def trading_dates_index(trades: DataFrame, position_effect,
index: DatetimeIndex):
return index.searchsorted(to_datetime(
trades[trades.position_effect == position_effect].trading_datetime),
side="right") - 1
class BcolzDailyBarReader(DailyBarReader):
"""
Reader for raw pricing data written by BcolzDailyOHLCVWriter.
A Bcolz CTable is comprised of Columns and Attributes.
Columns
-------
The table with which this loader interacts contains the following columns:
['open', 'high', 'low', 'close', 'volume', 'day', 'id'].
The data in these columns is interpreted as follows:
- Price columns ('open', 'high', 'low', 'close') are interpreted as 1000 *
as-traded dollar value.
- Volume is interpreted as as-traded volume.
- Day is interpreted as seconds since midnight UTC, Jan 1, 1970.
- Id is the asset id of the row.
The data in each column is grouped by asset and then sorted by day within
each asset block.
The table is built to represent a long time range of data, e.g. ten years
of equity data, so the lengths of each asset block is not equal to each
other. The blocks are clipped to the known start and end date of each asset
to cut down on the number of empty values that would need to be included to
make a regular/cubic dataset.
When read across the open, high, low, close, and volume with the same
index should represent the same asset and day.
Attributes
----------
The table with which this loader interacts contains the following
attributes:
first_row : dict
Map from asset_id -> index of first row in the dataset with that id.
last_row : dict
Map from asset_id -> index of last row in the dataset with that id.
calendar_offset : dict
Map from asset_id -> calendar index of first row.
calendar : list[int64]
Calendar used to compute offsets, in asi8 format (ns since EPOCH).
We use first_row and last_row together to quickly find ranges of rows to
load when reading an asset's data into memory.
We use calendar_offset and calendar to orient loaded blocks within a
range of queried dates.
"""
@preprocess(table=coerce_string(open_ctable, mode='r'))
def __init__(self, table):
self._table = table
self._calendar = DatetimeIndex(table.attrs['calendar'], tz='UTC')
self._first_rows = {
int(asset_id): start_index
for asset_id, start_index in iteritems(table.attrs['first_row'])
}
self._last_rows = {
int(asset_id): end_index
for asset_id, end_index in iteritems(table.attrs['last_row'])
}
self._calendar_offsets = {
int(id_): offset
for id_, offset in iteritems(table.attrs['calendar_offset'])
}
try:
self._first_trading_day = Timestamp(
table.attrs['first_trading_day'], unit='ms', tz='UTC')
except KeyError:
self._first_trading_day = None
# Cache of fully read np.array for the carrays in the daily bar table.
# raw_array does not use the same cache, but it could.
# Need to test keeping the entire array in memory for the course of a
# process first.
self._spot_cols = {}
self.PRICE_ADJUSTMENT_FACTOR = 0.001
def _compute_slices(self, start_idx, end_idx, assets):
"""
Compute the raw row indices to load for each asset on a query for the
given dates after applying a shift.
Parameters
----------
start_idx : int
Index of first date for which we want data.
end_idx : int
Index of last date for which we want data.
assets : pandas.Int64Index
Assets for which we want to compute row indices
Returns
-------
A 3-tuple of (first_rows, last_rows, offsets):
first_rows : np.array[intp]
Array with length == len(assets) containing the index of the first
row to load for each asset in `assets`.
last_rows : np.array[intp]
Array with length == len(assets) containing the index of the last
row to load for each asset in `assets`.
offset : np.array[intp]
Array with length == (len(asset) containing the index in a buffer
of length `dates` corresponding to the first row of each asset.
The value of offset[i] will be 0 if asset[i] existed at the start
of a query. Otherwise, offset[i] will be equal to the number of
entries in `dates` for which the asset did not yet exist.
"""
# The core implementation of the logic here is implemented in Cython
# for efficiency.
return _compute_row_slices(
self._first_rows,
self._last_rows,
self._calendar_offsets,
start_idx,
end_idx,
assets,
)
def load_raw_arrays(self, columns, start_date, end_date, assets):
# Assumes that the given dates are actually in calendar.
start_idx = self._calendar.get_loc(start_date)
end_idx = self._calendar.get_loc(end_date)
first_rows, last_rows, offsets = self._compute_slices(
start_idx,
end_idx,
assets,
)
return _read_bcolz_data(
self._table,
(end_idx - start_idx + 1, len(assets)),
[column.name for column in columns],
first_rows,
last_rows,
offsets,
)
@property
def first_trading_day(self):
return self._first_trading_day
@property
def last_available_dt(self):
return self._calendar[-1]
def _spot_col(self, colname):
"""
Get the colname from daily_bar_table and read all of it into memory,
caching the result.
Parameters
----------
colname : string
A name of a OHLCV carray in the daily_bar_table
Returns
-------
array (uint32)
Full read array of the carray in the daily_bar_table with the
given colname.
"""
try:
col = self._spot_cols[colname]
except KeyError:
col = self._spot_cols[colname] = self._table[colname]
return col
def get_last_traded_dt(self, asset, day):
volumes = self._spot_col('volume')
if day >= asset.end_date:
# go back to one day before the asset ended
search_day = self._calendar[
self._calendar.searchsorted(asset.end_date) - 1]
else:
search_day = day
while True:
try:
ix = self.sid_day_index(asset, search_day)
except NoDataOnDate:
return None
if volumes[ix] != 0:
return search_day
prev_day_ix = self._calendar.get_loc(search_day) - 1
if prev_day_ix > -1:
search_day = self._calendar[prev_day_ix]
else:
return None
def sid_day_index(self, sid, day):
"""
Parameters
----------
sid : int
The asset identifier.
day : datetime64-like
Midnight of the day for which data is requested.
Returns
-------
int
Index into the data tape for the given sid and day.
Raises a NoDataOnDate exception if the given day and sid is before
or after the date range of the equity.
"""
try:
day_loc = self._calendar.get_loc(day)
except:
raise NoDataOnDate("day={0} is outside of calendar={1}".format(
day, self._calendar))
offset = day_loc - self._calendar_offsets[sid]
if offset < 0:
raise NoDataOnDate(
"No data on or before day={0} for sid={1}".format(day, sid))
ix = self._first_rows[sid] + offset
if ix > self._last_rows[sid]:
raise NoDataOnDate(
"No data on or after day={0} for sid={1}".format(day, sid))
return ix
def spot_price(self, sid, day, colname):
"""
Parameters
----------
sid : int
The asset identifier.
day : datetime64-like
Midnight of the day for which data is requested.
colname : string
The price field. e.g. ('open', 'high', 'low', 'close', 'volume')
Returns
-------
float
The spot price for colname of the given sid on the given day.
Raises a NoDataOnDate exception if the given day and sid is before
or after the date range of the equity.
Returns -1 if the day is within the date range, but the price is
0.
"""
ix = self.sid_day_index(sid, day)
price = self._spot_col(colname)[ix]
if price == 0:
return -1
if colname != 'volume':
return price * 0.001
else:
return price
class BcolzDailyBarReader(DailyBarReader):
"""
Reader for raw pricing data written by BcolzDailyOHLCVWriter.
A Bcolz CTable is comprised of Columns and Attributes.
Columns
-------
The table with which this loader interacts contains the following columns:
['open', 'high', 'low', 'close', 'volume', 'day', 'id'].
The data in these columns is interpreted as follows:
- Price columns ('open', 'high', 'low', 'close') are interpreted as 1000 *
as-traded dollar value.
- Volume is interpreted as as-traded volume.
- Day is interpreted as seconds since midnight UTC, Jan 1, 1970.
- Id is the asset id of the row.
The data in each column is grouped by asset and then sorted by day within
each asset block.
The table is built to represent a long time range of data, e.g. ten years
of equity data, so the lengths of each asset block is not equal to each
other. The blocks are clipped to the known start and end date of each asset
to cut down on the number of empty values that would need to be included to
make a regular/cubic dataset.
When read across the open, high, low, close, and volume with the same
index should represent the same asset and day.
Attributes
----------
The table with which this loader interacts contains the following
attributes:
first_row : dict
Map from asset_id -> index of first row in the dataset with that id.
last_row : dict
Map from asset_id -> index of last row in the dataset with that id.
calendar_offset : dict
Map from asset_id -> calendar index of first row.
calendar : list[int64]
Calendar used to compute offsets, in asi8 format (ns since EPOCH).
We use first_row and last_row together to quickly find ranges of rows to
load when reading an asset's data into memory.
We use calendar_offset and calendar to orient loaded blocks within a
range of queried dates.
"""
@preprocess(table=coerce_string(open_ctable, mode='r'))
def __init__(self, table):
self._table = table
self._calendar = DatetimeIndex(table.attrs['calendar'], tz='UTC')
self._first_rows = {
int(asset_id): start_index
for asset_id, start_index in iteritems(table.attrs['first_row'])
}
self._last_rows = {
int(asset_id): end_index
for asset_id, end_index in iteritems(table.attrs['last_row'])
}
self._calendar_offsets = {
int(id_): offset
for id_, offset in iteritems(table.attrs['calendar_offset'])
}
try:
self._first_trading_day = Timestamp(
table.attrs['first_trading_day'],
unit='ms',
tz='UTC'
)
except KeyError:
self._first_trading_day = None
# Cache of fully read np.array for the carrays in the daily bar table.
# raw_array does not use the same cache, but it could.
# Need to test keeping the entire array in memory for the course of a
# process first.
self._spot_cols = {}
self.PRICE_ADJUSTMENT_FACTOR = 0.001
def _compute_slices(self, start_idx, end_idx, assets):
"""
Compute the raw row indices to load for each asset on a query for the
given dates after applying a shift.
Parameters
----------
start_idx : int
Index of first date for which we want data.
end_idx : int
Index of last date for which we want data.
assets : pandas.Int64Index
Assets for which we want to compute row indices
Returns
-------
A 3-tuple of (first_rows, last_rows, offsets):
first_rows : np.array[intp]
Array with length == len(assets) containing the index of the first
row to load for each asset in `assets`.
last_rows : np.array[intp]
Array with length == len(assets) containing the index of the last
row to load for each asset in `assets`.
offset : np.array[intp]
Array with length == (len(asset) containing the index in a buffer
of length `dates` corresponding to the first row of each asset.
The value of offset[i] will be 0 if asset[i] existed at the start
of a query. Otherwise, offset[i] will be equal to the number of
entries in `dates` for which the asset did not yet exist.
"""
# The core implementation of the logic here is implemented in Cython
# for efficiency.
return _compute_row_slices(
self._first_rows,
self._last_rows,
self._calendar_offsets,
start_idx,
end_idx,
assets,
)
def load_raw_arrays(self, columns, start_date, end_date, assets):
# Assumes that the given dates are actually in calendar.
start_idx = self._calendar.get_loc(start_date)
end_idx = self._calendar.get_loc(end_date)
first_rows, last_rows, offsets = self._compute_slices(
start_idx,
end_idx,
assets,
)
return _read_bcolz_data(
self._table,
(end_idx - start_idx + 1, len(assets)),
[column.name for column in columns],
first_rows,
last_rows,
offsets,
)
@property
def first_trading_day(self):
return self._first_trading_day
@property
def last_available_dt(self):
return self._calendar[-1]
def _spot_col(self, colname):
"""
Get the colname from daily_bar_table and read all of it into memory,
caching the result.
Parameters
----------
colname : string
A name of a OHLCV carray in the daily_bar_table
Returns
-------
array (uint32)
Full read array of the carray in the daily_bar_table with the
given colname.
"""
try:
col = self._spot_cols[colname]
except KeyError:
col = self._spot_cols[colname] = self._table[colname]
return col
def get_last_traded_dt(self, asset, day):
volumes = self._spot_col('volume')
if day >= asset.end_date:
# go back to one day before the asset ended
search_day = self._calendar[
self._calendar.searchsorted(asset.end_date) - 1
]
else:
search_day = day
while True:
try:
ix = self.sid_day_index(asset, search_day)
except NoDataOnDate:
return None
if volumes[ix] != 0:
return search_day
prev_day_ix = self._calendar.get_loc(search_day) - 1
if prev_day_ix > -1:
search_day = self._calendar[prev_day_ix]
else:
return None
def sid_day_index(self, sid, day):
"""
Parameters
----------
sid : int
The asset identifier.
day : datetime64-like
Midnight of the day for which data is requested.
Returns
-------
int
Index into the data tape for the given sid and day.
Raises a NoDataOnDate exception if the given day and sid is before
or after the date range of the equity.
"""
try:
day_loc = self._calendar.get_loc(day)
except:
raise NoDataOnDate("day={0} is outside of calendar={1}".format(
day, self._calendar))
offset = day_loc - self._calendar_offsets[sid]
if offset < 0:
raise NoDataOnDate(
"No data on or before day={0} for sid={1}".format(
day, sid))
ix = self._first_rows[sid] + offset
if ix > self._last_rows[sid]:
raise NoDataOnDate(
"No data on or after day={0} for sid={1}".format(
day, sid))
return ix
def spot_price(self, sid, day, colname):
"""
Parameters
----------
sid : int
The asset identifier.
day : datetime64-like
Midnight of the day for which data is requested.
colname : string
The price field. e.g. ('open', 'high', 'low', 'close', 'volume')
Returns
-------
float
The spot price for colname of the given sid on the given day.
Raises a NoDataOnDate exception if the given day and sid is before
or after the date range of the equity.
Returns -1 if the day is within the date range, but the price is
0.
"""
ix = self.sid_day_index(sid, day)
price = self._spot_col(colname)[ix]
if price == 0:
return -1
if colname != 'volume':
return price * 0.001
else:
return price
