コード例 #1
0
ファイル: test_quandl.py プロジェクト: quantopian/zipline
    def test_bundle(self):
        with open(test_resource_path(
                    'quandl_samples',
                    'QUANDL_ARCHIVE.zip'), 'rb') as quandl_response:

            self.responses.add(
                self.responses.GET,
                'https://file_url.mock.quandl',
                body=quandl_response.read(),
                content_type='application/zip',
                status=200,
            )

        url_map = {
            format_metadata_url(self.api_key): test_resource_path(
                'quandl_samples',
                'metadata.csv.gz',
            )
        }

        zipline_root = self.enter_instance_context(tmp_dir()).path
        environ = {
            'ZIPLINE_ROOT': zipline_root,
            'QUANDL_API_KEY': self.api_key,
        }

        with patch_read_csv(url_map):
            ingest('quandl', environ=environ)

        bundle = load('quandl', environ=environ)
        sids = 0, 1, 2, 3
        assert_equal(set(bundle.asset_finder.sids), set(sids))

        sessions = self.calendar.all_sessions
        actual = bundle.equity_daily_bar_reader.load_raw_arrays(
            self.columns,
            sessions[sessions.get_loc(self.start_date, 'bfill')],
            sessions[sessions.get_loc(self.end_date, 'ffill')],
            sids,
        )
        expected_pricing, expected_adjustments = self._expected_data(
            bundle.asset_finder,
        )
        assert_equal(actual, expected_pricing, array_decimal=2)

        adjs_for_cols = bundle.adjustment_reader.load_pricing_adjustments(
            self.columns,
            sessions,
            pd.Index(sids),
        )

        for column, adjustments, expected in zip(self.columns,
                                                 adjs_for_cols,
                                                 expected_adjustments):
            assert_equal(
                adjustments,
                expected,
                msg=column,
            )
コード例 #2
0
ファイル: test_quandl.py プロジェクト: liudengfeng/zipline
    def test_bundle(self):
        with open(test_resource_path(
            'quandl_samples',
                'QUANDL_ARCHIVE.zip'), 'rb') as quandl_response:

            self.responses.add(
                self.responses.GET,
                'https://file_url.mock.quandl',
                body=quandl_response.read(),
                content_type='application/zip',
                status=200,
            )

        url_map = {
            format_metadata_url(self.api_key): test_resource_path(
                'quandl_samples',
                'metadata.csv.gz',
            )
        }

        zipline_root = self.enter_instance_context(tmp_dir()).path
        environ = {
            'ZIPLINE_ROOT': zipline_root,
            'QUANDL_API_KEY': self.api_key,
        }

        with patch_read_csv(url_map):
            ingest('quandl', environ=environ)

        bundle = load('quandl', environ=environ)
        sids = 0, 1, 2, 3
        assert_equal(set(bundle.asset_finder.sids), set(sids))

        sessions = self.calendar.all_sessions
        actual = bundle.equity_daily_bar_reader.load_raw_arrays(
            self.columns,
            sessions[sessions.get_loc(self.start_date, 'bfill')],
            sessions[sessions.get_loc(self.end_date, 'ffill')],
            sids,
        )
        expected_pricing, expected_adjustments = self._expected_data(
            bundle.asset_finder,
        )
        assert_equal(actual, expected_pricing, array_decimal=2)

        adjs_for_cols = bundle.adjustment_reader.load_pricing_adjustments(
            self.columns,
            sessions,
            pd.Index(sids),
        )

        for column, adjustments, expected in zip(self.columns,
                                                 adjs_for_cols,
                                                 expected_adjustments):
            assert_equal(
                adjustments,
                expected,
                msg=column,
            )
コード例 #3
0
    def test_bundle(self):
        with open(
                join(TEST_RESOURCE_PATH, "quandl_samples",
                     "QUANDL_ARCHIVE.zip"),
                "rb",
        ) as quandl_response:
            self.responses.add(
                self.responses.GET,
                "https://file_url.mock.quandl",
                body=quandl_response.read(),
                content_type="application/zip",
                status=200,
            )

        url_map = {
            format_metadata_url(self.api_key):
            join(
                TEST_RESOURCE_PATH,
                "quandl_samples",
                "metadata.csv.gz",
            )
        }

        zipline_root = self.enter_instance_context(tmp_dir()).path
        environ = {
            "ZIPLINE_ROOT": zipline_root,
            "QUANDL_API_KEY": self.api_key,
        }

        with patch_read_csv(url_map):
            ingest("quandl", environ=environ)

        bundle = load("quandl", environ=environ)
        sids = 0, 1, 2, 3
        assert set(bundle.asset_finder.sids) == set(sids)

        sessions = self.calendar.all_sessions
        actual = bundle.equity_daily_bar_reader.load_raw_arrays(
            self.columns,
            sessions[sessions.get_loc(self.start_date, "bfill")],
            sessions[sessions.get_loc(self.end_date, "ffill")],
            sids,
        )
        expected_pricing, expected_adjustments = self._expected_data(
            bundle.asset_finder, )
        np.testing.assert_array_almost_equal(actual,
                                             expected_pricing,
                                             decimal=2)

        adjs_for_cols = bundle.adjustment_reader.load_pricing_adjustments(
            self.columns,
            sessions,
            pd.Index(sids),
        )

        for column, adjustments, expected in zip(self.columns, adjs_for_cols,
                                                 expected_adjustments):
            assert adjustments == expected, column
コード例 #4
0
ファイル: test_quandl.py プロジェクト: AtwooTM/zipline
    def test_bundle(self):
        url_map = merge(
            {
                format_wiki_url(
                    self.api_key,
                    symbol,
                    self.start_date,
                    self.end_date,
                ): test_resource_path('quandl_samples', symbol + '.csv.gz')
                for symbol in self.symbols
            },
            {
                format_metadata_url(self.api_key, n): test_resource_path(
                    'quandl_samples',
                    'metadata-%d.csv.gz' % n,
                )
                for n in (1, 2)
            },
        )
        zipline_root = self.enter_instance_context(tmp_dir()).path
        environ = {
            'ZIPLINE_ROOT': zipline_root,
            'QUANDL_API_KEY': self.api_key,
        }

        with patch_read_csv(url_map, strict=True):
            ingest('quandl', environ=environ)

        bundle = load('quandl', environ=environ)
        sids = 0, 1, 2, 3
        assert_equal(set(bundle.asset_finder.sids), set(sids))

        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.calendar.all_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(
            bundle.asset_finder,
        )
        assert_equal(actual, expected_pricing, array_decimal=2)

        adjustments_for_cols = bundle.adjustment_reader.load_adjustments(
            self.columns,
            sessions,
            pd.Index(sids),
        )

        for column, adjustments, expected in zip(self.columns,
                                                 adjustments_for_cols,
                                                 expected_adjustments):
            assert_equal(
                adjustments,
                expected,
                msg=column,
            )
コード例 #5
0
ファイル: test_quandl.py プロジェクト: zofuthan/zipline
    def test_bundle(self):
        url_map = merge(
            {
                format_wiki_url(
                    self.api_key,
                    symbol,
                    self.start_date,
                    self.end_date,
                ): test_resource_path('quandl_samples', symbol + '.csv.gz')
                for symbol in self.symbols
            },
            {
                format_metadata_url(self.api_key, n): test_resource_path(
                    'quandl_samples',
                    'metadata-%d.csv.gz' % n,
                )
                for n in (1, 2)
            },
        )
        zipline_root = self.enter_instance_context(tmp_dir()).path
        environ = {
            'ZIPLINE_ROOT': zipline_root,
            'QUANDL_API_KEY': self.api_key,
        }

        with patch_read_csv(url_map, strict=True):
            ingest('quandl', environ=environ)

        bundle = load('quandl', environ=environ)
        sids = 0, 1, 2, 3
        assert_equal(set(bundle.asset_finder.sids), set(sids))

        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)

        cal = self.calendar
        actual = bundle.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(
            bundle.asset_finder,
        )
        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,
            )