390) self.assertEqual( self.reader.get_value( sid, Timestamp('2015-06-02 20:00:00', tz='UTC'), 'open'), 780) self.assertEqual( self.reader.get_value( sid, Timestamp('2015-06-02', tz='UTC'), 'open'), 390) self.assertEqual( self.reader.get_value( sid, Timestamp('2015-06-02 20:01:00', tz='UTC'), 'open'), 780) def test_adjust_non_trading_minutes_half_days(self): # half day start_day = Timestamp('2015-11-27', tz='UTC') end_day = Timestamp('2015-11-30', tz='UTC') sid = 1 cols = { 'open': arange(1, 601), 'high': arange(1, 601), 'low': arange(1, 601), 'close': arange(1, 601), 'volume': arange(1, 601) } dts = array( self.trading_calendar.minutes_for_sessions_in_range( self.trading_calendar.minute_to_session_label(start_day), self.trading_calendar.minute_to_session_label(end_day) ) ) self.writer.write_cols(sid, dts, cols) self.assertEqual( self.reader.get_value( sid, Timestamp('2015-11-27 18:00:00', tz='UTC'), 'open'), 210) self.assertEqual( self.reader.get_value( sid, Timestamp('2015-11-30 21:00:00', tz='UTC'), 'open'), 600) self.assertEqual( self.reader.get_value( sid, Timestamp('2015-11-27 18:01:00', tz='UTC'), 'open'), 210) self.assertEqual( self.reader.get_value( sid, Timestamp('2015-11-30', tz='UTC'), 'open'), 210) self.assertEqual( self.reader.get_value( sid, Timestamp('2015-11-30 21:01:00', tz='UTC'), 'open'), 600) def test_set_sid_attrs(self): """Confirm that we can set the attributes of a sid's file correctly. """ sid = 1 start_day = Timestamp('2015-11-27', tz='UTC') end_day = Timestamp('2015-06-02', tz='UTC') attrs = { 'start_day': start_day.value / int(1e9), 'end_day': end_day.value / int(1e9), 'factor': 100, } # Write the attributes self.writer.set_sid_attrs(sid, **attrs) # Read the attributes for k, v in attrs.items(): self.assertEqual(self.reader.get_sid_attr(sid, k), v)