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https://github.com/wassname/catalyst.git
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Eddie Hebert
dd2c7db22d
Change the mock minute data to no longer use an increasing arange, so that a days worth of minute data can be summed and fit inside of a uint32. This change was required because of working on new test data that looked like [0, 100, 200, 0, ] which was resulting in a daily rollup of 0 data, when the coverage needed a non-0 value. Also, factor out the resampling function, with an eye on a making it easier to convert from minute bars to daily bars during ingest/load processes.
49 lines
1.6 KiB
Python
49 lines
1.6 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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_MINUTE_TO_SESSION_OHCLV_HOW = {
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'open': 'first',
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'high': 'max',
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'low': 'min',
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'close': 'last',
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'volume': 'sum'
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}
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def minute_to_session(minute_frame, calendar):
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"""
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Resample a DataFrame with minute data into the frame expected by a
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BcolzDailyBarWriter.
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Parameters
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----------
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minute_frame : pd.DataFrame
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A DataFrame with the columns `open`, `high`, `low`, `close`, `volume`,
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and `dt` (minute dts)
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calendar : zipline.utils.calendars.trading_calendar.TradingCalendar
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A TradingCalendar on which session labels to resample from minute
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to session.
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Return
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------
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session_frame : pd.DataFrame
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A DataFrame with the columns `open`, `high`, `low`, `close`, `volume`,
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and `day` (datetime-like).
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"""
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# Group minutes into their respective days. Note that this will
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# create groups for all trading days in the desired range,
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# including days with no minute data.
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return minute_frame.resample(calendar.day,
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how=_MINUTE_TO_SESSION_OHCLV_HOW)
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