def ingest(
environ: Mapping,
asset_db_writer: AssetDBWriter,
minute_bar_writer: BcolzMinuteBarWriter,
daily_bar_writer: BcolzDailyBarWriter,
adjustment_writer: SQLiteAdjustmentWriter,
calendar: TradingCalendar,
start_session: pd.Timestamp,
end_session: pd.Timestamp,
cache: dataframe_cache,
show_progress: bool,
output_dir: Text,
) -> NoReturn:
sid_map = list(zip(range(len(symbols)), symbols))
asset_db_writer.write(
futures=_get_metadata(sid_map),
exchanges=pd.DataFrame(data=[['bitmex', 'UTC']],
columns=['exchange', 'timezone']),
)
minute_bar_writer.write(
_get_minute_bars(sid_map, start_session, end_session, cache),
show_progress=show_progress,
)
daily_bar_writer.write(
_get_daily_bars(sid_map, start_session, end_session, cache),
show_progress=show_progress,
)
class TestWrite(WithInstanceTmpDir, ZiplineTestCase):
def init_instance_fixtures(self):
super(TestWrite, self).init_instance_fixtures()
self.assets_db_path = path = os.path.join(
self.instance_tmpdir.path,
'assets.db',
)
self.writer = AssetDBWriter(path)
def new_asset_finder(self):
return AssetFinder(self.assets_db_path)
def test_write_multiple_exchanges(self):
# Incrementing by two so that start and end dates for each
# generated Asset don't overlap (each Asset's end_date is the
# day after its start date).
dates = pd.date_range('2013-01-01', freq='2D', periods=5, tz='UTC')
sids = list(range(5))
df = pd.DataFrame.from_records([
{
'sid': sid,
'real_sid': str(sid),
'currency': 'USD',
'symbol': str(sid),
'start_date': date.value,
'end_date': (date + timedelta(days=1)).value,
# Change the exchange with each mapping period. We don't
# currently support point in time exchange information,
# so we just take the most recent by end date.
'exchange': 'EXCHANGE-%d-%d' % (sid, n),
} for n, date in enumerate(dates) for sid in sids
])
self.writer.write(equities=df)
reader = self.new_asset_finder()
equities = reader.retrieve_all(reader.sids)
for eq in equities:
expected_exchange = 'EXCHANGE-%d-%d' % (eq.sid, len(dates) - 1)
assert_equal(eq.exchange, expected_exchange)
def test_write_direct(self):
# don't include anything with a default to test that those work.
equities = pd.DataFrame({
'sid': [0, 1],
'real_sid': ['0', '1'],
'currency': ['USD', 'CAD'],
'asset_name': ['Ayy Inc.', 'Lmao LP'],
# the full exchange name
'exchange': ['NYSE', 'TSE'],
})
equity_symbol_mappings = pd.DataFrame({
'sid': [0, 1],
'symbol': ['AYY', 'LMAO'],
'company_symbol': ['AYY', 'LMAO'],
'share_class_symbol': ['', ''],
})
exchanges = pd.DataFrame({
'exchange': ['NYSE', 'TSE'],
'country_code': ['US', 'JP'],
})
self.writer.write_direct(
equities=equities,
equity_symbol_mappings=equity_symbol_mappings,
exchanges=exchanges,
)
reader = self.new_asset_finder()
equities = reader.retrieve_all(reader.sids)
expected_equities = [
Equity(
0,
'0',
ExchangeInfo('NYSE', 'NYSE', 'US'),
currency='USD',
symbol='AYY',
asset_name='Ayy Inc.',
start_date=pd.Timestamp(0, tz='UTC'),
end_date=pd.Timestamp.max.tz_localize('UTC'),
first_traded=None,
auto_close_date=None,
tick_size=0.01,
multiplier=1.0,
),
Equity(
1,
'1',
ExchangeInfo('TSE', 'TSE', 'JP'),
currency='CAD',
symbol='LMAO',
asset_name='Lmao LP',
start_date=pd.Timestamp(0, tz='UTC'),
end_date=pd.Timestamp.max.tz_localize('UTC'),
first_traded=None,
auto_close_date=None,
tick_size=0.01,
multiplier=1.0,
)
]
assert_equal(equities, expected_equities)
exchange_info = reader.exchange_info
expected_exchange_info = {
'NYSE': ExchangeInfo('NYSE', 'NYSE', 'US'),
'TSE': ExchangeInfo('TSE', 'TSE', 'JP'),
}
assert_equal(exchange_info, expected_exchange_info)
