def init_class_fixtures(cls):
super(ExamplesTests, cls).init_class_fixtures()
register('test', lambda *args: None)
cls.add_class_callback(partial(unregister, 'test'))
with tarfile.open(test_resource_path('example_data.tar.gz')) as tar:
tar.extractall(cls.tmpdir.path)
cls.expected_perf = dataframe_cache(
cls.tmpdir.getpath(
'example_data/expected_perf/%s' %
pd.__version__.replace('.', '-'), ),
serialization='pickle',
)
market_data = ('SPY_benchmark.csv', 'treasury_curves.csv')
for data in market_data:
update_modified_time(
cls.tmpdir.getpath('example_data/root/data/' + data))
def init_class_fixtures(cls):
super(ExamplesTests, cls).init_class_fixtures()
register('test', lambda *args: None)
cls.add_class_callback(partial(unregister, 'test'))
with tarfile.open(test_resource_path('example_data.tar.gz')) as tar:
tar.extractall(cls.tmpdir.path)
cls.expected_perf = dataframe_cache(
cls.tmpdir.getpath(
'example_data/expected_perf/%s' %
pd.__version__.replace('.', '-'),
),
serialization='pickle',
)
market_data = ('SPY_benchmark.csv', 'treasury_curves.csv')
for data in market_data:
update_modified_time(
cls.tmpdir.getpath(
'example_data/root/data/' + data
)
)
def ingest(name,
environ=os.environ,
timestamp=None,
assets_versions=(),
show_progress=False,
is_compile=False):
"""Ingest data for a given bundle.
Parameters
----------
name : str
The name of the bundle.
environ : mapping, optional
The environment variables. By default this is os.environ.
timestamp : datetime, optional
The timestamp to use for the load.
By default this is the current time.
assets_versions : Iterable[int], optional
Versions of the assets db to which to downgrade.
show_progress : bool, optional
Tell the ingest function to display the progress where possible.
"""
try:
bundle = bundles[name]
except KeyError:
raise UnknownBundle(name)
calendar = get_calendar(bundle.calendar_name)
start_session = bundle.start_session
end_session = bundle.end_session
if start_session is None or start_session < calendar.first_session:
start_session = calendar.first_session
if end_session is None or end_session > calendar.last_session:
end_session = calendar.last_session
if timestamp is None:
timestamp = pd.Timestamp.utcnow()
timestamp = timestamp.tz_convert('utc').tz_localize(None)
timestr = to_bundle_ingest_dirname(timestamp)
cachepath = cache_path(name, environ=environ)
pth.ensure_directory(pth.data_path([name, timestr], environ=environ))
pth.ensure_directory(cachepath)
with dataframe_cache(cachepath, clean_on_failure=False) as cache, \
ExitStack() as stack:
# we use `cleanup_on_failure=False` so that we don't purge the
# cache directory if the load fails in the middle
if bundle.create_writers:
wd = stack.enter_context(working_dir(
pth.data_path([], environ=environ))
)
daily_bars_path = wd.ensure_dir(
*daily_relative(
name, timestr, environ=environ,
)
)
daily_bar_writer = BcolzDailyBarWriter(
daily_bars_path,
calendar,
start_session,
end_session,
)
# Do an empty write to ensure that the daily ctables exist
# when we create the SQLiteAdjustmentWriter below. The
# SQLiteAdjustmentWriter needs to open the daily ctables so
# that it can compute the adjustment ratios for the dividends.
daily_bar_writer.write(())
five_minute_bar_writer = BcolzFiveMinuteBarWriter(
wd.ensure_dir(*five_minute_relative(
name, timestr, environ=environ)
),
calendar,
start_session,
end_session,
five_minutes_per_day=bundle.five_minutes_per_day,
)
minute_bar_writer = BcolzMinuteBarWriter(
wd.ensure_dir(*minute_relative(
name, timestr, environ=environ)
),
calendar,
start_session,
end_session,
minutes_per_day=bundle.minutes_per_day,
)
assets_db_path = wd.getpath(*asset_db_relative(
name, timestr, environ=environ,
))
asset_db_writer = AssetDBWriter(assets_db_path)
adjustment_db_writer = stack.enter_context(
SQLiteAdjustmentWriter(
wd.getpath(*adjustment_db_relative(
name, timestr, environ=environ)),
BcolzDailyBarReader(daily_bars_path),
calendar.all_sessions,
overwrite=True,
)
)
else:
daily_bar_writer = None
five_minute_bar_writer = None
minute_bar_writer = None
asset_db_writer = None
adjustment_db_writer = None
if assets_versions:
raise ValueError('Need to ingest a bundle that creates '
'writers in order to downgrade the assets'
' db.')
bundle.ingest(
environ,
asset_db_writer,
minute_bar_writer,
five_minute_bar_writer,
daily_bar_writer,
adjustment_db_writer,
calendar,
start_session,
end_session,
cache,
show_progress,
is_compile,
pth.data_path([name, timestr], environ=environ),
)
for version in sorted(set(assets_versions), reverse=True):
version_path = wd.getpath(*asset_db_relative(
name, timestr, environ=environ, db_version=version,
))
with working_file(version_path) as wf:
shutil.copy2(assets_db_path, wf.path)
downgrade(wf.path, version)
def ingest(name,
environ=os.environ,
timestamp=None,
assets_versions=(),
show_progress=False,
is_compile=False):
"""Ingest data for a given bundle.
Parameters
----------
name : str
The name of the bundle.
environ : mapping, optional
The environment variables. By default this is os.environ.
timestamp : datetime, optional
The timestamp to use for the load.
By default this is the current time.
assets_versions : Iterable[int], optional
Versions of the assets db to which to downgrade.
show_progress : bool, optional
Tell the ingest function to display the progress where possible.
"""
try:
bundle = bundles[name]
except KeyError:
raise UnknownBundle(name)
calendar = get_calendar(bundle.calendar_name)
start_session = bundle.start_session
end_session = bundle.end_session
if start_session is None or start_session < calendar.first_session:
start_session = calendar.first_session
if end_session is None or end_session > calendar.last_session:
end_session = calendar.last_session
if timestamp is None:
timestamp = pd.Timestamp.utcnow()
timestamp = timestamp.tz_convert('utc').tz_localize(None)
timestr = to_bundle_ingest_dirname(timestamp)
cachepath = cache_path(name, environ=environ)
pth.ensure_directory(pth.data_path([name, timestr], environ=environ))
pth.ensure_directory(cachepath)
with dataframe_cache(cachepath, clean_on_failure=False) as cache, \
ExitStack() as stack:
# we use `cleanup_on_failure=False` so that we don't purge the
# cache directory if the load fails in the middle
if bundle.create_writers:
wd = stack.enter_context(working_dir(
pth.data_path([], environ=environ))
)
daily_bars_path = wd.ensure_dir(
*daily_relative(
name, timestr, environ=environ,
)
)
daily_bar_writer = BcolzDailyBarWriter(
daily_bars_path,
calendar,
start_session,
end_session,
)
# Do an empty write to ensure that the daily ctables exist
# when we create the SQLiteAdjustmentWriter below. The
# SQLiteAdjustmentWriter needs to open the daily ctables so
# that it can compute the adjustment ratios for the dividends.
daily_bar_writer.write(())
minute_bar_writer = BcolzMinuteBarWriter(
wd.ensure_dir(*minute_relative(
name, timestr, environ=environ)
),
calendar,
start_session,
end_session,
minutes_per_day=bundle.minutes_per_day,
)
assets_db_path = wd.getpath(*asset_db_relative(
name, timestr, environ=environ,
))
asset_db_writer = AssetDBWriter(assets_db_path)
adjustment_db_writer = stack.enter_context(
SQLiteAdjustmentWriter(
wd.getpath(*adjustment_db_relative(
name, timestr, environ=environ)),
BcolzDailyBarReader(daily_bars_path),
calendar.all_sessions,
overwrite=True,
)
)
else:
daily_bar_writer = None
minute_bar_writer = None
asset_db_writer = None
adjustment_db_writer = None
if assets_versions:
raise ValueError('Need to ingest a bundle that creates '
'writers in order to downgrade the assets'
' db.')
bundle.ingest(
environ,
asset_db_writer,
minute_bar_writer,
daily_bar_writer,
adjustment_db_writer,
calendar,
start_session,
end_session,
cache,
show_progress,
is_compile,
pth.data_path([name, timestr], environ=environ),
)
for version in sorted(set(assets_versions), reverse=True):
version_path = wd.getpath(*asset_db_relative(
name, timestr, environ=environ, db_version=version,
))
with working_file(version_path) as wf:
shutil.copy2(assets_db_path, wf.path)
downgrade(wf.path, version)