mirror of
https://github.com/wassname/catalyst.git
synced 2026-07-04 09:00:31 +08:00
Eddie Hebert
718ce0270a
If the trading_days end date is not greater than the date being tested, (this can happen if the algorithm's end date is set to a date that is before the latest date available saved in the msgpacks), then trying to get the location will fail, instead searchsorted will get the lastest date available in the trading day map to use as a test date.
222 lines
6.9 KiB
Python
222 lines
6.9 KiB
Python
#
|
|
# Copyright 2013 Quantopian, Inc.
|
|
#
|
|
# Licensed under the Apache License, Version 2.0 (the "License");
|
|
# you may not use this file except in compliance with the License.
|
|
# You may obtain a copy of the License at
|
|
#
|
|
# http://www.apache.org/licenses/LICENSE-2.0
|
|
#
|
|
# Unless required by applicable law or agreed to in writing, software
|
|
# distributed under the License is distributed on an "AS IS" BASIS,
|
|
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
|
|
# See the License for the specific language governing permissions and
|
|
# limitations under the License.
|
|
|
|
|
|
import os
|
|
from os.path import expanduser
|
|
import msgpack
|
|
from collections import OrderedDict
|
|
from datetime import timedelta
|
|
|
|
from treasuries import get_treasury_data
|
|
from benchmarks import get_benchmark_returns
|
|
|
|
from zipline.protocol import DailyReturn
|
|
from zipline.utils.date_utils import tuple_to_date
|
|
from zipline.utils.tradingcalendar import trading_days
|
|
from operator import attrgetter
|
|
|
|
|
|
# TODO: Make this path customizable.
|
|
DATA_PATH = os.path.join(
|
|
expanduser("~"),
|
|
'.zipline',
|
|
'data'
|
|
)
|
|
|
|
|
|
def get_datafile(name, mode='r'):
|
|
"""
|
|
Returns a handle to data file.
|
|
|
|
Creates containing directory, if needed.
|
|
"""
|
|
|
|
if not os.path.exists(DATA_PATH):
|
|
os.makedirs(DATA_PATH)
|
|
|
|
return open(os.path.join(DATA_PATH, name), mode)
|
|
|
|
|
|
def dump_treasury_curves():
|
|
"""
|
|
Dumps data to be used with zipline.
|
|
|
|
Puts source treasury and data into zipline.
|
|
"""
|
|
tr_data = []
|
|
|
|
for curve in get_treasury_data():
|
|
date_as_tuple = curve['date'].timetuple()[0:6] + \
|
|
(curve['date'].microsecond,)
|
|
# Not ideal but massaging data into expected format
|
|
del curve['date']
|
|
tr = (date_as_tuple, curve)
|
|
tr_data.append(tr)
|
|
|
|
with get_datafile('treasury_curves.msgpack', mode='wb') as tr_fp:
|
|
tr_fp.write(msgpack.dumps(tr_data))
|
|
|
|
|
|
def dump_benchmarks(symbol):
|
|
"""
|
|
Dumps data to be used with zipline.
|
|
|
|
Puts source treasury and data into zipline.
|
|
"""
|
|
benchmark_data = []
|
|
for daily_return in get_benchmark_returns(symbol):
|
|
date_as_tuple = daily_return.date.timetuple()[0:6] + \
|
|
(daily_return.date.microsecond,)
|
|
# Not ideal but massaging data into expected format
|
|
benchmark = (date_as_tuple, daily_return.returns)
|
|
benchmark_data.append(benchmark)
|
|
|
|
with get_datafile(get_benchmark_filename(symbol), mode='wb') as bmark_fp:
|
|
bmark_fp.write(msgpack.dumps(benchmark_data))
|
|
|
|
|
|
def update_treasury_curves(last_date):
|
|
"""
|
|
Updates data in the zipline treasury curves message pack
|
|
|
|
last_date should be a datetime object of the most recent data
|
|
|
|
Puts source treasury and data into zipline.
|
|
"""
|
|
tr_data = []
|
|
with get_datafile('treasury_curves.msgpack', mode='rb') as tr_fp:
|
|
tr_list = msgpack.loads(tr_fp.read())
|
|
for packed_date, curve in tr_list:
|
|
tr_data.append((packed_date, curve))
|
|
|
|
for curve in get_treasury_data():
|
|
date_as_tuple = curve['date'].timetuple()[0:6] + \
|
|
(curve['date'].microsecond,)
|
|
# Not ideal but massaging data into expected format
|
|
del curve['date']
|
|
tr = (date_as_tuple, curve)
|
|
tr_data.append(tr)
|
|
|
|
with get_datafile('treasury_curves.msgpack', mode='wb') as tr_fp:
|
|
tr_fp.write(msgpack.dumps(tr_data))
|
|
|
|
|
|
def update_benchmarks(symbol, last_date):
|
|
"""
|
|
Updates data in the zipline message pack
|
|
|
|
last_date should be a datetime object of the most recent data
|
|
|
|
Puts source benchmark into zipline.
|
|
"""
|
|
benchmark_data = []
|
|
with get_datafile(get_benchmark_filename(symbol), mode='rb') as bmark_fp:
|
|
bm_list = msgpack.loads(bmark_fp.read())
|
|
for packed_date, returns in bm_list:
|
|
benchmark_data.append((packed_date, returns))
|
|
|
|
start = last_date + timedelta(days=1)
|
|
for daily_return in get_benchmark_returns(symbol, start_date=start):
|
|
date_as_tuple = daily_return.date.timetuple()[0:6] + \
|
|
(daily_return.date.microsecond,)
|
|
# Not ideal but massaging data into expected format
|
|
benchmark = (date_as_tuple, daily_return.returns)
|
|
benchmark_data.append(benchmark)
|
|
|
|
with get_datafile(get_benchmark_filename(symbol), mode='wb') as bmark_fp:
|
|
bmark_fp.write(msgpack.dumps(benchmark_data))
|
|
|
|
|
|
def get_benchmark_filename(symbol):
|
|
return "%s_benchmark.msgpack" % symbol
|
|
|
|
|
|
def load_market_data(bm_symbol='^GSPC'):
|
|
try:
|
|
fp_bm = get_datafile(get_benchmark_filename(bm_symbol), "rb")
|
|
except IOError:
|
|
print """
|
|
data msgpacks aren't distributed with source.
|
|
Fetching data from Yahoo Finance.
|
|
""".strip()
|
|
dump_benchmarks(bm_symbol)
|
|
fp_bm = get_datafile(get_benchmark_filename(bm_symbol), "rb")
|
|
|
|
bm_list = msgpack.loads(fp_bm.read())
|
|
|
|
# Find the offset of the last date for which we have trading data in our
|
|
# list of valid trading days
|
|
last_bm_date = tuple_to_date(bm_list[-1][0])
|
|
last_bm_date_offset = trading_days.searchsorted(
|
|
last_bm_date.strftime('%Y/%m/%d'))
|
|
|
|
# If more than 1 trading days has elapsed since the last day where
|
|
# we have data,then we need to update
|
|
if len(trading_days) - last_bm_date_offset > 1:
|
|
update_benchmarks(bm_symbol, last_bm_date)
|
|
fp_bm = get_datafile(get_benchmark_filename(bm_symbol), "rb")
|
|
bm_list = msgpack.loads(fp_bm.read())
|
|
|
|
bm_returns = []
|
|
for packed_date, returns in bm_list:
|
|
event_dt = tuple_to_date(packed_date)
|
|
|
|
daily_return = DailyReturn(date=event_dt, returns=returns)
|
|
bm_returns.append(daily_return)
|
|
|
|
fp_bm.close()
|
|
|
|
bm_returns = sorted(bm_returns, key=attrgetter('date'))
|
|
|
|
try:
|
|
fp_tr = get_datafile('treasury_curves.msgpack', "rb")
|
|
except IOError:
|
|
print """
|
|
data msgpacks aren't distributed with source.
|
|
Fetching data from data.treasury.gov
|
|
""".strip()
|
|
dump_treasury_curves()
|
|
fp_tr = get_datafile('treasury_curves.msgpack', "rb")
|
|
|
|
tr_list = msgpack.loads(fp_tr.read())
|
|
|
|
# Find the offset of the last date for which we have trading data in our
|
|
# list of valid trading days
|
|
last_tr_date = tuple_to_date(tr_list[-1][0])
|
|
last_tr_date_offset = trading_days.searchsorted(
|
|
last_tr_date.strftime('%Y/%m/%d'))
|
|
|
|
# If more than 1 trading days has elapsed since the last day where
|
|
# we have data,then we need to update
|
|
if len(trading_days) - last_tr_date_offset > 1:
|
|
update_treasury_curves(last_tr_date)
|
|
fp_tr = get_datafile('treasury_curves.msgpack', "rb")
|
|
tr_list = msgpack.loads(fp_tr.read())
|
|
|
|
tr_curves = {}
|
|
for packed_date, curve in tr_list:
|
|
tr_dt = tuple_to_date(packed_date)
|
|
#tr_dt = tr_dt.replace(hour=0, minute=0, second=0, tzinfo=pytz.utc)
|
|
tr_curves[tr_dt] = curve
|
|
|
|
fp_tr.close()
|
|
|
|
tr_curves = OrderedDict(sorted(
|
|
((dt, c) for dt, c in tr_curves.iteritems()),
|
|
key=lambda t: t[0]))
|
|
|
|
return bm_returns, tr_curves
|