def test_event_window_with_timedelta(self):
# Keep all events within a 5 minute window.
window = NoopEventWindow(
market_aware=False,
delta=timedelta(minutes=5),
days=None
)
now = utcnow()
# 15 dates, increasing in 1 minute increments.
dates = [now + i * timedelta(minutes=1)
for i in xrange(15)]
# Turn the dates into the format required by EventWindow.
dt_messages = [to_dt(date) for date in dates]
# Run all messages through the window and assert that we're adding
# and removing messages appropriately. We start the enumeration at 1
# for convenience.
for num, message in enumerate(dt_messages, 1):
window.update(message)
# Assert that we've added the correct number of events.
assert len(window.added) == num
# Assert that we removed only events that fall outside (or
# on the boundary of) the delta.
for dropped in window.removed:
assert message.dt - dropped.dt >= timedelta(minutes=5)
def test_event_window_with_timedelta(self):
# Keep all events within a 5 minute window.
window = NoopEventWindow(market_aware=False,
delta=timedelta(minutes=5),
days=None)
now = utcnow()
# 15 dates, increasing in 1 minute increments.
dates = [now + i * timedelta(minutes=1) for i in xrange(15)]
# Turn the dates into the format required by EventWindow.
dt_messages = [to_dt(date) for date in dates]
# Run all messages through the window and assert that we're adding
# and removing messages appropriately. We start the enumeration at 1
# for convenience.
for num, message in enumerate(dt_messages, 1):
window.update(message)
# Assert that we've added the correct number of events.
assert len(window.added) == num
# Assert that we removed only events that fall outside (or
# on the boundary of) the delta.
for dropped in window.removed:
assert message.dt - dropped.dt >= timedelta(minutes=5)
# Unless required by applicable law or agreed to in writing, software
# distributed under the License is distributed on an "AS IS" BASIS,
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
# See the License for the specific language governing permissions and
# limitations under the License.
import pandas as pd
import pytz
from datetime import datetime
from dateutil import rrule
from zipline.utils.date_utils import utcnow
start = datetime(1990, 1, 1, tzinfo=pytz.utc)
end = utcnow()
def get_non_trading_days(start, end):
non_trading_rules = []
weekends = rrule.rrule(
rrule.YEARLY,
byweekday=(rrule.SA, rrule.SU),
cache=True,
dtstart=start,
until=end
)
non_trading_rules.append(weekends)
new_years = rrule.rrule(
# http://www.apache.org/licenses/LICENSE-2.0
#
# Unless required by applicable law or agreed to in writing, software
# distributed under the License is distributed on an "AS IS" BASIS,
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
# See the License for the specific language governing permissions and
# limitations under the License.
import pytz
from datetime import datetime
from dateutil import rrule
from zipline.utils.date_utils import utcnow
start = datetime(2002, 1, 1, tzinfo=pytz.utc)
end = utcnow()
non_trading_rules = []
weekends = rrule.rrule(rrule.YEARLY,
byweekday=(rrule.SA, rrule.SU),
cache=True,
dtstart=start,
until=end)
non_trading_rules.append(weekends)
new_years = rrule.rrule(rrule.MONTHLY,
byyearday=1,
cache=True,
dtstart=start,
until=end)