mirror of
https://github.com/wassname/catalyst.git
synced 2026-08-13 12:00:16 +08:00
Eddie Hebert
e5b5023d42
Moved from the `lazy-mainline` branch, https://github.com/quantopian/zipline/pull/858 The intent of this patch to provide the basic class and readers interfaces, developed on that branch, so that the use of creating the object and opening paths etc. can be tested internally. Additional changes beyond the lazy-mainline branch, addition of future minute reader, and daily bar reader. Also allow an argument of the future_daily_reader, though no such reader yet exists. It may be that future and equity readers share an interface, and a further improvement would be providing an abstract base class. co-author: @jbredeche <jean@quantopian.com>
94 lines
2.7 KiB
Python
94 lines
2.7 KiB
Python
# Copyright 2015 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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import bcolz
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import json
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import os
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import pandas as pd
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MINUTES_PER_DAY = 390
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METADATA_FILENAME = 'metadata.json'
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class BcolzMinuteBarReader(object):
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def __init__(self, rootdir, sid_path_func=None):
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self.rootdir = rootdir
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metadata = self._get_metadata()
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self.first_trading_day = pd.Timestamp(
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metadata['first_trading_day'], tz='UTC')
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self._sid_path_func = sid_path_func
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self._carrays = {
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'open': {},
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'high': {},
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'low': {},
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'close': {},
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'volume': {},
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'sid': {},
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'dt': {},
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}
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def _get_metadata(self):
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with open(os.path.join(self.rootdir, METADATA_FILENAME)) as fp:
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return json.load(fp)
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def _get_ctable(self, asset):
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sid = int(asset)
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if self._sid_path_func is not None:
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path = self._sid_path_func(self.rootdir, sid)
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else:
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path = "{0}/{1}.bcolz".format(self.rootdir, sid)
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return bcolz.open(path, mode='r')
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def _find_position_of_minute(self, minute_dt):
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"""
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Internal method that returns the position of the given minute in the
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list of every trading minute since market open of the first trading
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day.
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IMPORTANT: This method assumes every day is 390 minutes long, even
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early closes. Our minute bcolz files are generated like this to
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support fast lookup.
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ex. this method would return 2 for 1/2/2002 9:32 AM Eastern, if
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1/2/2002 is the first trading day of the dataset.
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Parameters
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----------
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minute_dt: pd.Timestamp
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The minute whose position should be calculated.
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Returns
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-------
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The position of the given minute in the list of all trading minutes
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since market open on the first trading day.
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"""
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NotImplementedError
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def _open_minute_file(self, field, asset):
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sid_str = str(int(asset))
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try:
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carray = self._carrays[field][sid_str]
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except KeyError:
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carray = self._carrays[field][sid_str] = \
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self._get_ctable(asset)[field]
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return carray
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