def test_get_value_at_midnight(self):
# make sure that if we try to get a minute price at a non-market
# minute, we use the previous market close's timestamp
day = self.equity_minute_bar_days[1]
eight_fortyfive_am_eastern = \
pd.Timestamp("{0}-{1}-{2} 8:45".format(
day.year, day.month, day.day),
tz='US/Eastern'
)
bar_data = self.create_bardata(lambda: day, )
bar_data2 = self.create_bardata(lambda: eight_fortyfive_am_eastern, )
with handle_non_market_minutes(bar_data), \
handle_non_market_minutes(bar_data2):
for bd in [bar_data, bar_data2]:
for field in ["close", "price"]:
self.assertEqual(390, bd.current(self.ASSET1, field))
# make sure that if the asset didn't trade at the previous
# close, we properly ffill (or not ffill)
self.assertEqual(
350, bd.current(self.HILARIOUSLY_ILLIQUID_ASSET, "price"))
self.assertTrue(
np.isnan(
bd.current(self.HILARIOUSLY_ILLIQUID_ASSET, "high")))
self.assertEqual(
0, bd.current(self.HILARIOUSLY_ILLIQUID_ASSET, "volume"))
def test_overnight_adjustments(self):
# verify there is a split for SPLIT_ASSET
splits = self.adjustment_reader.get_adjustments_for_sid(
"splits", self.SPLIT_ASSET.sid)
self.assertEqual(1, len(splits))
split = splits[0]
self.assertEqual(split[0], pd.Timestamp("2016-01-06", tz='UTC'))
# Current day is 1/06/16
day = self.equity_daily_bar_days[1]
eight_fortyfive_am_eastern = \
pd.Timestamp("{0}-{1}-{2} 8:45".format(
day.year, day.month, day.day),
tz='US/Eastern'
)
bar_data = self.create_bardata(lambda: eight_fortyfive_am_eastern, )
expected = {
'open': 391 / 2.0,
'high': 392 / 2.0,
'low': 389 / 2.0,
'close': 390 / 2.0,
'volume': 39000 * 2.0,
'price': 390 / 2.0,
}
with handle_non_market_minutes(bar_data):
for field in OHLCP + ['volume']:
value = bar_data.current(self.SPLIT_ASSET, field)
# Assert the price is adjusted for the overnight split
self.assertEqual(value, expected[field])
def test_is_stale_during_non_market_hours(self):
bar_data = self.create_bardata(
lambda: self.equity_minute_bar_days[1],
)
with handle_non_market_minutes(bar_data):
self.assertTrue(bar_data.is_stale(self.HILARIOUSLY_ILLIQUID_ASSET))
def test_get_value_at_midnight(self):
# make sure that if we try to get a minute price at a non-market
# minute, we use the previous market close's timestamp
day = self.equity_minute_bar_days[1]
eight_fortyfive_am_eastern = \
pd.Timestamp("{0}-{1}-{2} 8:45".format(
day.year, day.month, day.day),
tz='US/Eastern'
)
bar_data = self.create_bardata(
lambda: day,
)
bar_data2 = self.create_bardata(
lambda: eight_fortyfive_am_eastern,
)
with handle_non_market_minutes(bar_data), \
handle_non_market_minutes(bar_data2):
for bd in [bar_data, bar_data2]:
for field in ["close", "price"]:
self.assertEqual(
390,
bd.current(self.ASSET1, field)
)
# make sure that if the asset didn't trade at the previous
# close, we properly ffill (or not ffill)
self.assertEqual(
350,
bd.current(self.HILARIOUSLY_ILLIQUID_ASSET, "price")
)
self.assertTrue(
np.isnan(bd.current(self.HILARIOUSLY_ILLIQUID_ASSET,
"high"))
)
self.assertEqual(
0,
bd.current(self.HILARIOUSLY_ILLIQUID_ASSET, "volume")
)
def test_overnight_adjustments(self):
# verify there is a split for SPLIT_ASSET
splits = self.adjustment_reader.get_adjustments_for_sid(
"splits",
self.SPLIT_ASSET.sid
)
self.assertEqual(1, len(splits))
split = splits[0]
self.assertEqual(
split[0],
pd.Timestamp("2016-01-06", tz='UTC')
)
# Current day is 1/06/16
day = self.equity_daily_bar_days[1]
eight_fortyfive_am_eastern = \
pd.Timestamp("{0}-{1}-{2} 8:45".format(
day.year, day.month, day.day),
tz='US/Eastern'
)
bar_data = self.create_bardata(
lambda: eight_fortyfive_am_eastern,
)
expected = {
'open': 391 / 2.0,
'high': 392 / 2.0,
'low': 389 / 2.0,
'close': 390 / 2.0,
'volume': 39000 * 2.0,
'price': 390 / 2.0,
}
with handle_non_market_minutes(bar_data):
for field in OHLCP + ['volume']:
value = bar_data.current(self.SPLIT_ASSET, field)
# Assert the price is adjusted for the overnight split
self.assertEqual(value, expected[field])