def test_write_ohlcv_content(self):
result = self.bcolz_daily_bar_ctable
for column in OHLCV:
idx = 0
data = result[column][:]
multiplier = 1 if column == "volume" else 1000
for asset_id in self.assets:
for date in self.dates_for_asset(asset_id):
assert (data[idx] == expected_bar_value_with_holes(
asset_id=asset_id,
date=date,
colname=column,
holes=self.holes,
missing_value=0,
) * multiplier)
idx += 1
assert idx == len(data)
def test_write_ohlcv_content(self):
result = self.bcolz_daily_bar_ctable
for column in OHLCV:
idx = 0
data = result[column][:]
multiplier = 1 if column == 'volume' else 1000
for asset_id in self.assets:
for date in self.dates_for_asset(asset_id):
self.assertEqual(
data[idx],
expected_bar_value_with_holes(
asset_id=asset_id,
date=date,
colname=column,
holes=HOLES,
missing_value=0,
) * multiplier,
)
idx += 1
self.assertEqual(idx, len(data))
def test_write_ohlcv_content(self):
result = self.bcolz_daily_bar_ctable
for column in OHLCV:
idx = 0
data = result[column][:]
multiplier = 1 if column == 'volume' else 1000
for asset_id in self.assets:
for date in self.dates_for_asset(asset_id):
self.assertEqual(
data[idx],
expected_bar_value_with_holes(
asset_id=asset_id,
date=date,
colname=column,
holes=self.holes,
missing_value=0,
) * multiplier,
)
idx += 1
self.assertEqual(idx, len(data))
def test_unadjusted_get_value(self):
"""Test get_value() on both a price field (CLOSE) and VOLUME."""
reader = self.daily_bar_reader
def make_failure_msg(asset, date, field):
return "Unexpected value for sid={}; date={}; field={}.".format(
asset, date.date(), field)
for asset in self.assets:
# Dates to check.
asset_start = self.asset_start(asset)
asset_dates = self.dates_for_asset(asset)
asset_middle = asset_dates[len(asset_dates) // 2]
asset_end = self.asset_end(asset)
# At beginning
assert_equal(
reader.get_value(asset, asset_start, CLOSE),
expected_bar_value_with_holes(
asset_id=asset,
date=asset_start,
colname=CLOSE,
holes=self.holes,
missing_value=nan,
),
msg=make_failure_msg(asset, asset_start, CLOSE),
)
# Middle
assert_equal(
reader.get_value(asset, asset_middle, CLOSE),
expected_bar_value_with_holes(
asset_id=asset,
date=asset_middle,
colname=CLOSE,
holes=self.holes,
missing_value=nan,
),
msg=make_failure_msg(asset, asset_middle, CLOSE),
)
# End
assert_equal(
reader.get_value(asset, asset_end, CLOSE),
expected_bar_value_with_holes(
asset_id=asset,
date=asset_end,
colname=CLOSE,
holes=self.holes,
missing_value=nan,
),
msg=make_failure_msg(asset, asset_end, CLOSE),
)
# Ensure that volume does not have float adjustment applied.
assert_equal(
reader.get_value(asset, asset_start, VOLUME),
expected_bar_value_with_holes(
asset_id=asset,
date=asset_start,
colname=VOLUME,
holes=self.holes,
missing_value=0,
),
msg=make_failure_msg(asset, asset_start, VOLUME),
)
def test_unadjusted_get_value(self):
"""Test get_value() on both a price field (CLOSE) and VOLUME."""
reader = self.daily_bar_reader
def make_failure_msg(asset, date, field):
return "Unexpected value for sid={}; date={}; field={}.".format(
asset,
date.date(),
field
)
for asset in self.assets:
# Dates to check.
asset_start = self.asset_start(asset)
asset_dates = self.dates_for_asset(asset)
asset_middle = asset_dates[len(asset_dates) // 2]
asset_end = self.asset_end(asset)
# At beginning
assert_equal(
reader.get_value(asset, asset_start, CLOSE),
expected_bar_value_with_holes(
asset_id=asset,
date=asset_start,
colname=CLOSE,
holes=self.holes,
missing_value=nan,
),
msg=make_failure_msg(asset, asset_start, CLOSE),
)
# Middle
assert_equal(
reader.get_value(asset, asset_middle, CLOSE),
expected_bar_value_with_holes(
asset_id=asset,
date=asset_middle,
colname=CLOSE,
holes=self.holes,
missing_value=nan,
),
msg=make_failure_msg(asset, asset_middle, CLOSE),
)
# End
assert_equal(
reader.get_value(asset, asset_end, CLOSE),
expected_bar_value_with_holes(
asset_id=asset,
date=asset_end,
colname=CLOSE,
holes=self.holes,
missing_value=nan,
),
msg=make_failure_msg(asset, asset_end, CLOSE),
)
# Ensure that volume does not have float adjustment applied.
assert_equal(
reader.get_value(asset, asset_start, VOLUME),
expected_bar_value_with_holes(
asset_id=asset,
date=asset_start,
colname=VOLUME,
holes=self.holes,
missing_value=0,
),
msg=make_failure_msg(asset, asset_start, VOLUME),
)
