Exemplos de EquityCalendarDomain em Python

Exemplo n.º 1

    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,
        )

Exemplo n.º 2

Arquivo: test_domain.py Projeto: sammerry/zipline-reloaded

    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,
        )

Exemplo n.º 3

Arquivo: domain.py Projeto: wmding/zipline-extensions-cn

from zipline.pipeline.domain import EquityCalendarDomain, CountryCode

AShare_EQUITIES = EquityCalendarDomain(CountryCode.CHINA, 'AShare')

Exemplo n.º 4

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])