def test_equity_calendar_domain(self):
# test non-default time
self._test_equity_calendar_domain(
EquityCalendarDomain(
CountryCode.UNITED_STATES,
'XNYS',
data_query_offset=-datetime.timedelta(hours=2, minutes=30),
),
datetime.time(7, 0),
)
# test offset that changes the date
self._test_equity_calendar_domain(
EquityCalendarDomain(
CountryCode.UNITED_STATES,
'XNYS',
data_query_offset=-datetime.timedelta(hours=10),
),
datetime.time(23, 30),
expected_cutoff_date_offset=-1,
)
# test an offset that moves us back by more than one day
self._test_equity_calendar_domain(
EquityCalendarDomain(
CountryCode.UNITED_STATES,
'XNYS',
data_query_offset=-datetime.timedelta(hours=24 * 6 + 10),
),
datetime.time(23, 30),
expected_cutoff_date_offset=-7,
)
def test_equity_calendar_domain(self):
# test non-default time
self._test_equity_calendar_domain(
EquityCalendarDomain(
CountryCode.UNITED_STATES,
"XNYS",
data_query_offset=-np.timedelta64(2 * 60 + 30, "m"),
),
datetime.time(7, 0),
)
# test offset that changes the date
self._test_equity_calendar_domain(
EquityCalendarDomain(
CountryCode.UNITED_STATES,
"XNYS",
data_query_offset=-np.timedelta64(10, "h"),
),
datetime.time(23, 30),
expected_cutoff_date_offset=-1,
)
# test an offset that moves us back by more than one day
self._test_equity_calendar_domain(
EquityCalendarDomain(
CountryCode.UNITED_STATES,
"XNYS",
data_query_offset=-np.timedelta64(24 * 6 + 10, "h"),
),
datetime.time(23, 30),
expected_cutoff_date_offset=-7,
)
from zipline.pipeline.domain import EquityCalendarDomain, CountryCode AShare_EQUITIES = EquityCalendarDomain(CountryCode.CHINA, 'AShare')
from zipline.pipeline.loaders.equity_pricing_loader import USEquityPricingLoader
from zipline.pipeline.domain import EquityCalendarDomain
from zipline.pipeline.data import USEquityPricing
import pandas as pd
import numpy as np
from sharadar.pipeline.engine import symbols, make_pipeline_engine, load_sharadar_bundle
bundle = load_sharadar_bundle()
loader = USEquityPricingLoader.without_fx(bundle.equity_daily_bar_reader,
bundle.adjustment_reader)
domain = EquityCalendarDomain('US', 'XNYS')
columns = [USEquityPricing.close]
# AAPL sid 199059
sids = pd.Int64Index([199059])
mask = None
start = pd.to_datetime('2020-08-26', utc=True)
end = pd.to_datetime('2020-09-02', utc=True)
trading_calendar = bundle.equity_daily_bar_reader.trading_calendar
dates = trading_calendar.sessions_in_range(start, end)
array = loader.load_adjusted_array(domain, columns, dates, sids, mask)
adjusted_array = list(array.values())[0]
print(adjusted_array.data)
print(adjusted_array.adjustments)
print(adjusted_array.data[3])