def update_benchmarks(symbol, last_date):
"""
Updates data in the zipline message pack
last_date should be a datetime object of the most recent data
Puts source benchmark into zipline.
"""
benchmark_data = []
with get_datafile(get_benchmark_filename(symbol), mode='rb') as bmark_fp:
bm_list = msgpack.loads(bmark_fp.read())
for packed_date, returns in bm_list:
benchmark_data.append((packed_date, returns))
try:
start = last_date + timedelta(days=1)
for daily_return in get_benchmark_returns(symbol, start_date=start):
date_as_tuple = daily_return.date.timetuple()[0:6] + \
(daily_return.date.microsecond,)
# Not ideal but massaging data into expected format
benchmark = (date_as_tuple, daily_return.returns)
benchmark_data.append(benchmark)
with get_datafile(get_benchmark_filename(symbol),
mode='wb') as bmark_fp:
bmark_fp.write(msgpack.dumps(benchmark_data))
except benchmarks.BenchmarkDataNotFoundError as exc:
logger.warn(exc)
def update_benchmarks(symbol, last_date):
"""
Updates data in the zipline message pack
last_date should be a datetime object of the most recent data
Puts source benchmark into zipline.
"""
benchmark_data = []
with get_datafile(get_benchmark_filename(symbol), mode='rb') as bmark_fp:
bm_list = msgpack.loads(bmark_fp.read())
for packed_date, returns in bm_list:
benchmark_data.append((packed_date, returns))
try:
start = last_date + timedelta(days=1)
for daily_return in get_benchmark_returns(symbol, start_date=start):
date_as_tuple = daily_return.date.timetuple()[0:6] + \
(daily_return.date.microsecond,)
# Not ideal but massaging data into expected format
benchmark = (date_as_tuple, daily_return.returns)
benchmark_data.append(benchmark)
with get_datafile(
get_benchmark_filename(symbol), mode='wb') as bmark_fp:
bmark_fp.write(msgpack.dumps(benchmark_data))
except benchmarks.BenchmarkDataNotFoundError as exc:
logger.warn(exc)
def dump_benchmarks():
"""
Dumps data to be used with zipline.
Puts source treasury and data into zipline.
"""
benchmark_data = []
for daily_return in get_benchmark_returns():
date_as_tuple = daily_return.date.timetuple()[0:6] + \
(daily_return.date.microsecond,)
# Not ideal but massaging data into expected format
benchmark = (date_as_tuple, daily_return.returns)
benchmark_data.append(benchmark)
with get_datafile('benchmark.msgpack', mode='wb') as bmark_fp:
bmark_fp.write(msgpack.dumps(benchmark_data))
def dump_benchmarks(symbol):
"""
Dumps data to be used with zipline.
Puts source treasury and data into zipline.
"""
benchmark_data = []
for daily_return in get_benchmark_returns(symbol):
date_as_tuple = daily_return.date.timetuple()[0:6] + \
(daily_return.date.microsecond,)
# Not ideal but massaging data into expected format
benchmark = (date_as_tuple, daily_return.returns)
benchmark_data.append(benchmark)
with get_datafile(get_benchmark_filename(symbol), mode='wb') as bmark_fp:
bmark_fp.write(msgpack.dumps(benchmark_data))
