def test_load_raw_arrays(self):
reindex_reader = ReindexSessionBarReader(
self.trading_calendar,
self.bcolz_equity_daily_bar_reader,
self.START_DATE,
self.END_DATE,
)
outer_sessions = self.trading_calendar.sessions_in_range(
self.START_DATE, self.END_DATE)
result = reindex_reader.load_raw_arrays(OHLCV, self.START_DATE,
self.END_DATE, [1, 2])
opens = DataFrame(data=result[0], index=outer_sessions, columns=[1, 2])
opens_with_price = opens.dropna()
self.assertEqual(
21, len(opens),
"The reindexed result should have 21 days, which is the number of "
"business days in 2015-11")
self.assertEqual(
20, len(opens_with_price),
"The reindexed result after dropping nans should have 20 days, "
"because Thanksgiving is a NYSE holiday.")
# Thanksgiving, 2015-11-26.
# Is a holiday in NYSE, but not in us_futures.
tday_loc = outer_sessions.get_loc(pd.Timestamp('2015-11-26', tz='UTC'))
assert_almost_equal(
nan,
opens[1][tday_loc],
err_msg="2015-11-26 should be `nan`, since Thanksgiving is a "
"holiday in the reader's calendar.")
def init_instance_fixtures(self):
super(TestReindexSessionBars, self).init_instance_fixtures()
self.reader = ReindexSessionBarReader(
self.trading_calendar,
self.bcolz_equity_daily_bar_reader,
self.START_DATE,
self.END_DATE,
)
def init_instance_fixtures(self):
super(TestReindexSessionBars, self).init_instance_fixtures()
self.reader = ReindexSessionBarReader(
self.trading_calendar,
self.bcolz_equity_daily_bar_reader,
self.START_DATE,
self.END_DATE,
)
def _ensure_reader_aligned(self, reader):
if reader is None:
return
if reader.trading_calendar.name == self.trading_calendar.name:
return reader
elif reader.data_frequency == 'minute':
return ReindexMinuteBarReader(self.trading_calendar, reader,
self._first_trading_session,
self._last_trading_session)
elif reader.data_frequency == 'session':
return ReindexSessionBarReader(self.trading_calendar, reader,
self._first_trading_session,
self._last_trading_session)
def init_class_fixtures(cls):
super().init_class_fixtures()
readers = {
Equity:
ReindexSessionBarReader(cls.trading_calendar,
cls.bcolz_equity_daily_bar_reader,
cls.START_DATE, cls.END_DATE),
Future:
MinuteResampleSessionBarReader(
cls.trading_calendar,
cls.bcolz_future_minute_bar_reader,
)
}
cls.dispatch_reader = AssetDispatchSessionBarReader(
cls.trading_calendar, cls.asset_finder, readers)
class TestReindexSessionBars(WithBcolzEquityDailyBarReader, ZiplineTestCase):
TRADING_CALENDAR_STRS = ('us_futures', 'NYSE')
TRADING_CALENDAR_PRIMARY_CAL = 'us_futures'
ASSET_FINDER_EQUITY_SIDS = 1, 2, 3
# Dates are chosen to span Thanksgiving, which is not a Holiday on
# us_futures.
START_DATE = pd.Timestamp('2015-11-02', tz='UTC')
END_DATE = pd.Timestamp('2015-11-30', tz='UTC')
# November 2015
# Su Mo Tu We Th Fr Sa
# 1 2 3 4 5 6 7
# 8 9 10 11 12 13 14
# 15 16 17 18 19 20 21
# 22 23 24 25 26 27 28
# 29 30
def init_instance_fixtures(self):
super(TestReindexSessionBars, self).init_instance_fixtures()
self.reader = ReindexSessionBarReader(
self.trading_calendar,
self.bcolz_equity_daily_bar_reader,
self.START_DATE,
self.END_DATE,
)
def test_load_raw_arrays(self):
outer_sessions = self.trading_calendar.sessions_in_range(
self.START_DATE, self.END_DATE)
result = self.reader.load_raw_arrays(OHLCV, self.START_DATE,
self.END_DATE, [1, 2])
opens = DataFrame(data=result[0], index=outer_sessions, columns=[1, 2])
opens_with_price = opens.dropna()
self.assertEqual(
21, len(opens),
"The reindexed result should have 21 days, which is the number of "
"business days in 2015-11")
self.assertEqual(
20, len(opens_with_price),
"The reindexed result after dropping nans should have 20 days, "
"because Thanksgiving is a NYSE holiday.")
tday = pd.Timestamp('2015-11-26', tz='UTC')
# Thanksgiving, 2015-11-26.
# Is a holiday in NYSE, but not in us_futures.
tday_loc = outer_sessions.get_loc(tday)
assert_almost_equal(
nan,
opens[1][tday_loc],
err_msg="2015-11-26 should be `nan`, since Thanksgiving is a "
"holiday in the reader's calendar.")
# Thanksgiving, 2015-11-26.
# Is a holiday in NYSE, but not in us_futures.
tday_loc = outer_sessions.get_loc(pd.Timestamp('2015-11-26', tz='UTC'))
assert_almost_equal(
nan,
opens[1][tday_loc],
err_msg="2015-11-26 should be `nan`, since Thanksgiving is a "
"holiday in the reader's calendar.")
def test_load_raw_arrays_holiday_start(self):
tday = pd.Timestamp('2015-11-26', tz='UTC')
outer_sessions = self.trading_calendar.sessions_in_range(
tday, self.END_DATE)
result = self.reader.load_raw_arrays(OHLCV, tday, self.END_DATE,
[1, 2])
opens = DataFrame(data=result[0], index=outer_sessions, columns=[1, 2])
opens_with_price = opens.dropna()
self.assertEqual(
3, len(opens),
"The reindexed result should have 3 days, which is the number of "
"business days in from Thanksgiving to end of 2015-11.")
self.assertEqual(
2, len(opens_with_price),
"The reindexed result after dropping nans should have 2 days, "
"because Thanksgiving is a NYSE holiday.")
def test_load_raw_arrays_holiday_end(self):
tday = pd.Timestamp('2015-11-26', tz='UTC')
outer_sessions = self.trading_calendar.sessions_in_range(
self.START_DATE, tday)
result = self.reader.load_raw_arrays(OHLCV, self.START_DATE, tday,
[1, 2])
opens = DataFrame(data=result[0], index=outer_sessions, columns=[1, 2])
opens_with_price = opens.dropna()
self.assertEqual(
19, len(opens),
"The reindexed result should have 19 days, which is the number of "
"business days in from start of 2015-11 up to Thanksgiving.")
self.assertEqual(
18, len(opens_with_price),
"The reindexed result after dropping nans should have 18 days, "
"because Thanksgiving is a NYSE holiday.")
def test_get_value(self):
assert_almost_equal(self.reader.get_value(1, self.START_DATE, 'open'),
10.0,
err_msg="The open of the fixture data on the "
"first session should be 10.")
tday = pd.Timestamp('2015-11-26', tz='UTC')
assert_almost_equal(self.reader.get_value(1, tday, 'close'),
nan,
err_msg="Thanksgiving is a NYSE holiday, but "
"futures trading is open. Result should be nan.")
assert_almost_equal(self.reader.get_value(1, tday, 'volume'),
0,
err_msg="Thanksgiving is a NYSE holiday, but "
"futures trading is open. Result should be 0.")
def test_last_availabe_dt(self):
self.assertEqual(self.reader.last_available_dt, self.END_DATE)
def test_get_last_traded_dt(self):
asset = self.asset_finder.retrieve_asset(1)
self.assertEqual(self.reader.get_last_traded_dt(asset, self.END_DATE),
self.END_DATE)
def test_sessions(self):
sessions = self.reader.sessions
self.assertEqual(21, len(sessions),
"There should be 21 sessions in 2015-11.")
self.assertEqual(pd.Timestamp('2015-11-02', tz='UTC'), sessions[0])
self.assertEqual(pd.Timestamp('2015-11-30', tz='UTC'), sessions[-1])
def test_first_trading_day(self):
self.assertEqual(self.reader.first_trading_day, self.START_DATE)
def test_trading_calendar(self):
self.assertEqual(
'us_futures', self.reader.trading_calendar.name,
"The calendar for the reindex reader should be the "
"specified futures calendar.")
class TestReindexSessionBars(WithBcolzEquityDailyBarReader,
ZiplineTestCase):
TRADING_CALENDAR_STRS = ('us_futures', 'NYSE')
TRADING_CALENDAR_PRIMARY_CAL = 'us_futures'
ASSET_FINDER_EQUITY_SIDS = 1, 2, 3
# Dates are chosen to span Thanksgiving, which is not a Holiday on
# us_futures.
START_DATE = pd.Timestamp('2015-11-02', tz='UTC')
END_DATE = pd.Timestamp('2015-11-30', tz='UTC')
# November 2015
# Su Mo Tu We Th Fr Sa
# 1 2 3 4 5 6 7
# 8 9 10 11 12 13 14
# 15 16 17 18 19 20 21
# 22 23 24 25 26 27 28
# 29 30
def init_instance_fixtures(self):
super(TestReindexSessionBars, self).init_instance_fixtures()
self.reader = ReindexSessionBarReader(
self.trading_calendar,
self.bcolz_equity_daily_bar_reader,
self.START_DATE,
self.END_DATE,
)
def test_load_raw_arrays(self):
outer_sessions = self.trading_calendar.sessions_in_range(
self.START_DATE, self.END_DATE)
result = self.reader.load_raw_arrays(
OHLCV, self.START_DATE, self.END_DATE, [1, 2])
opens = DataFrame(data=result[0], index=outer_sessions,
columns=[1, 2])
opens_with_price = opens.dropna()
self.assertEqual(
21,
len(opens),
"The reindexed result should have 21 days, which is the number of "
"business days in 2015-11")
self.assertEqual(
20,
len(opens_with_price),
"The reindexed result after dropping nans should have 20 days, "
"because Thanksgiving is a NYSE holiday.")
tday = pd.Timestamp('2015-11-26', tz='UTC')
# Thanksgiving, 2015-11-26.
# Is a holiday in NYSE, but not in us_futures.
tday_loc = outer_sessions.get_loc(tday)
assert_almost_equal(
nan,
opens[1][tday_loc],
err_msg="2015-11-26 should be `nan`, since Thanksgiving is a "
"holiday in the reader's calendar.")
# Thanksgiving, 2015-11-26.
# Is a holiday in NYSE, but not in us_futures.
tday_loc = outer_sessions.get_loc(pd.Timestamp('2015-11-26', tz='UTC'))
assert_almost_equal(
nan,
opens[1][tday_loc],
err_msg="2015-11-26 should be `nan`, since Thanksgiving is a "
"holiday in the reader's calendar.")
def test_load_raw_arrays_holiday_start(self):
tday = pd.Timestamp('2015-11-26', tz='UTC')
outer_sessions = self.trading_calendar.sessions_in_range(
tday, self.END_DATE)
result = self.reader.load_raw_arrays(
OHLCV, tday, self.END_DATE, [1, 2])
opens = DataFrame(data=result[0], index=outer_sessions,
columns=[1, 2])
opens_with_price = opens.dropna()
self.assertEqual(
3,
len(opens),
"The reindexed result should have 3 days, which is the number of "
"business days in from Thanksgiving to end of 2015-11.")
self.assertEqual(
2,
len(opens_with_price),
"The reindexed result after dropping nans should have 2 days, "
"because Thanksgiving is a NYSE holiday.")
def test_load_raw_arrays_holiday_end(self):
tday = pd.Timestamp('2015-11-26', tz='UTC')
outer_sessions = self.trading_calendar.sessions_in_range(
self.START_DATE, tday)
result = self.reader.load_raw_arrays(
OHLCV, self.START_DATE, tday, [1, 2])
opens = DataFrame(data=result[0], index=outer_sessions,
columns=[1, 2])
opens_with_price = opens.dropna()
self.assertEqual(
19,
len(opens),
"The reindexed result should have 19 days, which is the number of "
"business days in from start of 2015-11 up to Thanksgiving.")
self.assertEqual(
18,
len(opens_with_price),
"The reindexed result after dropping nans should have 18 days, "
"because Thanksgiving is a NYSE holiday.")
def test_get_value(self):
assert_almost_equal(self.reader.get_value(1, self.START_DATE, 'open'),
10.0,
err_msg="The open of the fixture data on the "
"first session should be 10.")
tday = pd.Timestamp('2015-11-26', tz='UTC')
with self.assertRaises(NoDataOnDate):
self.reader.get_value(1, tday, 'close')
with self.assertRaises(NoDataOnDate):
self.reader.get_value(1, tday, 'volume')
def test_last_availabe_dt(self):
self.assertEqual(self.reader.last_available_dt, self.END_DATE)
def test_get_last_traded_dt(self):
asset = self.asset_finder.retrieve_asset(1)
self.assertEqual(self.reader.get_last_traded_dt(asset,
self.END_DATE),
self.END_DATE)
def test_sessions(self):
sessions = self.reader.sessions
self.assertEqual(21, len(sessions),
"There should be 21 sessions in 2015-11.")
self.assertEqual(pd.Timestamp('2015-11-02', tz='UTC'),
sessions[0])
self.assertEqual(pd.Timestamp('2015-11-30', tz='UTC'),
sessions[-1])
def test_first_trading_day(self):
self.assertEqual(self.reader.first_trading_day, self.START_DATE)
def test_trading_calendar(self):
self.assertEqual('us_futures',
self.reader.trading_calendar.name,
"The calendar for the reindex reader should be the "
"specified futures calendar.")
