def __init__(self, start=start_default, end=end_default):
# Midnight in UTC for each trading day.
# In pandas 0.18.1, pandas calls into its own code here in a way that
# fires a warning. The calling code in pandas tries to suppress the
# warning, but does so incorrectly, causing it to bubble out here.
# Actually catch and suppress the warning here:
with warnings.catch_warnings():
warnings.simplefilter('ignore')
_all_days = date_range(start, end, freq=self.day, tz='UTC')
# `DatetimeIndex`s of standard opens/closes for each day.
self._opens = days_at_time(_all_days, self.open_time, self.tz,
self.open_offset)
self._closes = days_at_time(
_all_days, self.close_time, self.tz, self.close_offset
)
# `DatetimeIndex`s of nonstandard opens/closes
_special_opens = self._calculate_special_opens(start, end)
_special_closes = self._calculate_special_closes(start, end)
# Overwrite the special opens and closes on top of the standard ones.
_overwrite_special_dates(_all_days, self._opens, _special_opens)
_overwrite_special_dates(_all_days, self._closes, _special_closes)
# In pandas 0.16.1 _opens and _closes will lose their timezone
# information. This looks like it has been resolved in 0.17.1.
# http://pandas.pydata.org/pandas-docs/stable/whatsnew.html#datetime-with-tz # noqa
self.schedule = DataFrame(
index=_all_days,
columns=['market_open', 'market_close'],
data={
'market_open': self._opens,
'market_close': self._closes,
},
dtype='datetime64[ns]',
)
# Simple cache to avoid recalculating the same minute -> session in
# "next" mode. Analysis of current zipline code paths show that
# `minute_to_session_label` is often called consecutively with the same
# inputs.
self._minute_to_session_label_cache = LRU(1)
self.market_opens_nanos = self.schedule.market_open.values.\
astype(np.int64)
self.market_closes_nanos = self.schedule.market_close.values.\
astype(np.int64)
self._trading_minutes_nanos = self.all_minutes.values.\
astype(np.int64)
self.first_trading_session = _all_days[0]
self.last_trading_session = _all_days[-1]
self._early_closes = pd.DatetimeIndex(
_special_closes.map(self.minute_to_session_label)
)
def test_current_session(self):
regular_minutes = self.trading_calendar.minutes_for_sessions_in_range(
self.equity_minute_bar_days[0],
self.equity_minute_bar_days[-1]
)
bts_minutes = days_at_time(
self.equity_minute_bar_days,
time(8, 45),
"US/Eastern"
)
# some other non-market-minute
three_oh_six_am_minutes = days_at_time(
self.equity_minute_bar_days,
time(3, 6),
"US/Eastern"
)
all_minutes = [regular_minutes, bts_minutes, three_oh_six_am_minutes]
for minute in list(concat(all_minutes)):
bar_data = self.create_bardata(lambda: minute)
self.assertEqual(
self.trading_calendar.minute_to_session_label(minute),
bar_data.current_session
)
def __init__(self, start=start_default, end=end_default):
with warnings.catch_warnings():
warnings.simplefilter('ignore')
_all_days = date_range(start, end, freq=self.day, tz='UTC')
self._lunch_break_starts = days_at_time(_all_days, lunch_break_start,
self.tz, 0)
self._lunch_break_ends = days_at_time(_all_days, lunch_break_end,
self.tz, 0)
TradingCalendar.__init__(self, start=start_default, end=end_default)
self.schedule = pd.DataFrame(
index=_all_days,
columns=[
'market_open', 'market_close', 'lunch_break_start',
'lunch_break_end'
],
data={
'market_open': self._opens,
'market_close': self._closes,
'lunch_break_start': self._lunch_break_starts,
'lunch_break_end': self._lunch_break_ends
},
dtype='datetime64[ns]',
)
def test_current_session(self):
regular_minutes = self.trading_calendar.minutes_for_sessions_in_range(
self.equity_minute_bar_days[0],
self.equity_minute_bar_days[-1]
)
bts_minutes = days_at_time(
self.equity_minute_bar_days,
time(8, 45),
"US/Eastern"
)
# some other non-market-minute
three_oh_six_am_minutes = days_at_time(
self.equity_minute_bar_days,
time(3, 6),
"US/Eastern"
)
all_minutes = [regular_minutes, bts_minutes, three_oh_six_am_minutes]
for minute in list(concat(all_minutes)):
bar_data = self.create_bardata(lambda: minute)
self.assertEqual(
self.trading_calendar.minute_to_session_label(minute),
bar_data.current_session
)
def test_crosscheck_realtimeclock_with_minutesimulationclock(self):
"""Tests that RealtimeClock behaves like MinuteSimulationClock"""
for minute_emission in (False, True):
# MinuteSimulationClock also relies on to_datetime, shall not be
# created in the patch block
msc = MinuteSimulationClock(
self.sessions, self.opens, self.closes,
days_at_time(self.sessions, time(8, 45), "US/Eastern"),
minute_emission)
msc_events = list(msc)
with patch('zipline.gens.realtimeclock.pd.to_datetime') as to_dt, \
patch('zipline.gens.realtimeclock.sleep') as sleep:
rtc = iter(
RealtimeClock(
self.sessions, self.opens, self.closes,
days_at_time(self.sessions, time(8, 45), "US/Eastern"),
minute_emission))
self.internal_clock = \
pd.Timestamp("2017-04-20 00:00", tz='UTC')
to_dt.side_effect = self.get_clock
sleep.side_effect = self.advance_clock
rtc_events = list(rtc)
for rtc_event, msc_event in zip_longest(rtc_events, msc_events):
self.assertEquals(rtc_event, msc_event)
self.assertEquals(len(rtc_events), len(msc_events))
def test_midday_start(self):
"""Tests that RealtimeClock is able to execute if started mid-day"""
msc = MinuteSimulationClock(
self.sessions, self.opens, self.closes,
days_at_time(self.sessions, time(8, 45), "US/Eastern"), False)
msc_events = list(msc)
with patch('zipline.gens.realtimeclock.pd.to_datetime') as to_dt, \
patch('zipline.gens.realtimeclock.sleep') as sleep:
rtc = RealtimeClock(
self.sessions, self.opens, self.closes,
days_at_time(self.sessions, time(8, 45), "US/Eastern"), False)
to_dt.side_effect = self.get_clock
sleep.side_effect = self.advance_clock
self.internal_clock = pd.Timestamp("2017-04-20 15:00", tz='UTC')
rtc_events = list(rtc)
# Count the mid-day position in the MinuteSimulationClock's events:
# Simulation Tick: 2017-04-20 00:00:00+00:00 - 1 (SESSION_START)
# Simulation Tick: 2017-04-20 12:45:00+00:00 - 4 (BEFORE_TRADING_START)
# Simulation Tick: 2017-04-20 13:31:00+00:00 - 0 (BAR)
msc_midday_position = 2 + 90
self.assertEquals(rtc_events[0], msc_events[0]) # Session start bar
# before_trading_start is fired immediately if we're after 8:45 EDT
event_time, event_type = rtc_events[1]
self.assertEquals(event_time, pd.Timestamp("2017-04-20 15:00",
tz='UTC'))
self.assertEquals(event_type, BEFORE_TRADING_START_BAR)
self.assertEquals(rtc_events[2:], msc_events[msc_midday_position:])
def __init__(self, start=start_default, end=end_default):
with warnings.catch_warnings():
warnings.simplefilter('ignore')
_all_days = date_range(start, end, freq=self.day, tz='UTC')
self._lunch_break_starts = days_at_time(_all_days, lunch_break_start,
self.tz, 0)
self._lunch_break_ends = days_at_time(_all_days, lunch_break_end,
self.tz, 0)
TradingCalendar.__init__(self, start=start_default, end=end_default)
def test_bts_after_session(self):
clock = MinuteSimulationClock(
self.sessions,
self.opens,
self.closes,
days_at_time(self.sessions, time(19, 5), "US/Eastern"),
False
)
all_events = list(clock)
# since 19:05 Eastern is after the NYSE is closed, we don't emit
# BEFORE_TRADING_START. therefore, each day has SESSION_START,
# 390 BARs, and then SESSION_END
def _check_session_bts_after(session_label, events):
minutes = self.nyse_calendar.minutes_for_session(session_label)
self.assertEqual(392, len(events))
self.assertEqual(events[0], (session_label, SESSION_START))
for i in range(1, 391):
self.assertEqual(events[i], (minutes[i - 1], BAR))
self.assertEqual(events[-1], (minutes[389], SESSION_END))
for i in range(0, 2):
_check_session_bts_after(
self.sessions[i],
all_events[(i * 392): ((i + 1) * 392)]
)
def test_bts_before_session(self):
clock = MinuteSimulationClock(
self.sessions, self.opens, self.closes,
days_at_time(self.sessions, time(6, 17), "US/Eastern"), False)
all_events = list(clock)
def _check_session_bts_first(session_label, events, bts_dt):
minutes = self.nyse_calendar.minutes_for_session(session_label)
self.assertEqual(393, len(events))
self.assertEqual(events[0], (session_label, SESSION_START))
self.assertEqual(events[1], (bts_dt, BEFORE_TRADING_START_BAR))
for i in range(2, 392):
self.assertEqual(events[i], (minutes[i - 2], BAR))
self.assertEqual(events[392], (minutes[-1], SESSION_END))
_check_session_bts_first(
self.sessions[0], all_events[0:393],
pd.Timestamp("2016-07-15 6:17", tz='US/Eastern'))
_check_session_bts_first(
self.sessions[1], all_events[393:786],
pd.Timestamp("2016-07-18 6:17", tz='US/Eastern'))
_check_session_bts_first(
self.sessions[2], all_events[786:],
pd.Timestamp("2016-07-19 6:17", tz='US/Eastern'))
def test_bts_before_session(self):
clock = MinuteSimulationClock(
self.sessions, self.opens, self.closes,
days_at_time(self.sessions, time(6, 17), "Asia/Shanghai"), False)
all_events = list(clock)
def _check_session_bts_first(session_label, events, bts_dt):
minutes = self.xshg_calendar.minutes_for_session(session_label)
self.assertEqual(243, len(events))
self.assertEqual(events[0], (session_label, SESSION_START))
self.assertEqual(events[1], (bts_dt, BEFORE_TRADING_START_BAR))
for i in range(2, 242):
self.assertEqual(events[i], (minutes[i - 2], BAR))
self.assertEqual(events[242], (minutes[-1], SESSION_END))
_check_session_bts_first(
self.sessions[0], all_events[0:243],
pd.Timestamp("2019-12-31 6:17", tz="Asia/Shanghai"))
_check_session_bts_first(
self.sessions[1], all_events[243:486],
pd.Timestamp("2020-01-02 6:17", tz="Asia/Shanghai"))
_check_session_bts_first(
self.sessions[2], all_events[486:],
pd.Timestamp("2020-01-03 6:17", tz="Asia/Shanghai"))
def test_bts_after_session(self):
clock = MinuteSimulationClock(
self.sessions,
self.opens,
self.closes,
days_at_time(self.sessions, time(19, 5), "US/Eastern"),
False,
)
all_events = list(clock)
# since 19:05 Eastern is after the NYSE is closed, we don't emit
# BEFORE_TRADING_START. therefore, each day has SESSION_START,
# 390 BARs, and then SESSION_END
def _check_session_bts_after(session_label, events):
minutes = self.nyse_calendar.minutes_for_session(session_label)
self.assertEqual(392, len(events))
self.assertEqual(events[0], (session_label, SESSION_START))
for i in range(1, 391):
self.assertEqual(events[i], (minutes[i - 1], BAR))
self.assertEqual(events[-1], (minutes[389], SESSION_END))
for i in range(0, 2):
_check_session_bts_after(self.sessions[i],
all_events[(i * 392):((i + 1) * 392)])
def verify_bts_during_session(self, bts_time, bts_session_times, bts_idx):
def _check_session_bts_during(session_label, events, bts_dt):
minutes = self.nyse_calendar.minutes_for_session(session_label)
self.assertEqual(393, len(events))
self.assertEqual(events[0], (session_label, SESSION_START))
for i in range(1, bts_idx):
self.assertEqual(events[i], (minutes[i - 1], BAR))
self.assertEqual(events[bts_idx],
(bts_dt, BEFORE_TRADING_START_BAR))
for i in range(bts_idx + 1, 391):
self.assertEqual(events[i], (minutes[i - 2], BAR))
self.assertEqual(events[392], (minutes[-1], SESSION_END))
clock = MinuteSimulationClock(
self.sessions, self.opens, self.closes,
days_at_time(self.sessions, bts_time, "US/Eastern"), False)
all_events = list(clock)
_check_session_bts_during(self.sessions[0], all_events[0:393],
bts_session_times[0])
_check_session_bts_during(self.sessions[1], all_events[393:786],
bts_session_times[1])
_check_session_bts_during(self.sessions[2], all_events[786:],
bts_session_times[2])
def verify_bts_during_session(self, bts_time, bts_session_times, bts_idx):
def _check_session_bts_during(session_label, events, bts_dt):
minutes = self.nyse_calendar.minutes_for_session(session_label)
self.assertEqual(393, len(events))
self.assertEqual(events[0], (session_label, SESSION_START))
for i in range(1, bts_idx):
self.assertEqual(events[i], (minutes[i - 1], BAR))
self.assertEqual(
events[bts_idx],
(bts_dt, BEFORE_TRADING_START_BAR)
)
for i in range(bts_idx + 1, 391):
self.assertEqual(events[i], (minutes[i - 2], BAR))
self.assertEqual(events[392], (minutes[-1], SESSION_END))
clock = MinuteSimulationClock(
self.sessions,
self.opens,
self.closes,
days_at_time(self.sessions, bts_time, "US/Eastern"),
False
)
all_events = list(clock)
_check_session_bts_during(
self.sessions[0],
all_events[0:393],
bts_session_times[0]
)
_check_session_bts_during(
self.sessions[1],
all_events[393:786],
bts_session_times[1]
)
_check_session_bts_during(
self.sessions[2],
all_events[786:],
bts_session_times[2]
)
def _special_dates(self, calendars, ad_hoc_dates, start_date, end_date):
"""
Union an iterable of pairs of the form (time, calendar)
and an iterable of pairs of the form (time, [dates])
(This is shared logic for computing special opens and special closes.)
"""
_dates = DatetimeIndex([], tz='UTC').union_many(
[
holidays_at_time(calendar, start_date, end_date, time_,
self.tz)
for time_, calendar in calendars
] + [
days_at_time(datetimes, time_, self.tz)
for time_, datetimes in ad_hoc_dates
]
)
return _dates[(_dates >= start_date) & (_dates <= end_date)]
def _create_clock(self):
"""
If the clock property is not set, then create one based on frequency.
"""
trading_o_and_c = self.trading_calendar.schedule.ix[
self.sim_params.sessions]
market_closes = trading_o_and_c['market_close']
minutely_emission = False
if self.sim_params.data_frequency == 'minute':
market_opens = trading_o_and_c['market_open']
minutely_emission = self.sim_params.emission_rate == "minute"
# The calendar's execution times are the minutes over which we
# actually want to run the clock. Typically the execution times
# simply adhere to the market open and close times. In the case of
# the futures calendar, for example, we only want to simulate over
# a subset of the full 24 hour calendar, so the execution times
# dictate a market open time of 6:31am US/Eastern and a close of
# 5:00pm US/Eastern.
execution_opens = \
self.trading_calendar.execution_time_from_open(market_opens)
execution_closes = \
self.trading_calendar.execution_time_from_close(market_closes)
else:
# in daily mode, we want to have one bar per session, timestamped
# as the last minute of the session.
execution_closes = \
self.trading_calendar.execution_time_from_close(market_closes)
execution_opens = execution_closes
# FIXME generalize these values
# 修改为东八市区
before_trading_start_minutes = days_at_time(self.sim_params.sessions,
time(8, 45),
"Asia/Shanghai")
return MinuteSimulationClock(
self.sim_params.sessions,
execution_opens,
execution_closes,
before_trading_start_minutes,
minute_emission=minutely_emission,
)
def test_time_skew(self):
"""Tests that RealtimeClock's time_skew parameter behaves as
expected"""
for time_skew in (pd.Timedelta("2 hour"), pd.Timedelta("-120 sec")):
with patch('zipline.gens.realtimeclock.pd.to_datetime') as to_dt, \
patch('zipline.gens.realtimeclock.sleep') as sleep:
clock = RealtimeClock(
self.sessions, self.opens, self.closes,
days_at_time(self.sessions, time(11, 31), "US/Eastern"),
False, time_skew)
to_dt.side_effect = self.get_clock
sleep.side_effect = self.advance_clock
start_time = pd.Timestamp("2017-04-20 15:31", tz='UTC')
self.internal_clock = start_time
events = list(clock)
# Event 0 is SESSION_START which always happens at 00:00.
ts, event_type = events[1]
self.assertEquals(ts, start_time + time_skew)
def test_bts_before_session(self):
clock = MinuteSimulationClock(
self.sessions,
self.opens,
self.closes,
days_at_time(self.sessions, time(6, 17), "US/Eastern"),
False
)
all_events = list(clock)
def _check_session_bts_first(session_label, events, bts_dt):
minutes = self.nyse_calendar.minutes_for_session(session_label)
self.assertEqual(393, len(events))
self.assertEqual(events[0], (session_label, SESSION_START))
self.assertEqual(events[1], (bts_dt, BEFORE_TRADING_START_BAR))
for i in range(2, 392):
self.assertEqual(events[i], (minutes[i - 2], BAR))
self.assertEqual(events[392], (minutes[-1], SESSION_END))
_check_session_bts_first(
self.sessions[0],
all_events[0:393],
pd.Timestamp("2016-07-15 6:17", tz='US/Eastern')
)
_check_session_bts_first(
self.sessions[1],
all_events[393:786],
pd.Timestamp("2016-07-18 6:17", tz='US/Eastern')
)
_check_session_bts_first(
self.sessions[2],
all_events[786:],
pd.Timestamp("2016-07-19 6:17", tz='US/Eastern')
)
def test_afterhours_start(self):
"""Tests that RealtimeClock returns immediately if started after RTH"""
with patch('zipline.gens.realtimeclock.pd.to_datetime') as to_dt, \
patch('zipline.gens.realtimeclock.sleep') as sleep:
rtc = RealtimeClock(
self.sessions, self.opens, self.closes,
days_at_time(self.sessions, time(8, 45), "US/Eastern"), False)
to_dt.side_effect = self.get_clock
sleep.side_effect = self.advance_clock
self.internal_clock = pd.Timestamp("2017-04-20 20:05", tz='UTC')
events = list(rtc)
self.assertEquals(len(events), 2)
# SESSION_START & which always triggered.
_, event_type = events[0]
self.assertEquals(event_type, SESSION_START)
event_time, event_type = events[1]
self.assertEquals(event_time,
pd.Timestamp("2017-04-20 20:05", tz='UTC'))
self.assertEquals(event_type, BEFORE_TRADING_START_BAR)
def test_market_breaks(self):
calendar = get_calendar("XTKS")
sessions = calendar.sessions_in_range(
pd.Timestamp("2021-06-14", tz="utc"),
pd.Timestamp("2021-06-15", tz="utc"))
trading_o_and_c = calendar.schedule.loc[sessions]
opens = trading_o_and_c['market_open']
closes = trading_o_and_c['market_close']
break_starts = trading_o_and_c['break_start']
break_ends = trading_o_and_c['break_end']
clock = MinuteSimulationClock(
sessions, opens, closes,
days_at_time(sessions, time(8, 45), "Japan"), break_starts,
break_ends, False)
all_events = list(clock)
all_events = pd.DataFrame(all_events,
columns=["date", "event"]).set_index("date")
bar_events = all_events[all_events.event == BAR]
# XTKS is open 9am - 3pm with a 1 hour lunch break from 11:30am - 12:30pm
# 2 days x 300 minutes per day
self.assertEqual(len(bar_events), 600)
assert_index_equal(
bar_events.tz_convert("Japan").iloc[148:152].index,
pd.DatetimeIndex([
'2021-06-14 11:29:00', '2021-06-14 11:30:00',
'2021-06-14 12:31:00', '2021-06-14 12:32:00'
],
tz="Japan",
name="date"))
def holidays_at_time(calendar, start, end, time, tz):
return days_at_time(
calendar.holidays(start, end),
time,
tz=tz,
)
