mirror of
https://github.com/wassname/catalyst.git
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Andrew Daniels
f1919dc3af
This allows us to catch and handle all three of these exceptions in `calc_dividend_ratios`.
139 lines
3.8 KiB
Python
139 lines
3.8 KiB
Python
# 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 abc import ABCMeta, abstractmethod, abstractproperty
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from six import with_metaclass
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class NoDataOnDate(Exception):
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"""
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Raised when a spot price cannot be found for the sid and date.
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"""
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pass
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class NoDataBeforeDate(NoDataOnDate):
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pass
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class NoDataAfterDate(NoDataOnDate):
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pass
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class BarReader(with_metaclass(ABCMeta, object)):
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@abstractproperty
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def data_frequency(self):
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pass
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@abstractmethod
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def load_raw_arrays(self, columns, start_date, end_date, assets):
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"""
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Parameters
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----------
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fields : list of str
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'open', 'high', 'low', 'close', or 'volume'
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start_dt: Timestamp
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Beginning of the window range.
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end_dt: Timestamp
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End of the window range.
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sids : list of int
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The asset identifiers in the window.
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Returns
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-------
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list of np.ndarray
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A list with an entry per field of ndarrays with shape
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(minutes in range, sids) with a dtype of float64, containing the
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values for the respective field over start and end dt range.
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"""
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pass
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@abstractproperty
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def last_available_dt(self):
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"""
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Returns
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-------
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dt : pd.Timestamp
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The last session for which the reader can provide data.
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"""
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pass
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@abstractproperty
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def trading_calendar(self):
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"""
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Returns the zipline.utils.calendar.trading_calendar used to read
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the data. Can be None (if the writer didn't specify it).
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"""
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pass
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@abstractproperty
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def first_trading_day(self):
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"""
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Returns
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-------
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dt : pd.Timestamp
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The first trading day (session) for which the reader can provide
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data.
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"""
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pass
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@abstractmethod
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def get_value(self, sid, dt, field):
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"""
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Retrieve the value at the given coordinates.
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Parameters
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----------
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sid : int
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The asset identifier.
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dt : pd.Timestamp
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The timestamp for the desired data point.
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field : string
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The OHLVC name for the desired data point.
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Returns
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-------
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value : float|int
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The value at the given coordinates, ``float`` for OHLC, ``int``
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for 'volume'.
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Raises
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------
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NoDataOnDate
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If the given dt is not a valid market minute (in minute mode) or
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session (in daily mode) according to this reader's tradingcalendar.
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"""
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pass
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@abstractmethod
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def get_last_traded_dt(self, asset, dt):
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"""
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Get the latest minute on or before ``dt`` in which ``asset`` traded.
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If there are no trades on or before ``dt``, returns ``pd.NaT``.
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Parameters
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----------
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asset : zipline.asset.Asset
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The asset for which to get the last traded minute.
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dt : pd.Timestamp
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The minute at which to start searching for the last traded minute.
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Returns
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-------
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last_traded : pd.Timestamp
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The dt of the last trade for the given asset, using the input
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dt as a vantage point.
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"""
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pass
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