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https://github.com/wassname/catalyst.git
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Andrew Daniels
71f12ec272
Instead of inferring it from the minute/daily writer, we now require the first trading day to be passed explicitly, so the creator of the DataPortal controls what is used as the first trading day.
74 lines
2.4 KiB
Python
74 lines
2.4 KiB
Python
#
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# Copyright 2016 Quantopian, Inc.
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#
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# Licensed under the Apache License, Version 2.0 (the "License");
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# you may not use this file except in compliance with the License.
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# You may obtain a copy of the License at
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#
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# http://www.apache.org/licenses/LICENSE-2.0
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#
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# Unless required by applicable law or agreed to in writing, software
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# distributed under the License is distributed on an "AS IS" BASIS,
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# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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# See the License for the specific language governing permissions and
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# limitations under the License.
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from pandas.tslib import Timedelta
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from zipline.data.data_portal import DataPortal
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from zipline.testing.fixtures import WithTradingEnvironment, ZiplineTestCase
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import pandas as pd
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# Note: most of dataportal functionality is tested in various other places,
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# such as test_history.
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class TestDataPortal(WithTradingEnvironment, ZiplineTestCase):
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def init_instance_fixtures(self):
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super(TestDataPortal, self).init_instance_fixtures()
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self.data_portal = DataPortal(self.env, first_trading_day=None)
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def test_bar_count_for_simple_transforms(self):
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# July 2015
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# Su Mo Tu We Th Fr Sa
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# 1 2 3 4
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# 5 6 7 8 9 10 11
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# 12 13 14 15 16 17 18
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# 19 20 21 22 23 24 25
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# 26 27 28 29 30 31
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# half an hour into july 9, getting a 4-"day" window should get us
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# all the minutes of 7/6, 7/7, 7/8, and 31 minutes of 7/9
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july_9_dt = self.env.get_open_and_close(
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pd.Timestamp("2015-07-09")
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)[0] + Timedelta("30 minutes")
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self.assertEqual(
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(3 * 390) + 31,
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self.data_portal._get_minute_count_for_transform(july_9_dt, 4)
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)
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# November 2015
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# Su Mo Tu We Th Fr Sa
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# 1 2 3 4 5 6 7
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# 8 9 10 11 12 13 14
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# 15 16 17 18 19 20 21
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# 22 23 24 25 26 27 28
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# 29 30
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# nov 26th closed
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# nov 27th was an early close
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# half an hour into nov 30, getting a 4-"day" window should get us
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# all the minutes of 11/24, 11/25, 11/27 (half day!), and 31 minutes
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# of 11/30
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nov_30_dt = self.env.get_open_and_close(
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pd.Timestamp("2015-11-30")
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)[0] + Timedelta("30 minutes")
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self.assertEqual(
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390 + 390 + 210 + 31,
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self.data_portal._get_minute_count_for_transform(nov_30_dt, 4)
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)
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