def test_5m_dataframe_window() -> None:
df_5min = random_kline_data_with_start_end(utc_datetime(2016, 1, 1, 0),
utc_datetime(
2016, 1, 2, 23, 55),
freq='5min')
df_5min_between = kline_count_window(df_5min, utc_datetime(2016, 1, 2), 30)
assert len(df_5min_between) == 30
assert df_5min_between.index[-1] == utc_datetime(2016, 1, 2)
df_5min_not_full_start = kline_count_window(df_5min,
utc_datetime(2016, 1, 1, 1),
30)
assert len(df_5min_not_full_start) == 13
assert df_5min_not_full_start.index[-1] == utc_datetime(2016, 1, 1, 1)
assert df_5min_not_full_start.index[0] == utc_datetime(2016, 1, 1)
df_5min_not_full_count_end = kline_count_window(
df_5min, utc_datetime(2016, 1, 3, 0, 20), 10)
assert len(df_5min_not_full_count_end) == 5
assert df_5min_not_full_count_end.index[-1] == utc_datetime(
2016, 1, 2, 23, 55)
df_5min_with_remain_in_end_time = kline_count_window(
df_5min, utc_datetime(2016, 1, 2, 12, 13, 3), 30)
assert len(df_5min_with_remain_in_end_time) == 30
assert df_5min_with_remain_in_end_time.index[-1] == utc_datetime(
2016, 1, 2, 12, 10)
def test_1m_dataframe_window() -> None:
df = random_kline_data_with_start_end(utc_datetime(2016, 1, 1, 0, 1),
utc_datetime(2016, 1, 3))
df_between = kline_count_window(df, utc_datetime(2016, 1, 2), 100)
assert len(df_between) == 100
assert df_between.index[-1] == utc_datetime(2016, 1, 2)
df_not_full_count_start = kline_count_window(df,
utc_datetime(2016, 1, 1,
1), 100)
assert len(df_not_full_count_start) == 60
assert df_not_full_count_start.index[-1] == utc_datetime(2016, 1, 1, 1)
assert df_not_full_count_start.index[0] == utc_datetime(2016, 1, 1, 0, 1)
df_not_full_count_end = kline_count_window(df,
utc_datetime(2016, 1, 3, 0, 20),
100)
assert len(df_not_full_count_end) == 80
assert df_not_full_count_end.index[-1] == utc_datetime(2016, 1, 3)
df_way_out_of_start = kline_count_window(df, utc_datetime(2015, 1, 1), 100)
assert len(df_way_out_of_start) == 0
df_way_out_of_end = kline_count_window(df, utc_datetime(2017, 1, 1), 100)
assert len(df_way_out_of_end) == 0
df_with_second_in_endtime = kline_count_window(
df, utc_datetime(2016, 1, 2, 12, 13, 3), 200)
assert len(df_with_second_in_endtime) == 200
assert df_with_second_in_endtime.index[-1] == utc_datetime(
2016, 1, 2, 12, 13)
def test_other_dataframe_window() -> None:
df_15min = random_kline_data_with_start_end(utc_datetime(2016, 1, 1, 0),
utc_datetime(2016, 1, 3),
freq='15min')
df_15min_between = kline_count_window(df_15min,
utc_datetime(2016, 1, 1, 23, 45), 10)
assert len(df_15min_between) == 10
assert df_15min_between.index[-1] == utc_datetime(2016, 1, 1, 23, 45)
df_30min = random_kline_data_with_start_end(utc_datetime(2016, 1, 1, 0),
utc_datetime(2016, 1, 3),
freq='30min')
df_30min_between = kline_count_window(df_30min,
utc_datetime(2016, 1, 1, 23, 30), 10)
assert len(df_30min_between) == 10
assert df_30min_between.index[-1] == utc_datetime(2016, 1, 1, 23, 30)
df_60min = random_kline_data_with_start_end(utc_datetime(2016, 1, 1, 0),
utc_datetime(2016, 1, 3),
freq='60min')
df_60min_between = kline_count_window(df_60min,
utc_datetime(2016, 1, 1, 23), 10)
assert len(df_60min_between) == 10
assert df_60min_between.index[-1] == utc_datetime(2016, 1, 1, 23)
def get_kline(self, symbol: str, date_time: datetime.datetime,
count: int) -> pandas.DataFrame:
assert is_aware_datetime(date_time)
kline_frame = self._kline_store.get(symbol)
target_klines = kline_count_window(kline_frame, date_time, count)
return target_klines
def history_indicator(self, store_key: str, count: int) -> pandas.DataFrame:
frame = self._cache_indicator[store_key]
return kline_count_window(frame, self.context.now, count)
def history_kline(self, freq: str, instrument: INSTRUMENT, count: int) -> pandas.DataFrame:
frame = self._cache_kline[instrument][freq]
return kline_count_window(frame, self.context.now, count)