def test_truncate_between_data_points(self):
tds = self.market_opens.index
days = tds[tds.slice_indexer(
start=self.test_calendar_start + 1,
end=self.test_calendar_start + 3
)]
minutes = DatetimeIndex([
self.market_opens[days[0]] + timedelta(minutes=60),
self.market_opens[days[1]] + timedelta(minutes=120),
])
sid = 1
data = DataFrame(
data={
'open': [10.0, 11.0],
'high': [20.0, 21.0],
'low': [30.0, 31.0],
'close': [40.0, 41.0],
'volume': [50.0, 51.0]
},
index=minutes)
self.writer.write_sid(sid, data)
# Open a new writer to cover `open` method, also truncating only
# applies to an existing directory.
writer = BcolzMinuteBarWriter.open(self.dest)
# Truncate to first day with data.
writer.truncate(days[0])
# Refresh the reader since truncate update the metadata.
self.reader = BcolzMinuteBarReader(self.dest)
self.assertEqual(self.writer.last_date_in_output_for_sid(sid), days[0])
cal = self.trading_calendar
_, last_close = cal.open_and_close_for_session(days[0])
self.assertEqual(self.reader.last_available_dt, last_close)
minute = minutes[0]
open_price = self.reader.get_value(sid, minute, 'open')
self.assertEquals(10.0, open_price)
high_price = self.reader.get_value(sid, minute, 'high')
self.assertEquals(20.0, high_price)
low_price = self.reader.get_value(sid, minute, 'low')
self.assertEquals(30.0, low_price)
close_price = self.reader.get_value(sid, minute, 'close')
self.assertEquals(40.0, close_price)
volume_price = self.reader.get_value(sid, minute, 'volume')
self.assertEquals(50.0, volume_price)
def test_truncate_between_data_points(self):
tds = self.market_opens.index
days = tds[tds.slice_indexer(
start=self.test_calendar_start + Timedelta(days=1),
end=self.test_calendar_start + Timedelta(days=3)
)]
minutes = DatetimeIndex([
self.market_opens[days[0]] + timedelta(minutes=60),
self.market_opens[days[1]] + timedelta(minutes=120),
])
sid = 1
data = DataFrame(
data={
'open': [10.0, 11.0],
'high': [20.0, 21.0],
'low': [30.0, 31.0],
'close': [40.0, 41.0],
'volume': [50.0, 51.0]
},
index=minutes)
self.writer.write_sid(sid, data)
# Open a new writer to cover `open` method, also truncating only
# applies to an existing directory.
writer = BcolzMinuteBarWriter.open(self.dest)
# Truncate to first day with data.
writer.truncate(days[0])
# Refresh the reader since truncate update the metadata.
self.reader = BcolzMinuteBarReader(self.dest)
self.assertEqual(self.writer.last_date_in_output_for_sid(sid), days[0])
cal = self.trading_calendar
_, last_close = cal.open_and_close_for_session(days[0])
self.assertEqual(self.reader.last_available_dt, last_close)
minute = minutes[0]
open_price = self.reader.get_value(sid, minute, 'open')
self.assertEquals(10.0, open_price)
high_price = self.reader.get_value(sid, minute, 'high')
self.assertEquals(20.0, high_price)
low_price = self.reader.get_value(sid, minute, 'low')
self.assertEquals(30.0, low_price)
close_price = self.reader.get_value(sid, minute, 'close')
self.assertEquals(40.0, close_price)
volume_price = self.reader.get_value(sid, minute, 'volume')
self.assertEquals(50.0, volume_price)
def test_append_on_new_day(self):
sid = 1
ohlcv = {
'open': [2.0],
'high': [3.0],
'low': [1.0],
'close': [2.0],
'volume': [10.0]
}
dt = self.market_opens[TEST_CALENDAR_STOP]
data = DataFrame(
data=ohlcv,
index=[dt])
self.writer.write_sid(sid, data)
# Open a new writer to cover `open` method, also a common usage
# of appending new days will be writing to an existing directory.
cday = self.trading_calendar.schedule.index.freq
new_end_session = TEST_CALENDAR_STOP + cday
writer = BcolzMinuteBarWriter.open(self.dest, new_end_session)
next_day_minute = dt + cday
new_data = DataFrame(
data=ohlcv,
index=[next_day_minute])
writer.write_sid(sid, new_data)
# Get a new reader to test updated calendar.
reader = BcolzMinuteBarReader(self.dest)
second_minute = dt + Timedelta(minutes=1)
# The second minute should have been padded with zeros
for col in ('open', 'high', 'low', 'close'):
assert_almost_equal(
nan, reader.get_value(sid, second_minute, col)
)
self.assertEqual(
0, reader.get_value(sid, second_minute, 'volume')
)
# The next day minute should have data.
for col in ('open', 'high', 'low', 'close', 'volume'):
assert_almost_equal(
ohlcv[col], reader.get_value(sid, next_day_minute, col)
)
def test_append_on_new_day(self):
sid = 1
ohlcv = {
'open': [2.0],
'high': [3.0],
'low': [1.0],
'close': [2.0],
'volume': [10.0]
}
dt = self.market_opens[TEST_CALENDAR_STOP]
data = DataFrame(
data=ohlcv,
index=[dt])
self.writer.write_sid(sid, data)
# Open a new writer to cover `open` method, also a common usage
# of appending new days will be writing to an existing directory.
cday = self.trading_calendar.schedule.index.freq
new_end_session = TEST_CALENDAR_STOP + cday
writer = BcolzMinuteBarWriter.open(self.dest, new_end_session)
next_day_minute = dt + cday
new_data = DataFrame(
data=ohlcv,
index=[next_day_minute])
writer.write_sid(sid, new_data)
# Get a new reader to test updated calendar.
reader = BcolzMinuteBarReader(self.dest)
second_minute = dt + Timedelta(minutes=1)
# The second minute should have been padded with zeros
for col in ('open', 'high', 'low', 'close'):
assert_almost_equal(
nan, reader.get_value(sid, second_minute, col)
)
self.assertEqual(
0, reader.get_value(sid, second_minute, 'volume')
)
# The next day minute should have data.
for col in ('open', 'high', 'low', 'close', 'volume'):
assert_almost_equal(
ohlcv[col], reader.get_value(sid, next_day_minute, col)
)
def test_truncate_between_data_points(self):
tds = self.market_opens.index
days = tds[tds.slice_indexer(
start=self.test_calendar_start + timedelta(days=1),
end=self.test_calendar_start + timedelta(days=3),
)]
minutes = pd.DatetimeIndex([
self.market_opens[days[0]] + timedelta(minutes=60),
self.market_opens[days[1]] + timedelta(minutes=120),
])
sid = 1
data = pd.DataFrame(
data={
"open": [10.0, 11.0],
"high": [20.0, 21.0],
"low": [30.0, 31.0],
"close": [40.0, 41.0],
"volume": [50.0, 51.0],
},
index=minutes,
)
self.writer.write_sid(sid, data)
# Open a new writer to cover `open` method, also truncating only
# applies to an existing directory.
writer = BcolzMinuteBarWriter.open(self.dest)
# Truncate to first day with data.
writer.truncate(days[0])
# Refresh the reader since truncate update the metadata.
self.reader = BcolzMinuteBarReader(self.dest)
assert self.writer.last_date_in_output_for_sid(sid) == days[0]
cal = self.trading_calendar
_, last_close = cal.open_and_close_for_session(days[0])
assert self.reader.last_available_dt == last_close
minute = minutes[0]
open_price = self.reader.get_value(sid, minute, "open")
assert 10.0 == open_price
high_price = self.reader.get_value(sid, minute, "high")
assert 20.0 == high_price
low_price = self.reader.get_value(sid, minute, "low")
assert 30.0 == low_price
close_price = self.reader.get_value(sid, minute, "close")
assert 40.0 == close_price
volume_price = self.reader.get_value(sid, minute, "volume")
assert 50.0 == volume_price
