def test_retrieving_intermittently_cached_trades(tmpdir, provider):
retriever = HistoricalRetriever(provider=provider, hist_data_dir=tmpdir,)
data = pd.DataFrame()
dates = generate_trading_days(
start_date=date(2020, 7, 21), end_date=date(2020, 7, 23),
)
date_ranges = [
dates[:1],
dates[-1:],
dates,
]
for date_range in date_ranges:
start_date = date_range[0]
end_date = date_range[-1]
contract = StockContract(symbol="SPY")
try:
data = retriever.retrieve_trades_data(
contract=contract, start_date=start_date, end_date=end_date,
)
except NotImplementedError:
return
validate_data_range(data=data, start_date=dates[0], end_date=dates[-1])
def test_retrieve_non_cached_trades_data(tmpdir, provider):
start_date = date(2020, 7, 22)
end_date = date(2020, 7, 23)
retriever = HistoricalRetriever(provider=provider, hist_data_dir=tmpdir)
contract = StockContract(symbol="SPY")
try:
data = retriever.retrieve_trades_data(
contract=contract, start_date=start_date, end_date=end_date,
)
except NotImplementedError:
return
validate_data_range(data=data, start_date=start_date, end_date=end_date)
def test_retrieve_cached_trades():
start_date = date(2020, 6, 17)
end_date = date(2020, 6, 19)
retriever = HistoricalRetriever(hist_data_dir=TEST_DATA_DIR)
contract = StockContract(symbol="SPY")
data = retriever.retrieve_trades_data(
contract=contract,
start_date=start_date,
end_date=end_date,
cache_only=True,
)
assert len(data) != 0
validate_data_range(data=data, start_date=start_date, end_date=end_date)
def test_retrieve_non_cached_trades_data_today_partial(tmpdir, provider):
end_date = date.today()
start_date = end_date - timedelta(days=1)
retriever = HistoricalRetriever(provider=provider, hist_data_dir=tmpdir)
contract = StockContract(symbol="SPY")
try:
data = retriever.retrieve_trades_data(
contract=contract,
start_date=start_date,
end_date=end_date,
allow_partial=True,
rth=False,
)
except NotImplementedError:
return
validate_data_range(data=data, start_date=start_date, end_date=end_date)
assert data.iloc[-1].name.date() == date.today()