def get_value(self, sid, dt, field):
"""
Retrieve the value at the given coordinates.
Parameters
----------
sid : int
The asset identifier.
dt : pd.Timestamp
The timestamp for the desired data point.
field : string
The OHLVC name for the desired data point.
Returns
-------
value : float|int
The value at the given coordinates, ``float`` for OHLC, ``int``
for 'volume'.
Raises
------
NoDataOnDate
If the given dt is not a valid market minute (in minute mode) or
session (in daily mode) according to this reader's tradingcalendar.
NoDataForSid
If the given sid is not valid.
"""
try:
country_code = self._country_code_for_assets([sid])
except ValueError:
raise NoDataForSid(
f'Asset not contained in daily pricing file: {sid}')
return self._readers[country_code].get_value(sid, dt, field)
def _open_minute_file(self, field, sid):
sid = int(sid)
try:
carray = self._carrays[field][sid]
except KeyError:
try:
carray = self._carrays[field][sid] = bcolz.carray(
rootdir=self._get_carray_path(sid, field),
mode='r',
)
except IOError:
raise NoDataForSid('No minute data for sid {}.'.format(sid))
return carray
def load_raw_arrays(self, columns, start_dt, end_dt, assets):
if start_dt not in self._sessions:
raise NoDataOnDate(start_dt)
if end_dt not in self._sessions:
raise NoDataOnDate(end_dt)
asset_indexer = self._sids.get_indexer(assets)
if -1 in asset_indexer:
bad_assets = assets[asset_indexer == -1]
raise NoDataForSid(bad_assets)
date_indexer = self._sessions.slice_indexer(start_dt, end_dt)
out = []
for c in columns:
out.append(self._values[c][date_indexer, asset_indexer])
return out
def _country_code_for_assets(self, assets):
try:
country_codes = self._country_map.loc[assets]
except KeyError as exc:
raise_from(
NoDataForSid(
'Assets not contained in daily pricing file: {}'.format(
set(assets) - set(self._country_map))), exc)
unique_country_codes = country_codes.unique()
if len(unique_country_codes) > 1:
raise NotImplementedError(
('Assets were requested from multiple countries ({}),'
' but multi-country reads are not yet supported.').format(
list(unique_country_codes)))
return np.asscalar(unique_country_codes)
def _open_minute_file(self, field, sid, force_reload=False):
sid = int(sid)
try:
# the force_reload option is to deal with the usstock problem
# date. See the comments in __init__ and get_value.
if force_reload:
raise KeyError()
carray = self._carrays[field][sid]
except KeyError:
try:
carray = self._carrays[field][sid] = bcolz.carray(
rootdir=self._get_carray_path(sid, field),
mode='r',
)
except IOError:
raise NoDataForSid('No minute data for sid {}.'.format(sid))
return carray
def _validate_assets(self, assets):
"""Validate that asset identifiers are contained in the daily bars.
Parameters
----------
assets : array-like[int]
The asset identifiers to validate.
Raises
------
NoDataForSid
If one or more of the provided asset identifiers are not
contained in the daily bars.
"""
missing_sids = np.setdiff1d(assets, self.sids)
if len(missing_sids):
raise NoDataForSid(
'Assets not contained in daily pricing file: {}'.format(
missing_sids))