def test_load_raw_arrays(self):
reindex_reader = ReindexMinuteBarReader(
self.trading_calendar,
self.bcolz_equity_minute_bar_reader,
self.START_DATE,
self.END_DATE,
)
m_open, m_close = self.trading_calendar.open_and_close_for_session(
self.START_DATE)
outer_minutes = self.trading_calendar.minutes_in_range(m_open, m_close)
result = reindex_reader.load_raw_arrays(OHLCV, m_open, m_close, [1, 2])
opens = DataFrame(data=result[0], index=outer_minutes, columns=[1, 2])
opens_with_price = opens.dropna()
self.assertEqual(
1440,
len(opens),
"The result should have 1440 bars, the number of minutes in a "
"trading session on the target calendar.",
)
self.assertEqual(
390,
len(opens_with_price),
"The result, after dropping nans, should have 390 bars, the "
" number of bars in a trading session in the reader's calendar.",
)
slicer = outer_minutes.slice_indexer(
end=pd.Timestamp("2015-12-01 14:30", tz="UTC"))
assert_almost_equal(
opens[1][slicer],
full(slicer.stop, nan),
err_msg="All values before the NYSE market open should be nan.",
)
slicer = outer_minutes.slice_indexer(
start=pd.Timestamp("2015-12-01 21:01", tz="UTC"))
assert_almost_equal(
opens[1][slicer],
full(slicer.stop - slicer.start, nan),
err_msg="All values after the NYSE market close should be nan.",
)
first_minute_loc = outer_minutes.get_loc(
pd.Timestamp("2015-12-01 14:31", tz="UTC"))
# Spot check a value.
# The value is the autogenerated value from test fixtures.
assert_almost_equal(
10.0,
opens[1][first_minute_loc],
err_msg="The value for Equity 1, should be 10.0, at NYSE open.",
)
def test_load_raw_arrays(self):
reindex_reader = ReindexMinuteBarReader(
self.trading_calendar,
self.bcolz_equity_minute_bar_reader,
self.START_DATE,
self.END_DATE,
)
m_open, m_close = self.trading_calendar.open_and_close_for_session(
self.START_DATE)
outer_minutes = self.trading_calendar.minutes_in_range(m_open, m_close)
result = reindex_reader.load_raw_arrays(
OHLCV, m_open, m_close, [1, 2])
opens = DataFrame(data=result[0], index=outer_minutes,
columns=[1, 2])
opens_with_price = opens.dropna()
self.assertEqual(
1440,
len(opens),
"The result should have 1440 bars, the number of minutes in a "
"trading session on the target calendar."
)
self.assertEqual(
390,
len(opens_with_price),
"The result, after dropping nans, should have 390 bars, the "
" number of bars in a trading session in the reader's calendar."
)
slicer = outer_minutes.slice_indexer(
end=pd.Timestamp('2015-12-01 14:30', tz='UTC'))
assert_almost_equal(
opens[1][slicer],
full(slicer.stop, nan),
err_msg="All values before the NYSE market open should be nan.")
slicer = outer_minutes.slice_indexer(
start=pd.Timestamp('2015-12-01 21:01', tz='UTC'))
assert_almost_equal(
opens[1][slicer],
full(slicer.stop - slicer.start, nan),
err_msg="All values after the NYSE market close should be nan.")
first_minute_loc = outer_minutes.get_loc(pd.Timestamp(
'2015-12-01 14:31', tz='UTC'))
# Spot check a value.
# The value is the autogenerated value from test fixtures.
assert_almost_equal(
10.0,
opens[1][first_minute_loc],
err_msg="The value for Equity 1, should be 10.0, at NYSE open.")
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 _ensure_reader_aligned(self, reader):
if reader is None:
return
if reader.trading_calendar.name == self.trading_calendar.name:
return reader
elif reader.data_frequency == 'minute':
return ReindexMinuteBarReader(self.trading_calendar, reader,
self._first_trading_session,
self._last_trading_session)
elif reader.data_frequency == 'session':
return ReindexSessionBarReader(self.trading_calendar, reader,
self._first_trading_session,
self._last_trading_session)
