def setUpClass(cls):
cls.first_asset_start = Timestamp('2015-04-01', tz='UTC')
cls.env = TradingEnvironment()
cls.trading_day = day = cls.env.trading_day
cls.calendar = date_range('2015', '2015-08', tz='UTC', freq=day)
cls.asset_info = make_rotating_equity_info(
num_assets=6,
first_start=cls.first_asset_start,
frequency=day,
periods_between_starts=4,
asset_lifetime=8,
)
cls.last_asset_end = cls.asset_info['end_date'].max()
cls.all_asset_ids = cls.asset_info.index
cls.env.write_data(equities_df=cls.asset_info)
cls.finder = cls.env.asset_finder
cls.temp_dir = TempDirectory()
cls.temp_dir.create()
try:
cls.writer = SyntheticDailyBarWriter(
asset_info=cls.asset_info[['start_date', 'end_date']],
calendar=cls.calendar,
)
table = cls.writer.write(
cls.temp_dir.getpath('testdata.bcolz'),
cls.calendar,
cls.all_asset_ids,
)
cls.pipeline_loader = USEquityPricingLoader(
BcolzDailyBarReader(table),
NullAdjustmentReader(),
)
except:
cls.temp_dir.cleanup()
raise
