mirror of
https://github.com/wassname/catalyst.git
synced 2026-06-27 18:04:12 +08:00
Eddie Hebert
d463a9855b
Increase coverage on `ReindexSessionBarReader` so that all methods which are considered part of the interface are covered by `test_resample`. Fix bug in `get_value`, exposed by increased coverage, where the `NoDataOnDate` exception was bubbling from the bcolz reader all the way up when a session which was a holidy on the underlying reader was passed to the reindex reader. (The reindex reader should return nan/0 in that case.) Also, move location of data index exceptions so that they are agnostic to bcolz/us_equity_pricing; since the exception is now used by the resample module to fix aforementioned bug.
124 lines
3.3 KiB
Python
124 lines
3.3 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 can be found for the sid and date.
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"""
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pass
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class NoDataBeforeDate(Exception):
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pass
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class NoDataAfterDate(Exception):
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pass
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class SessionBarReader(with_metaclass(ABCMeta)):
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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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_data_frequency = 'session'
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@property
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def data_frequency(self):
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return self._data_frequency
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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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@abstractmethod
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def get_value(self, sid, session, colname):
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"""
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Retrieve the value at the given coordinates.
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This function shares the same input and semantics as the
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``MinuteBarReaders``'s ``get_value``, in the future, the names may be
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made consistent.
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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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session : pd.Timestamp
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The session label for the desired data point.
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colname : 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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See Also
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--------
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zipline.minute_bars.MinuteBarReader.get_value
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"""
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pass
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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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@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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