def test_repr(self):
future = Future(2468,
notice_date='2014-01-20',
expiration_date='2014-02-20')
rep = future.__repr__()
self.assertTrue("Future" in rep)
self.assertTrue("2468" in rep)
self.assertTrue("notice_date='2014-01-20'" in rep)
self.assertTrue("expiration_date='2014-02-20'" in rep)
def _retrieve_futures_contract(self, sid):
try:
return self._future_cache[sid]
except KeyError:
pass
c = self.conn.cursor()
t = (int(sid), )
c.row_factory = Row
c.execute(FUTURE_BY_SID_QUERY, t)
data = dict(c.fetchone())
if data:
if data['start_date']:
data['start_date'] = pd.Timestamp(data['start_date'], tz='UTC')
if data['end_date']:
data['end_date'] = pd.Timestamp(data['end_date'], tz='UTC')
if data['first_traded']:
data['first_traded'] = pd.Timestamp(data['first_traded'],
tz='UTC')
if data['notice_date']:
data['notice_date'] = pd.Timestamp(data['notice_date'],
tz='UTC')
if data['expiration_date']:
data['expiration_date'] = pd.Timestamp(data['expiration_date'],
tz='UTC')
future = Future(**data)
else:
future = None
self._future_cache[sid] = future
return future
def _spawn_asset(self, identifier, **kwargs):
# Check if the sid is declared
try:
kwargs['sid']
pass
except KeyError:
# If the identifier is not a sid, assign one
kwargs['sid'] = self._assign_sid(identifier)
# Update the metadata object with the new sid
self.insert_metadata(identifier=identifier, sid=kwargs['sid'])
# If the file_name is in the kwargs, it will be used as the symbol
try:
kwargs['symbol'] = kwargs.pop('file_name')
except KeyError:
pass
# If the identifier coming in was a string and there is no defined
# symbol yet, set the symbol to the incoming identifier
try:
kwargs['symbol']
pass
except KeyError:
if isinstance(identifier, string_types):
kwargs['symbol'] = identifier
# If the company_name is in the kwargs, it may be the asset_name
try:
company_name = kwargs.pop('company_name')
try:
kwargs['asset_name']
except KeyError:
kwargs['asset_name'] = company_name
except KeyError:
pass
# If dates are given as nanos, pop them
try:
kwargs['start_date'] = kwargs.pop('start_date_nano')
except KeyError:
pass
try:
kwargs['end_date'] = kwargs.pop('end_date_nano')
except KeyError:
pass
try:
kwargs['notice_date'] = kwargs.pop('notice_date_nano')
except KeyError:
pass
try:
kwargs['expiration_date'] = kwargs.pop('expiration_date_nano')
except KeyError:
pass
# Process dates to Timestamps
try:
kwargs['start_date'] = pd.Timestamp(kwargs['start_date'], tz='UTC')
except KeyError:
pass
try:
kwargs['end_date'] = pd.Timestamp(kwargs['end_date'], tz='UTC')
except KeyError:
pass
try:
kwargs['notice_date'] = pd.Timestamp(kwargs['notice_date'],
tz='UTC')
except KeyError:
pass
try:
kwargs['expiration_date'] = pd.Timestamp(kwargs['expiration_date'],
tz='UTC')
except KeyError:
pass
# Build an Asset of the appropriate type, default to Equity
asset_type = kwargs.pop('asset_type', 'equity')
if asset_type.lower() == 'equity':
asset = Equity(**kwargs)
elif asset_type.lower() == 'future':
asset = Future(**kwargs)
else:
raise InvalidAssetType(asset_type=asset_type)
return asset
def _insert_metadata(self, identifier, **kwargs):
"""
Inserts the given metadata kwargs to the entry for the given
identifier. Matching fields in the existing entry will be overwritten.
:param identifier: The identifier for which to insert metadata
:param kwargs: The keyed metadata to insert
"""
if identifier in self.metadata_cache:
# Multiple pass insertion no longer supported.
# This could and probably should raise an Exception, but is
# currently just a short-circuit for compatibility with existing
# testing structure in the test_algorithm module which creates
# multiple sources which all insert redundant metadata.
return
entry = {}
for key, value in kwargs.items():
# Do not accept invalid fields
if key not in ASSET_FIELDS:
continue
# Do not accept Nones
if value is None:
continue
# Do not accept empty strings
if value == '':
continue
# Do not accept nans from dataframes
if isinstance(value, float) and np.isnan(value):
continue
entry[key] = value
# Check if the sid is declared
try:
entry['sid']
except KeyError:
# If the identifier is not a sid, assign one
if hasattr(identifier, '__int__'):
entry['sid'] = identifier.__int__()
else:
if self.allow_sid_assignment:
# Assign the sid the value of its insertion order.
# This assumes that we are assigning values to all assets.
entry['sid'] = len(self.metadata_cache)
else:
raise SidAssignmentError(identifier=identifier)
# If the file_name is in the kwargs, it will be used as the symbol
try:
entry['symbol'] = entry.pop('file_name')
except KeyError:
pass
# If the identifier coming in was a string and there is no defined
# symbol yet, set the symbol to the incoming identifier
try:
entry['symbol']
pass
except KeyError:
if isinstance(identifier, string_types):
entry['symbol'] = identifier
# If the company_name is in the kwargs, it may be the asset_name
try:
company_name = entry.pop('company_name')
try:
entry['asset_name']
except KeyError:
entry['asset_name'] = company_name
except KeyError:
pass
# If dates are given as nanos, pop them
try:
entry['start_date'] = entry.pop('start_date_nano')
except KeyError:
pass
try:
entry['end_date'] = entry.pop('end_date_nano')
except KeyError:
pass
try:
entry['notice_date'] = entry.pop('notice_date_nano')
except KeyError:
pass
try:
entry['expiration_date'] = entry.pop('expiration_date_nano')
except KeyError:
pass
# Process dates to Timestamps
try:
entry['start_date'] = pd.Timestamp(entry['start_date'], tz='UTC')
except KeyError:
# Set a default start_date of the EPOCH, so that all date queries
# work when a start date is not provided.
entry['start_date'] = pd.Timestamp(0, tz='UTC')
try:
# Set a default end_date of 'now', so that all date queries
# work when a end date is not provided.
entry['end_date'] = pd.Timestamp(entry['end_date'], tz='UTC')
except KeyError:
entry['end_date'] = self.end_date_to_assign
try:
entry['notice_date'] = pd.Timestamp(entry['notice_date'], tz='UTC')
except KeyError:
pass
try:
entry['expiration_date'] = pd.Timestamp(entry['expiration_date'],
tz='UTC')
except KeyError:
pass
# Build an Asset of the appropriate type, default to Equity
asset_type = entry.pop('asset_type', 'equity')
if asset_type.lower() == 'equity':
try:
fuzzy = entry['symbol'].replace(self.fuzzy_char, '') \
if self.fuzzy_char else None
except KeyError:
fuzzy = None
asset = Equity(**entry)
c = self.conn.cursor()
t = (asset.sid, asset.symbol, asset.asset_name,
asset.start_date.value if asset.start_date else None,
asset.end_date.value if asset.end_date else None,
asset.first_traded.value if asset.first_traded else None,
asset.exchange, fuzzy)
c.execute(
"""INSERT INTO equities(
sid,
symbol,
asset_name,
start_date,
end_date,
first_traded,
exchange,
fuzzy)
VALUES(?, ?, ?, ?, ?, ?, ?, ?)""", t)
t = (asset.sid, 'equity')
c.execute(
"""INSERT INTO asset_router(sid, asset_type)
VALUES(?, ?)""", t)
elif asset_type.lower() == 'future':
asset = Future(**entry)
c = self.conn.cursor()
t = (asset.sid, asset.symbol, asset.asset_name,
asset.start_date.value if asset.start_date else None,
asset.end_date.value if asset.end_date else None,
asset.first_traded.value if asset.first_traded else None,
asset.exchange, asset.root_symbol,
asset.notice_date.value if asset.notice_date else None,
asset.expiration_date.value
if asset.expiration_date else None, asset.contract_multiplier)
c.execute(
"""INSERT INTO futures(
sid,
symbol,
asset_name,
start_date,
end_date,
first_traded,
exchange,
root_symbol,
notice_date,
expiration_date,
contract_multiplier)
VALUES(?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?)""", t)
t = (asset.sid, 'future')
c.execute(
"""INSERT INTO asset_router(sid, asset_type)
VALUES(?, ?)""", t)
else:
raise InvalidAssetType(asset_type=asset_type)
self.metadata_cache[identifier] = entry