def test_last_available_dt(self):
calendar = self.trading_calendar
session_bar_reader = MinuteResampleSessionBarReader(
calendar,
self.bcolz_future_minute_bar_reader
)
self.assertEqual(self.END_DATE, session_bar_reader.last_available_dt)
def test_sessions(self):
calendar = self.trading_calendar
session_bar_reader = MinuteResampleSessionBarReader(
calendar, self.bcolz_future_minute_bar_reader)
sessions = session_bar_reader.sessions
self.assertEqual(self.NUM_SESSIONS, len(sessions))
self.assertEqual(self.START_DATE, sessions[0])
self.assertEqual(self.END_DATE, sessions[-1])
def test_resample(self):
calendar = self.trading_calendar
session_bar_reader = MinuteResampleSessionBarReader(
calendar, self.bcolz_future_minute_bar_reader)
for sid in self.ASSET_FINDER_FUTURE_SIDS:
case_frame = FUTURE_CASES[sid]
first = case_frame.index[0]
last = case_frame.index[-1]
result = session_bar_reader.load_raw_arrays(
['open', 'high', 'low', 'close', 'volume'], first, last, [sid])
assert_almost_equal(result,
EXPECTED_SESSIONS[sid],
err_msg="sid={0}".format(sid))
def test_get_value(self):
calendar = self.trading_calendar
session_bar_reader = MinuteResampleSessionBarReader(
calendar, self.bcolz_future_minute_bar_reader)
for sid in self.ASSET_FINDER_FUTURE_SIDS:
expected = EXPECTED_SESSIONS[sid]
for dt_str, values in expected.iterrows():
dt = pd.Timestamp(dt_str, tz='UTC')
for col in OHLCV:
result = session_bar_reader.get_value(sid, dt, col)
assert_almost_equal(
values[col],
result,
err_msg="sid={0} col={1} dt={2}".format(sid, col, dt))
def test_resample(self):
calendar = self.trading_calendar
session_bar_reader = MinuteResampleSessionBarReader(
calendar, self.bcolz_future_minute_bar_reader)
for sid in self.ASSET_FINDER_FUTURE_SIDS:
case_frame = FUTURE_CASES[sid]
first = calendar.minute_to_session_label(case_frame.index[0])
last = calendar.minute_to_session_label(case_frame.index[-1])
result = session_bar_reader.load_raw_arrays(
OHLCV, first, last, [sid])
for i, field in enumerate(OHLCV):
assert_almost_equal(result[i],
EXPECTED_SESSIONS[sid][[field]],
err_msg="sid={0} field={1}".format(
sid, field))
def init_class_fixtures(cls):
super().init_class_fixtures()
readers = {
Equity:
ReindexSessionBarReader(cls.trading_calendar,
cls.bcolz_equity_daily_bar_reader,
cls.START_DATE, cls.END_DATE),
Future:
MinuteResampleSessionBarReader(
cls.trading_calendar,
cls.bcolz_future_minute_bar_reader,
)
}
cls.dispatch_reader = AssetDispatchSessionBarReader(
cls.trading_calendar, cls.asset_finder, readers)
def init_instance_fixtures(self):
super(TestResampleSessionBars, self).init_instance_fixtures()
self.session_bar_reader = MinuteResampleSessionBarReader(
self.trading_calendar, self.bcolz_future_minute_bar_reader)
