def make_equity_minute_bar_data(cls):
trading_calendar = cls.trading_calendars[Equity]
return create_minute_bar_data(
trading_calendar.minutes_for_sessions_in_range(
cls.equity_minute_bar_days[0],
cls.equity_minute_bar_days[-1],
),
cls.asset_finder.equities_sids,
)
def make_equity_minute_bar_data(cls):
trading_calendar = cls.trading_calendars[Equity]
return create_minute_bar_data(
trading_calendar.minutes_for_sessions_in_range(
cls.equity_minute_bar_days[0],
cls.equity_minute_bar_days[-1],
),
cls.asset_finder.equities_sids,
)
def test_asset_IPOed_same_day(self):
# gotta get some minute data up in here.
# add sid 4 for a couple of days
minutes = self.trading_calendar.minutes_for_sessions_in_range(
self.sim_params.sessions[0],
self.sim_params.sessions[5]
)
tmp_reader = tmp_bcolz_equity_minute_bar_reader(
self.trading_calendar,
self.trading_calendar.all_sessions,
create_minute_bar_data(minutes, [2]),
)
with tmp_reader as reader:
data_portal = DataPortal(
self.env.asset_finder, self.trading_calendar,
first_trading_day=reader.first_trading_day,
equity_minute_reader=reader,
equity_daily_reader=self.bcolz_equity_daily_bar_reader,
adjustment_reader=self.adjustment_reader,
)
source = BenchmarkSource(
2,
self.env,
self.trading_calendar,
self.sim_params.sessions,
data_portal
)
days_to_use = self.sim_params.sessions
# first value should be 0.0, coming from daily data
self.assertAlmostEquals(0.0, source.get_value(days_to_use[0]))
manually_calculated = data_portal.get_history_window(
[2], days_to_use[-1],
len(days_to_use),
"1d",
"close",
"daily",
)[2].pct_change()
for idx, day in enumerate(days_to_use[1:]):
self.assertEqual(
source.get_value(day),
manually_calculated[idx + 1]
)
def test_asset_IPOed_same_day(self):
# gotta get some minute data up in here.
# add sid 4 for a couple of days
minutes = self.trading_calendar.minutes_for_sessions_in_range(
self.sim_params.sessions[0],
self.sim_params.sessions[5]
)
tmp_reader = tmp_bcolz_equity_minute_bar_reader(
self.trading_calendar,
self.trading_calendar.all_sessions,
create_minute_bar_data(minutes, [2]),
)
with tmp_reader as reader:
data_portal = DataPortal(
self.env.asset_finder, self.trading_calendar,
first_trading_day=reader.first_trading_day,
equity_minute_reader=reader,
equity_daily_reader=self.bcolz_equity_daily_bar_reader,
adjustment_reader=self.adjustment_reader,
)
source = BenchmarkSource(
2,
self.env,
self.trading_calendar,
self.sim_params.sessions,
data_portal
)
days_to_use = self.sim_params.sessions
# first value should be 0.0, coming from daily data
self.assertAlmostEquals(0.0, source.get_value(days_to_use[0]))
manually_calculated = data_portal.get_history_window(
[2], days_to_use[-1],
len(days_to_use),
"1d",
"close",
)[2].pct_change()
for idx, day in enumerate(days_to_use[1:]):
self.assertEqual(
source.get_value(day),
manually_calculated[idx + 1]
)
