def test_load_raw_arrays(self):
reindex_reader = ReindexSessionBarReader(
self.trading_calendar,
self.bcolz_equity_daily_bar_reader,
self.START_DATE,
self.END_DATE,
)
outer_sessions = self.trading_calendar.sessions_in_range(
self.START_DATE, self.END_DATE)
result = reindex_reader.load_raw_arrays(OHLCV, self.START_DATE,
self.END_DATE, [1, 2])
opens = DataFrame(data=result[0], index=outer_sessions, columns=[1, 2])
opens_with_price = opens.dropna()
self.assertEqual(
21, len(opens),
"The reindexed result should have 21 days, which is the number of "
"business days in 2015-11")
self.assertEqual(
20, len(opens_with_price),
"The reindexed result after dropping nans should have 20 days, "
"because Thanksgiving is a NYSE holiday.")
# Thanksgiving, 2015-11-26.
# Is a holiday in NYSE, but not in us_futures.
tday_loc = outer_sessions.get_loc(pd.Timestamp('2015-11-26', tz='UTC'))
assert_almost_equal(
nan,
opens[1][tday_loc],
err_msg="2015-11-26 should be `nan`, since Thanksgiving is a "
"holiday in the reader's calendar.")
def init_instance_fixtures(self):
super(TestReindexSessionBars, self).init_instance_fixtures()
self.reader = ReindexSessionBarReader(
self.trading_calendar,
self.bcolz_equity_daily_bar_reader,
self.START_DATE,
self.END_DATE,
)
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)
def init_class_fixtures(cls):
super().init_class_fixtures()
readers = {
Equity:
ReindexSessionBarReader(cls.trading_calendar,
cls.bcolz_equity_daily_bar_reader,
cls.START_DATE, cls.END_DATE),
Future:
MinuteResampleSessionBarReader(
cls.trading_calendar,
cls.bcolz_future_minute_bar_reader,
)
}
cls.dispatch_reader = AssetDispatchSessionBarReader(
cls.trading_calendar, cls.asset_finder, readers)
