def register_cn_bundle_from_yahoo(name, cache=True):
"""
register a new bundle of stocks from chinese market from yahoo
:param name: the name of bundle
:return: register result
"""
symbol_list = get_filtered_symbols(cache)
return register(
name,
yahoo_equities(dict(list(zip(symbol_list, symbol_list)))),
)
def test_bundle(self):
def get_symbol_from_url(url):
params = parse_qs(urlparse(url).query)
symbol, = params['s']
return symbol
def pricing_callback(request):
headers = {
'content-encoding': 'gzip',
'content-type': 'text/csv',
}
path = test_resource_path(
'yahoo_samples',
get_symbol_from_url(request.url) + '.csv.gz',
)
with open(path, 'rb') as f:
return (
200,
headers,
f.read(),
)
for _ in range(3):
self.responses.add_callback(
self.responses.GET,
'http://ichart.finance.yahoo.com/table.csv',
pricing_callback,
)
def adjustments_callback(request):
path = test_resource_path(
'yahoo_samples',
get_symbol_from_url(request.url) + '.adjustments.gz',
)
return 200, {}, read_compressed(path)
for _ in range(3):
self.responses.add_callback(
self.responses.GET,
'http://ichart.finance.yahoo.com/x',
adjustments_callback,
)
cal = self.calendar
self.register(
'bundle',
yahoo_equities(self.symbols),
calendar=cal,
)
zipline_root = self.enter_instance_context(tmp_dir()).path
environ = {
'ZIPLINE_ROOT': zipline_root,
}
self.ingest('bundle', environ=environ)
bundle = load('bundle', environ=environ)
sids = 0, 1, 2
equities = bundle.asset_finder.retrieve_all(sids)
for equity, expected_symbol in zip(equities, self.symbols):
assert_equal(equity.symbol, expected_symbol)
for equity in bundle.asset_finder.retrieve_all(sids):
assert_equal(equity.start_date, self.asset_start, msg=equity)
assert_equal(equity.end_date, self.asset_end, msg=equity)
actual = bundle.equity_daily_bar_reader.load_raw_arrays(
self.columns,
cal[cal.get_loc(self.asset_start, 'bfill')],
cal[cal.get_loc(self.asset_end, 'ffill')],
sids,
)
expected_pricing, expected_adjustments = self._expected_data()
assert_equal(actual, expected_pricing, array_decimal=2)
adjustments_for_cols = bundle.adjustment_reader.load_adjustments(
self.columns,
cal,
pd.Index(sids),
)
for column, adjustments, expected in zip(self.columns,
adjustments_for_cols,
expected_adjustments):
assert_equal(
adjustments,
expected,
msg=column,
)
def test_bundle(self):
def get_symbol_from_url(url):
params = parse_qs(urlparse(url).query)
symbol, = params['s']
return symbol
def pricing_callback(request):
headers = {
'content-encoding': 'gzip',
'content-type': 'text/csv',
}
path = test_resource_path(
'yahoo_samples',
get_symbol_from_url(request.url) + '.csv.gz',
)
with open(path, 'rb') as f:
return (
200,
headers,
f.read(),
)
for _ in range(3):
self.responses.add_callback(
self.responses.GET,
'http://ichart.finance.yahoo.com/table.csv',
pricing_callback,
)
def adjustments_callback(request):
path = test_resource_path(
'yahoo_samples',
get_symbol_from_url(request.url) + '.adjustments.gz',
)
return 200, {}, read_compressed(path)
for _ in range(3):
self.responses.add_callback(
self.responses.GET,
'http://ichart.finance.yahoo.com/x',
adjustments_callback,
)
self.register(
'bundle',
yahoo_equities(self.symbols),
calendar_name='NYSE',
start_session=self.asset_start,
end_session=self.asset_end,
)
zipline_root = self.enter_instance_context(tmp_dir()).path
environ = {
'ZIPLINE_ROOT': zipline_root,
}
self.ingest('bundle', environ=environ, show_progress=False)
bundle = self.load('bundle', environ=environ)
sids = 0, 1, 2
equities = bundle.asset_finder.retrieve_all(sids)
for equity, expected_symbol in zip(equities, self.symbols):
assert_equal(equity.symbol, expected_symbol)
for equity in bundle.asset_finder.retrieve_all(sids):
assert_equal(equity.start_date, self.asset_start, msg=equity)
assert_equal(equity.end_date, self.asset_end, msg=equity)
sessions = self.sessions
actual = bundle.equity_daily_bar_reader.load_raw_arrays(
self.columns,
sessions[sessions.get_loc(self.asset_start, 'bfill')],
sessions[sessions.get_loc(self.asset_end, 'ffill')],
sids,
)
expected_pricing, expected_adjustments = self._expected_data()
assert_equal(actual, expected_pricing, array_decimal=2)
adjustments_for_cols = bundle.adjustment_reader.load_adjustments(
self.columns,
self.sessions,
pd.Index(sids),
)
for column, adjustments, expected in zip(self.columns,
adjustments_for_cols,
expected_adjustments):
assert_equal(
adjustments,
expected,
msg=column,
decimal=4,
)