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87 lines
2.6 KiB
Python
87 lines
2.6 KiB
Python
import pytz
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import numbers
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from hashlib import md5
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from datetime import datetime, timedelta
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from itertools import izip_longest
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from zipline import ndict
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from zipline.protocol import DATASOURCE_TYPE
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def mock_raw_event(sid, dt):
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event = {
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'sid' : sid,
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'dt' : dt,
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'price' : 1.0,
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'volume' : 1
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}
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return event
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def date_gen(start = datetime(2012, 6, 6, 0), delta = timedelta(minutes = 1), n = 100):
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return (start + i * delta for i in xrange(n))
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def alternate(g1, g2):
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for e1, e2 in izip_longest(g1, g2):
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if e1 != None:
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yield e1
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if e2 != None:
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yield e2
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def hash_args(*args, **kwargs):
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"""Define a unique string for any set of representable args."""
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arg_string = '_'.join([str(arg) for arg in args])
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kwarg_string = '_'.join([str(key) + '=' + str(value) for key, value in kwargs.iteritems()])
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combined = ':'.join([arg_string, kwarg_string])
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hasher = md5()
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hasher.update(combined)
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return hasher.hexdigest()
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def assert_datasource_protocol(event):
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"""Assert that an event meets the protocol for datasource outputs."""
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assert isinstance(event, ndict)
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assert isinstance(event.source_id, basestring)
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assert event.type in DATASOURCE_TYPE
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# Done packets have no dt.
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if not event.type == DATASOURCE_TYPE.DONE:
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assert isinstance(event.dt, datetime)
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assert event.dt.tzinfo == pytz.utc
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def assert_trade_protocol(event):
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"""Assert that an event meets the protocol for datasource TRADE outputs."""
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assert_datasource_protocol(event)
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assert isinstance(event, ndict)
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assert event.type == DATASOURCE_TYPE.TRADE
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assert isinstance(event.sid, int)
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assert isinstance(event.price, numbers.Real)
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assert isinstance(event.volume, numbers.Integral)
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assert isinstance(event.dt, datetime)
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def assert_datasource_unframe_protocol(event):
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"""Assert that an event is valid output of zp.DATASOURCE_UNFRAME."""
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assert isinstance(event, ndict)
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assert isinstance(event.source_id, basestring)
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assert event.type in DATASOURCE_TYPE
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assert event.has_key('dt')
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def assert_feed_protocol(event):
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"""Assert that an event is valid input to zp.FEED_FRAME."""
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assert isinstance(event, ndict)
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assert isinstance(event.source_id, basestring)
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assert event.type in DATASOURCE_TYPE
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assert event.has_key('dt')
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def assert_feed_unframe_protocol(event):
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"""Same as above."""
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assert isinstance(event, ndict)
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assert event.type in DATASOURCE_TYPE
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assert event.has_key('dt')
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def assert_transform_protocol(event):
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pass
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