def init_class_fixtures(cls):
super().init_class_fixtures()
readers = {
Equity:
ReindexMinuteBarReader(cls.trading_calendar,
cls.bcolz_equity_minute_bar_reader,
cls.START_DATE, cls.END_DATE),
Future:
cls.bcolz_future_minute_bar_reader
}
cls.dispatch_reader = AssetDispatchMinuteBarReader(
cls.trading_calendar, cls.asset_finder, readers)
def __init__(self,
asset_finder,
trading_calendar,
first_trading_day,
equity_daily_reader=None,
equity_minute_reader=None,
future_daily_reader=None,
future_minute_reader=None,
adjustment_reader=None,
last_available_session=None,
last_available_minute=None,
minute_history_prefetch_length=_DEF_M_HIST_PREFETCH,
daily_history_prefetch_length=_DEF_D_HIST_PREFETCH):
self.trading_calendar = trading_calendar
self.asset_finder = asset_finder
self._adjustment_reader = adjustment_reader
# caches of sid -> adjustment list
self._splits_dict = {}
self._mergers_dict = {}
self._dividends_dict = {}
# Cache of sid -> the first trading day of an asset.
self._asset_start_dates = {}
self._asset_end_dates = {}
# Handle extra sources, like Fetcher.
self._augmented_sources_map = {}
self._extra_source_df = None
self._first_trading_session = first_trading_day
_last_sessions = [
r.last_available_dt
for r in [equity_daily_reader, future_daily_reader]
if r is not None
]
if _last_sessions:
self._last_trading_session = min(_last_sessions)
else:
self._last_trading_session = None
aligned_equity_minute_reader = self._ensure_reader_aligned(
equity_minute_reader)
aligned_equity_session_reader = self._ensure_reader_aligned(
equity_daily_reader)
aligned_future_minute_reader = self._ensure_reader_aligned(
future_minute_reader)
aligned_future_session_reader = self._ensure_reader_aligned(
future_daily_reader)
self._roll_finders = {
'calendar':
CalendarRollFinder(self.trading_calendar, self.asset_finder),
}
aligned_minute_readers = {}
aligned_session_readers = {}
if aligned_equity_minute_reader is not None:
aligned_minute_readers[Equity] = aligned_equity_minute_reader
if aligned_equity_session_reader is not None:
aligned_session_readers[Equity] = aligned_equity_session_reader
if aligned_future_minute_reader is not None:
aligned_minute_readers[Future] = aligned_future_minute_reader
aligned_minute_readers[ContinuousFuture] = \
ContinuousFutureMinuteBarReader(
aligned_future_minute_reader,
self._roll_finders,
)
if aligned_future_session_reader is not None:
aligned_session_readers[Future] = aligned_future_session_reader
self._roll_finders['volume'] = VolumeRollFinder(
self.trading_calendar,
self.asset_finder,
aligned_future_session_reader,
)
aligned_session_readers[ContinuousFuture] = \
ContinuousFutureSessionBarReader(
aligned_future_session_reader,
self._roll_finders,
)
_dispatch_minute_reader = AssetDispatchMinuteBarReader(
self.trading_calendar,
self.asset_finder,
aligned_minute_readers,
last_available_minute,
)
_dispatch_session_reader = AssetDispatchSessionBarReader(
self.trading_calendar,
self.asset_finder,
aligned_session_readers,
last_available_session,
)
self._pricing_readers = {
'minute': _dispatch_minute_reader,
'daily': _dispatch_session_reader,
}
self._daily_aggregator = DailyHistoryAggregator(
self.trading_calendar.schedule.market_open,
_dispatch_minute_reader, self.trading_calendar)
self._history_loader = DailyHistoryLoader(
self.trading_calendar,
_dispatch_session_reader,
self._adjustment_reader,
self.asset_finder,
self._roll_finders,
prefetch_length=daily_history_prefetch_length,
)
self._minute_history_loader = MinuteHistoryLoader(
self.trading_calendar,
_dispatch_minute_reader,
self._adjustment_reader,
self.asset_finder,
self._roll_finders,
prefetch_length=minute_history_prefetch_length,
)
self._first_trading_day = first_trading_day
# Get the first trading minute
self._first_trading_minute, _ = (
self.trading_calendar.open_and_close_for_session(
self._first_trading_day)
if self._first_trading_day is not None else (None, None))
# Store the locs of the first day and first minute
self._first_trading_day_loc = (
self.trading_calendar.all_sessions.get_loc(self._first_trading_day)
if self._first_trading_day is not None else None)