mirror of
https://github.com/wassname/catalyst.git
synced 2026-06-27 20:36:38 +08:00
Victor Grau Serrat
68 lines
2.1 KiB
Python
68 lines
2.1 KiB
Python
import os
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from datetime import timedelta
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from logging import Logger, DEBUG
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import pandas as pd
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from catalyst import get_calendar
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from catalyst.data.minute_bars import BcolzMinuteBarWriter
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from catalyst.exchange.exchange_bundle import exchange_bundle
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from catalyst.utils.paths import ensure_directory, data_root
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log = Logger('test_exchange_bundle')
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class ExchangeBundleTestCase:
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def test_ingest(self):
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exchange_name = 'bitfinex'
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start = pd.to_datetime('2017-09-01', utc=True)
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end = pd.Timestamp.utcnow()
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open_calendar = get_calendar('OPEN')
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root = data_root(os.environ)
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output_dir = '{root}/exchange_{exchange}/2017-09-21T05;34;37.274482'.format(
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root=root,
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exchange=exchange_name
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)
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ensure_directory(output_dir)
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filename = os.path.join(output_dir, 'metadata.json')
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start_session = start.floor('1d')
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if os.path.isfile(filename):
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minute_bar_writer = BcolzMinuteBarWriter.open(output_dir, end)
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else:
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# TODO: need to be able to write more precise numbers
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minute_bar_writer = BcolzMinuteBarWriter(
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rootdir=output_dir,
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calendar=open_calendar,
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minutes_per_day=1440,
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start_session=start_session,
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end_session=end,
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write_metadata=True,
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default_ohlc_ratio=1000000
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)
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ingest = exchange_bundle(
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exchange_name=exchange_name,
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symbols=['eth_btc'],
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log_level=DEBUG
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)
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ingest(environ=os.environ,
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asset_db_writer=None,
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minute_bar_writer=minute_bar_writer,
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daily_bar_writer=None,
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adjustment_writer=None,
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calendar=open_calendar,
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start_session=start_session,
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end_session=end,
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cache=dict(),
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show_progress=True,
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is_compile=False,
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output_dir=output_dir,
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start=start,
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end=end)
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pass
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