def __init__(self,
asset_finder,
trading_calendar,
first_trading_day,
equity_daily_reader=None,
equity_minute_reader=None,
future_daily_reader=None,
future_minute_reader=None,
adjustment_reader=None):
self.trading_calendar = trading_calendar
self.asset_finder = asset_finder
self.views = {}
self._carrays = {
'open': {},
'high': {},
'low': {},
'close': {},
'volume': {},
'sid': {},
}
self._adjustment_reader = adjustment_reader
# caches of sid -> adjustment list
self._splits_dict = {}
self._mergers_dict = {}
self._dividends_dict = {}
# Cache of sid -> the first trading day of an asset.
self._asset_start_dates = {}
self._asset_end_dates = {}
# Handle extra sources, like Fetcher.
self._augmented_sources_map = {}
self._extra_source_df = None
self._equity_daily_reader = equity_daily_reader
if self._equity_daily_reader is not None:
self._equity_history_loader = USEquityDailyHistoryLoader(
self.trading_calendar,
self._equity_daily_reader,
self._adjustment_reader
)
self._equity_minute_reader = equity_minute_reader
self._future_daily_reader = future_daily_reader
self._future_minute_reader = future_minute_reader
self._pricing_readers = {
Equity: {
'minute': equity_minute_reader,
'daily': equity_daily_reader,
},
Future: {
'minute': future_minute_reader,
'daily': future_daily_reader
}
}
if self._equity_minute_reader is not None:
self._equity_daily_aggregator = DailyHistoryAggregator(
self.trading_calendar.schedule.market_open,
self._equity_minute_reader,
self.trading_calendar
)
self._equity_minute_history_loader = USEquityMinuteHistoryLoader(
self.trading_calendar,
self._equity_minute_reader,
self._adjustment_reader
)
self._first_trading_day = first_trading_day
# Get the first trading minute
self._first_trading_minute, _ = (
self.trading_calendar.open_and_close_for_session(
self._first_trading_day
)
if self._first_trading_day is not None else (None, None)
)
# Store the locs of the first day and first minute
self._first_trading_day_loc = (
self.trading_calendar.all_sessions.get_loc(self._first_trading_day)
if self._first_trading_day is not None else None
)
self._first_trading_minute_loc = (
self.trading_calendar.all_minutes.get_loc(
self._first_trading_minute
)
if self._first_trading_minute is not None else None
)
