Python make_rotating_equity_info Examples

Example #1

    def setUpClass(cls):
        cls.first_asset_start = Timestamp('2015-04-01', tz='UTC')
        cls.env = TradingEnvironment()
        cls.trading_day = day = cls.env.trading_day
        cls.calendar = date_range('2015', '2015-08', tz='UTC', freq=day)

        cls.asset_info = make_rotating_equity_info(
            num_assets=6,
            first_start=cls.first_asset_start,
            frequency=day,
            periods_between_starts=4,
            asset_lifetime=8,
        )
        cls.last_asset_end = cls.asset_info['end_date'].max()
        cls.all_asset_ids = cls.asset_info.index

        cls.env.write_data(equities_df=cls.asset_info)
        cls.finder = cls.env.asset_finder

        cls.temp_dir = TempDirectory()
        cls.temp_dir.create()

        try:
            cls.writer = SyntheticDailyBarWriter(
                asset_info=cls.asset_info[['start_date', 'end_date']],
                calendar=cls.calendar,
            )
            table = cls.writer.write(
                cls.temp_dir.getpath('testdata.bcolz'),
                cls.calendar,
                cls.all_asset_ids,
            )

            cls.pipeline_loader = USEquityPricingLoader(
                BcolzDailyBarReader(table),
                NullAdjustmentReader(),
            )
        except:
            cls.temp_dir.cleanup()
            raise