def make_equity_minute_bar_data(cls): trading_calendar = cls.trading_calendars[Equity] return create_minute_bar_data( trading_calendar.minutes_for_sessions_in_range( cls.equity_minute_bar_days[0], cls.equity_minute_bar_days[-1], ), cls.asset_finder.equities_sids, )
def make_equity_minute_bar_data(cls): trading_calendar = cls.trading_calendars[Equity] return create_minute_bar_data( trading_calendar.minutes_for_sessions_in_range( cls.equity_minute_bar_days[0], cls.equity_minute_bar_days[-1], ), cls.asset_finder.equities_sids, )
def test_asset_IPOed_same_day(self): # gotta get some minute data up in here. # add sid 4 for a couple of days minutes = self.trading_calendar.minutes_for_sessions_in_range( self.sim_params.sessions[0], self.sim_params.sessions[5] ) tmp_reader = tmp_bcolz_equity_minute_bar_reader( self.trading_calendar, self.trading_calendar.all_sessions, create_minute_bar_data(minutes, [2]), ) with tmp_reader as reader: data_portal = DataPortal( self.env.asset_finder, self.trading_calendar, first_trading_day=reader.first_trading_day, equity_minute_reader=reader, equity_daily_reader=self.bcolz_equity_daily_bar_reader, adjustment_reader=self.adjustment_reader, ) source = BenchmarkSource( 2, self.env, self.trading_calendar, self.sim_params.sessions, data_portal ) days_to_use = self.sim_params.sessions # first value should be 0.0, coming from daily data self.assertAlmostEquals(0.0, source.get_value(days_to_use[0])) manually_calculated = data_portal.get_history_window( [2], days_to_use[-1], len(days_to_use), "1d", "close", "daily", )[2].pct_change() for idx, day in enumerate(days_to_use[1:]): self.assertEqual( source.get_value(day), manually_calculated[idx + 1] )
def test_asset_IPOed_same_day(self): # gotta get some minute data up in here. # add sid 4 for a couple of days minutes = self.trading_calendar.minutes_for_sessions_in_range( self.sim_params.sessions[0], self.sim_params.sessions[5] ) tmp_reader = tmp_bcolz_equity_minute_bar_reader( self.trading_calendar, self.trading_calendar.all_sessions, create_minute_bar_data(minutes, [2]), ) with tmp_reader as reader: data_portal = DataPortal( self.env.asset_finder, self.trading_calendar, first_trading_day=reader.first_trading_day, equity_minute_reader=reader, equity_daily_reader=self.bcolz_equity_daily_bar_reader, adjustment_reader=self.adjustment_reader, ) source = BenchmarkSource( 2, self.env, self.trading_calendar, self.sim_params.sessions, data_portal ) days_to_use = self.sim_params.sessions # first value should be 0.0, coming from daily data self.assertAlmostEquals(0.0, source.get_value(days_to_use[0])) manually_calculated = data_portal.get_history_window( [2], days_to_use[-1], len(days_to_use), "1d", "close", )[2].pct_change() for idx, day in enumerate(days_to_use[1:]): self.assertEqual( source.get_value(day), manually_calculated[idx + 1] )