mirror of
https://github.com/wassname/catalyst.git
synced 2026-06-29 05:32:55 +08:00
Eddie Hebert
0f14972e08
Add a method to minute bar reader which returns the OHLCV for all requested fields for a list assets over the specified start and end minutes. Initial usage is intended for use by a loader which consumes minute bar data to resample into daily bars, but may also be used when aggregating minute data during '1d' history calls in Q2.0. This iteration does not include including of early closes.
548 lines
16 KiB
Python
548 lines
16 KiB
Python
#
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# 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 datetime import timedelta
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import os
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from unittest import TestCase
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from numpy import nan, array
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from numpy.testing import assert_almost_equal
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from pandas import (
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DataFrame,
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DatetimeIndex,
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Timestamp,
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Timedelta,
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NaT,
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)
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from testfixtures import TempDirectory
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from zipline.data.minute_bars import (
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BcolzMinuteBarWriter,
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BcolzMinuteBarReader,
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BcolzMinuteOverlappingData,
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US_EQUITIES_MINUTES_PER_DAY,
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)
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from zipline.finance.trading import TradingEnvironment
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TEST_CALENDAR_START = Timestamp('2015-06-01', tz='UTC')
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TEST_CALENDAR_STOP = Timestamp('2015-06-30', tz='UTC')
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class BcolzMinuteBarTestCase(TestCase):
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@classmethod
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def setUpClass(cls):
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cls.env = TradingEnvironment()
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all_market_opens = cls.env.open_and_closes.market_open
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indexer = all_market_opens.index.slice_indexer(
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start=TEST_CALENDAR_START,
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end=TEST_CALENDAR_STOP
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)
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cls.market_opens = all_market_opens[indexer]
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cls.test_calendar_start = cls.market_opens.index[0]
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cls.test_calendar_stop = cls.market_opens.index[-1]
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def setUp(self):
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self.dir_ = TempDirectory()
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self.dir_.create()
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self.dest = self.dir_.getpath('minute_bars')
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os.makedirs(self.dest)
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self.writer = BcolzMinuteBarWriter(
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TEST_CALENDAR_START,
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self.dest,
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self.market_opens,
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US_EQUITIES_MINUTES_PER_DAY,
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)
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self.reader = BcolzMinuteBarReader(self.dest)
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def tearDown(self):
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self.dir_.cleanup()
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def test_write_one_ohlcv(self):
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minute = self.market_opens[self.test_calendar_start]
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sid = 1
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data = DataFrame(
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data={
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'open': [10.0],
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'high': [20.0],
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'low': [30.0],
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'close': [40.0],
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'volume': [50.0]
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},
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index=[minute])
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self.writer.write(sid, data)
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open_price = self.reader.get_value(sid, minute, 'open')
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self.assertEquals(10.0, open_price)
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high_price = self.reader.get_value(sid, minute, 'high')
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self.assertEquals(20.0, high_price)
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low_price = self.reader.get_value(sid, minute, 'low')
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self.assertEquals(30.0, low_price)
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close_price = self.reader.get_value(sid, minute, 'close')
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self.assertEquals(40.0, close_price)
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volume_price = self.reader.get_value(sid, minute, 'volume')
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self.assertEquals(50.0, volume_price)
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def test_write_two_bars(self):
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minute_0 = self.market_opens[self.test_calendar_start]
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minute_1 = minute_0 + timedelta(minutes=1)
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sid = 1
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data = DataFrame(
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data={
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'open': [10.0, 11.0],
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'high': [20.0, 21.0],
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'low': [30.0, 31.0],
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'close': [40.0, 41.0],
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'volume': [50.0, 51.0]
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},
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index=[minute_0, minute_1])
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self.writer.write(sid, data)
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open_price = self.reader.get_value(sid, minute_0, 'open')
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self.assertEquals(10.0, open_price)
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high_price = self.reader.get_value(sid, minute_0, 'high')
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self.assertEquals(20.0, high_price)
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low_price = self.reader.get_value(sid, minute_0, 'low')
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self.assertEquals(30.0, low_price)
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close_price = self.reader.get_value(sid, minute_0, 'close')
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self.assertEquals(40.0, close_price)
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volume_price = self.reader.get_value(sid, minute_0, 'volume')
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self.assertEquals(50.0, volume_price)
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open_price = self.reader.get_value(sid, minute_1, 'open')
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self.assertEquals(11.0, open_price)
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high_price = self.reader.get_value(sid, minute_1, 'high')
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self.assertEquals(21.0, high_price)
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low_price = self.reader.get_value(sid, minute_1, 'low')
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self.assertEquals(31.0, low_price)
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close_price = self.reader.get_value(sid, minute_1, 'close')
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self.assertEquals(41.0, close_price)
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volume_price = self.reader.get_value(sid, minute_1, 'volume')
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self.assertEquals(51.0, volume_price)
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def test_write_on_second_day(self):
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second_day = self.test_calendar_start + 1
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minute = self.market_opens[second_day]
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sid = 1
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data = DataFrame(
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data={
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'open': [10.0],
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'high': [20.0],
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'low': [30.0],
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'close': [40.0],
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'volume': [50.0]
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},
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index=[minute])
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self.writer.write(sid, data)
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open_price = self.reader.get_value(sid, minute, 'open')
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self.assertEquals(10.0, open_price)
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high_price = self.reader.get_value(sid, minute, 'high')
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self.assertEquals(20.0, high_price)
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low_price = self.reader.get_value(sid, minute, 'low')
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self.assertEquals(30.0, low_price)
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close_price = self.reader.get_value(sid, minute, 'close')
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self.assertEquals(40.0, close_price)
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volume_price = self.reader.get_value(sid, minute, 'volume')
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self.assertEquals(50.0, volume_price)
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def test_write_empty(self):
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minute = self.market_opens[self.test_calendar_start]
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sid = 1
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data = DataFrame(
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data={
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'open': [0],
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'high': [0],
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'low': [0],
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'close': [0],
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'volume': [0]
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},
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index=[minute])
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self.writer.write(sid, data)
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open_price = self.reader.get_value(sid, minute, 'open')
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assert_almost_equal(nan, open_price)
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high_price = self.reader.get_value(sid, minute, 'high')
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assert_almost_equal(nan, high_price)
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low_price = self.reader.get_value(sid, minute, 'low')
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assert_almost_equal(nan, low_price)
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close_price = self.reader.get_value(sid, minute, 'close')
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assert_almost_equal(nan, close_price)
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volume_price = self.reader.get_value(sid, minute, 'volume')
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assert_almost_equal(0, volume_price)
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def test_write_on_multiple_days(self):
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tds = self.market_opens.index
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days = tds[tds.slice_indexer(
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start=self.test_calendar_start + 1,
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end=self.test_calendar_start + 3
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)]
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minutes = DatetimeIndex([
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self.market_opens[days[0]] + timedelta(minutes=60),
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self.market_opens[days[1]] + timedelta(minutes=120),
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])
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sid = 1
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data = DataFrame(
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data={
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'open': [10.0, 11.0],
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'high': [20.0, 21.0],
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'low': [30.0, 31.0],
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'close': [40.0, 41.0],
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'volume': [50.0, 51.0]
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},
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index=minutes)
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self.writer.write(sid, data)
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minute = minutes[0]
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open_price = self.reader.get_value(sid, minute, 'open')
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self.assertEquals(10.0, open_price)
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high_price = self.reader.get_value(sid, minute, 'high')
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self.assertEquals(20.0, high_price)
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low_price = self.reader.get_value(sid, minute, 'low')
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self.assertEquals(30.0, low_price)
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close_price = self.reader.get_value(sid, minute, 'close')
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self.assertEquals(40.0, close_price)
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volume_price = self.reader.get_value(sid, minute, 'volume')
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self.assertEquals(50.0, volume_price)
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minute = minutes[1]
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open_price = self.reader.get_value(sid, minute, 'open')
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self.assertEquals(11.0, open_price)
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high_price = self.reader.get_value(sid, minute, 'high')
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self.assertEquals(21.0, high_price)
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low_price = self.reader.get_value(sid, minute, 'low')
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self.assertEquals(31.0, low_price)
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close_price = self.reader.get_value(sid, minute, 'close')
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self.assertEquals(41.0, close_price)
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volume_price = self.reader.get_value(sid, minute, 'volume')
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self.assertEquals(51.0, volume_price)
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def test_no_overwrite(self):
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minute = self.market_opens[TEST_CALENDAR_START]
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sid = 1
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data = DataFrame(
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data={
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'open': [10.0],
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'high': [20.0],
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'low': [30.0],
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'close': [40.0],
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'volume': [50.0]
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},
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index=[minute])
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self.writer.write(sid, data)
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with self.assertRaises(BcolzMinuteOverlappingData):
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self.writer.write(sid, data)
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def test_write_multiple_sids(self):
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"""
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Test writing multiple sids.
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Tests both that the data is written to the correct sid, as well as
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ensuring that the logic for creating the subdirectory path to each sid
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does not cause issues from attempts to recreate existing paths.
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(Calling out this coverage, because an assertion of that logic does not
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show up in the test itself, but is exercised by the act of attempting
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to write two consecutive sids, which would be written to the same
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containing directory, `00/00/000001.bcolz` and `00/00/000002.bcolz)
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Before applying a check to make sure the path writing did not
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re-attempt directory creation an OSError like the following would
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occur:
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```
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OSError: [Errno 17] File exists: '/tmp/tmpR7yzzT/minute_bars/00/00'
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```
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"""
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minute = self.market_opens[TEST_CALENDAR_START]
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sids = [1, 2]
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data = DataFrame(
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data={
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'open': [15.0],
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'high': [17.0],
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'low': [11.0],
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'close': [15.0],
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'volume': [100.0]
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},
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index=[minute])
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self.writer.write(sids[0], data)
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data = DataFrame(
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data={
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'open': [25.0],
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'high': [27.0],
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'low': [21.0],
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'close': [25.0],
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'volume': [200.0]
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},
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index=[minute])
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self.writer.write(sids[1], data)
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sid = sids[0]
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open_price = self.reader.get_value(sid, minute, 'open')
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self.assertEquals(15.0, open_price)
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high_price = self.reader.get_value(sid, minute, 'high')
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self.assertEquals(17.0, high_price)
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low_price = self.reader.get_value(sid, minute, 'low')
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self.assertEquals(11.0, low_price)
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close_price = self.reader.get_value(sid, minute, 'close')
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self.assertEquals(15.0, close_price)
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volume_price = self.reader.get_value(sid, minute, 'volume')
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self.assertEquals(100.0, volume_price)
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sid = sids[1]
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open_price = self.reader.get_value(sid, minute, 'open')
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self.assertEquals(25.0, open_price)
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high_price = self.reader.get_value(sid, minute, 'high')
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self.assertEquals(27.0, high_price)
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low_price = self.reader.get_value(sid, minute, 'low')
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self.assertEquals(21.0, low_price)
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close_price = self.reader.get_value(sid, minute, 'close')
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self.assertEquals(25.0, close_price)
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volume_price = self.reader.get_value(sid, minute, 'volume')
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self.assertEquals(200.0, volume_price)
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def test_pad_data(self):
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"""
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Test writing empty data.
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"""
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sid = 1
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last_date = self.writer.last_date_in_output_for_sid(sid)
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self.assertIs(last_date, NaT)
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self.writer.pad(sid, TEST_CALENDAR_START)
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last_date = self.writer.last_date_in_output_for_sid(sid)
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self.assertEqual(last_date, TEST_CALENDAR_START)
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freq = self.market_opens.index.freq
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minute = self.market_opens[TEST_CALENDAR_START + freq]
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data = DataFrame(
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data={
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'open': [15.0],
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'high': [17.0],
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'low': [11.0],
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'close': [15.0],
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'volume': [100.0]
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},
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index=[minute])
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self.writer.write(sid, data)
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open_price = self.reader.get_value(sid, minute, 'open')
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self.assertEquals(15.0, open_price)
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high_price = self.reader.get_value(sid, minute, 'high')
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self.assertEquals(17.0, high_price)
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low_price = self.reader.get_value(sid, minute, 'low')
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self.assertEquals(11.0, low_price)
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close_price = self.reader.get_value(sid, minute, 'close')
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self.assertEquals(15.0, close_price)
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volume_price = self.reader.get_value(sid, minute, 'volume')
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self.assertEquals(100.0, volume_price)
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def test_write_cols(self):
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minute_0 = self.market_opens[self.test_calendar_start]
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minute_1 = minute_0 + timedelta(minutes=1)
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sid = 1
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cols = {
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'open': array([10.0, 11.0]),
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'high': array([20.0, 21.0]),
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'low': array([30.0, 31.0]),
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'close': array([40.0, 41.0]),
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'volume': array([50.0, 51.0])
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}
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dts = array([minute_0, minute_1], dtype='datetime64[s]')
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self.writer.write_cols(sid, dts, cols)
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open_price = self.reader.get_value(sid, minute_0, 'open')
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self.assertEquals(10.0, open_price)
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high_price = self.reader.get_value(sid, minute_0, 'high')
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self.assertEquals(20.0, high_price)
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low_price = self.reader.get_value(sid, minute_0, 'low')
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self.assertEquals(30.0, low_price)
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close_price = self.reader.get_value(sid, minute_0, 'close')
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self.assertEquals(40.0, close_price)
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volume_price = self.reader.get_value(sid, minute_0, 'volume')
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self.assertEquals(50.0, volume_price)
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open_price = self.reader.get_value(sid, minute_1, 'open')
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self.assertEquals(11.0, open_price)
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high_price = self.reader.get_value(sid, minute_1, 'high')
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self.assertEquals(21.0, high_price)
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low_price = self.reader.get_value(sid, minute_1, 'low')
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self.assertEquals(31.0, low_price)
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close_price = self.reader.get_value(sid, minute_1, 'close')
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self.assertEquals(41.0, close_price)
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volume_price = self.reader.get_value(sid, minute_1, 'volume')
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self.assertEquals(51.0, volume_price)
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def test_unadjusted_minutes(self):
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"""
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Test unadjusted minutes.
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"""
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start_minute = self.market_opens[TEST_CALENDAR_START]
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minutes = [start_minute,
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start_minute + Timedelta('1 min'),
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start_minute + Timedelta('2 min')]
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sids = [1, 2]
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data_1 = DataFrame(
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data={
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'open': [15.0, nan, 15.1],
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'high': [17.0, nan, 17.1],
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'low': [11.0, nan, 11.1],
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'close': [14.0, nan, 14.1],
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'volume': [1000, 0, 1001]
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},
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index=minutes)
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self.writer.write(sids[0], data_1)
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data_2 = DataFrame(
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data={
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'open': [25.0, nan, 25.1],
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'high': [27.0, nan, 27.1],
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'low': [21.0, nan, 21.1],
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'close': [24.0, nan, 24.1],
|
|
'volume': [2000, 0, 2001]
|
|
},
|
|
index=minutes)
|
|
self.writer.write(sids[1], data_2)
|
|
|
|
reader = BcolzMinuteBarReader(self.dest)
|
|
|
|
columns = ['open', 'high', 'low', 'close', 'volume']
|
|
sids = [sids[0], sids[1]]
|
|
arrays = reader.unadjusted_window(
|
|
columns, minutes[0], minutes[-1], sids)
|
|
|
|
data = {sids[0]: data_1, sids[1]: data_2}
|
|
|
|
for i, col in enumerate(columns):
|
|
for j, sid in enumerate(sids):
|
|
assert_almost_equal(data[sid][col], arrays[i][j])
|