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Jean Bredeche
37 lines
1.1 KiB
Python
37 lines
1.1 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 abstractproperty
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from zipline.data.bar_reader import BarReader
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class SessionBarReader(BarReader):
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"""
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Reader for OHCLV pricing data at a session frequency.
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"""
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@property
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def data_frequency(self):
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return 'session'
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@abstractproperty
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def sessions(self):
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"""
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Returns
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-------
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sessions : DatetimeIndex
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All session labels (unionining the range for all assets) which the
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reader can provide.
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"""
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pass
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