mirror of
https://github.com/wassname/catalyst.git
synced 2026-07-01 02:29:54 +08:00
Eddie Hebert
a4131ea84b
Combine the equity and future readers into asset dispatch readers, so that simulations that use both asset types can access data for each. This patch enables `history` for future assets in algorithms; however, it does not add extra coverage in the `test_data_portal` or `test_history` to cover future assets. Those tests will follow, however putting this in separately since it shows that the wrapping of the readers in the asset dispatch reader does not break existing equity strategies.
109 lines
3.1 KiB
Python
109 lines
3.1 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 ABCMeta, abstractmethod, abstractproperty
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from six import with_metaclass
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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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