def writer(self, session_bar_reader):
return self.enter_instance_context(
SQLiteAdjustmentWriter(
self.db_path,
session_bar_reader,
overwrite=True,
), )
def __init__(self):
conn = sqlite3_connect(':memory:')
writer = SQLiteAdjustmentWriter(conn, None, None)
empty = DataFrame({
'sid': array([], dtype=uint32),
'effective_date': array([], dtype=uint32),
'ratio': array([], dtype=float),
})
empty_dividends = DataFrame({
'sid': array([], dtype=uint32),
'amount': array([], dtype=float64),
'record_date': array([], dtype='datetime64[ns]'),
'ex_date': array([], dtype='datetime64[ns]'),
'declared_date': array([], dtype='datetime64[ns]'),
'pay_date': array([], dtype='datetime64[ns]'),
})
writer.write(splits=empty, mergers=empty, dividends=empty_dividends)
super(NullAdjustmentReader, self).__init__(conn)
def __init__(self):
conn = sqlite3_connect(':memory:')
writer = SQLiteAdjustmentWriter(conn, None, None)
empty = DataFrame({
'sid': array([], dtype=uint32),
'effective_date': array([], dtype=uint32),
'ratio': array([], dtype=float),
})
empty_dividends = DataFrame({
'sid': array([], dtype=uint32),
'amount': array([], dtype=float64),
'record_date': array([], dtype='datetime64[ns]'),
'ex_date': array([], dtype='datetime64[ns]'),
'declared_date': array([], dtype='datetime64[ns]'),
'pay_date': array([], dtype='datetime64[ns]'),
})
writer.write(splits=empty, mergers=empty, dividends=empty_dividends)
super(NullAdjustmentReader, self).__init__(conn)
def __init__(self):
conn = sqlite3_connect(":memory:")
writer = SQLiteAdjustmentWriter(conn, None, None)
empty = DataFrame({
"sid": array([], dtype=uint32),
"effective_date": array([], dtype=uint32),
"ratio": array([], dtype=float),
})
empty_dividends = DataFrame({
"sid":
array([], dtype=uint32),
"amount":
array([], dtype=float64),
"record_date":
array([], dtype="datetime64[ns]"),
"ex_date":
array([], dtype="datetime64[ns]"),
"declared_date":
array([], dtype="datetime64[ns]"),
"pay_date":
array([], dtype="datetime64[ns]"),
})
writer.write(splits=empty, mergers=empty, dividends=empty_dividends)
super(NullAdjustmentReader, self).__init__(conn)
def ingest(name,
environ=os.environ,
timestamp=None,
assets_versions=(),
show_progress=False):
"""Ingest data for a given bundle.
Parameters
----------
name : str
The name of the bundle.
environ : mapping, optional
The environment variables. By default this is os.environ.
timestamp : datetime, optional
The timestamp to use for the load.
By default this is the current time.
assets_versions : Iterable[int], optional
Versions of the assets db to which to downgrade.
show_progress : bool, optional
Tell the ingest function to display the progress where possible.
"""
try:
bundle = bundles[name]
except KeyError:
raise UnknownBundle(name)
calendar = get_calendar(bundle.calendar_name)
start_session = bundle.start_session
end_session = bundle.end_session
if start_session is None or start_session < calendar.first_session:
start_session = calendar.first_session
if end_session is None or end_session > calendar.last_session:
end_session = calendar.last_session
if timestamp is None:
timestamp = pd.Timestamp.utcnow()
timestamp = timestamp.tz_convert('utc').tz_localize(None)
timestr = to_bundle_ingest_dirname(timestamp)
cachepath = cache_path(name, environ=environ)
pth.ensure_directory(pth.data_path([name, timestr], environ=environ))
pth.ensure_directory(cachepath)
with dataframe_cache(cachepath, clean_on_failure=False) as cache, \
ExitStack() as stack:
# we use `cleanup_on_failure=False` so that we don't purge the
# cache directory if the load fails in the middle
if bundle.create_writers:
wd = stack.enter_context(
working_dir(pth.data_path([], environ=environ)))
daily_bars_path = wd.ensure_dir(
*daily_equity_relative(name, timestr))
daily_bar_writer = CNBcolzDailyBarWriter(
daily_bars_path,
calendar,
start_session,
end_session,
)
# Do an empty write to ensure that the daily ctables exist
# when we create the SQLiteAdjustmentWriter below. The
# SQLiteAdjustmentWriter needs to open the daily ctables so
# that it can compute the adjustment ratios for the dividends.
daily_bar_writer.write(())
minute_bar_writer = BcolzMinuteBarWriter(
wd.ensure_dir(*minute_equity_relative(name, timestr)),
calendar,
start_session,
end_session,
minutes_per_day=bundle.minutes_per_day,
)
assets_db_path = wd.getpath(*asset_db_relative(name, timestr))
asset_db_writer = AssetDBWriter(assets_db_path)
adjustment_db_writer = stack.enter_context(
SQLiteAdjustmentWriter(
wd.getpath(*adjustment_db_relative(name, timestr)),
CNBcolzDailyBarReader(daily_bars_path),
overwrite=True,
))
fundamentals_db_writer = stack.enter_context(
SQLiteFundamentalsWriter(
wd.getpath(*fundamentals_db_relative(
name, timestr, environ=environ)),
overwrite=True,
))
else:
daily_bar_writer = None
minute_bar_writer = None
asset_db_writer = None
adjustment_db_writer = None
if assets_versions:
raise ValueError('Need to ingest a bundle that creates '
'writers in order to downgrade the assets'
' db.')
log.info("Ingesting {}.", name)
bundle.ingest(
environ,
asset_db_writer,
minute_bar_writer,
daily_bar_writer,
adjustment_db_writer,
fundamentals_db_writer,
calendar,
start_session,
end_session,
cache,
show_progress,
pth.data_path([name, timestr], environ=environ),
)
for version in sorted(set(assets_versions), reverse=True):
version_path = wd.getpath(*asset_db_relative(
name,
timestr,
db_version=version,
))
with working_file(version_path) as wf:
shutil.copy2(assets_db_path, wf.path)
downgrade(wf.path, version)