def test_cached_object(self):
expiry = pd.Timestamp("2014")
before = expiry - pd.Timedelta("1 minute")
after = expiry + pd.Timedelta("1 minute")
obj = CachedObject(1, expiry)
assert obj.unwrap(before) == 1
assert obj.unwrap(expiry) == 1 # Unwrap on expiry is allowed.
with pytest.raises(Expired, match=str(expiry)):
obj.unwrap(after)
def test_cached_object(self):
expiry = Timestamp('2014')
before = expiry - Timedelta('1 minute')
after = expiry + Timedelta('1 minute')
obj = CachedObject(1, expiry)
self.assertEqual(obj.unwrap(before), 1)
self.assertEqual(obj.unwrap(expiry), 1) # Unwrap on expiry is allowed.
with self.assertRaises(Expired) as e:
obj.unwrap(after)
self.assertEqual(e.exception.args, (expiry,))
def test_cached_object(self):
expiry = Timestamp("2014")
before = expiry - Timedelta("1 minute")
after = expiry + Timedelta("1 minute")
obj = CachedObject(1, expiry)
self.assertEqual(obj.unwrap(before), 1)
self.assertEqual(obj.unwrap(expiry), 1) # Unwrap on expiry is allowed.
with self.assertRaises(Expired) as e:
obj.unwrap(after)
self.assertEqual(e.exception.args, (expiry, ))
def test_expired(self):
always_expired = CachedObject.expired()
for dt in Timestamp.min, Timestamp.now(), Timestamp.max:
with self.assertRaises(Expired):
always_expired.unwrap(dt)
def _ensure_sliding_window(self, assets, dts, field):
"""
Ensure that there is a Float64Multiply window that can provide data
for the given parameters.
If the corresponding window for the (assets, len(dts), field) does not
exist, then create a new one.
If a corresponding window does exist for (assets, len(dts), field), but
can not provide data for the current dts range, then create a new
one and replace the expired window.
WARNING: A simulation with a high variance of assets, may cause
unbounded growth of floating windows stored in `_window_blocks`.
There should be some regular clean up of the cache, if stale windows
prevent simulations from completing because of memory constraints.
Parameters
----------
assets : iterable of Assets
The assets in the window
dts : iterable of datetime64-like
The datetimes for which to fetch data.
Makes an assumption that all dts are present and contiguous,
in the calendar.
field : str
The OHLCV field for which to retrieve data.
Returns
-------
out : Float64Window with sufficient data so that the window can
provide `get` for the index corresponding with the last value in `dts`
"""
end = dts[-1]
size = len(dts)
assets_key = frozenset(assets)
try:
block_cache = self._window_blocks[(assets_key, field, size)]
try:
return block_cache.unwrap(end)
except Expired:
pass
except KeyError:
pass
start = dts[0]
offset = 0
start_ix = self._calendar.get_loc(start)
end_ix = self._calendar.get_loc(end)
cal = self._calendar
prefetch_end_ix = min(end_ix + self._prefetch_length, len(cal) - 1)
prefetch_end = cal[prefetch_end_ix]
prefetch_dts = cal[start_ix:prefetch_end_ix + 1]
array = self._array(prefetch_dts, assets, field)
if self._adjustments_reader:
adjs = self._get_adjustments_in_range(assets, prefetch_dts, field)
else:
adjs = {}
if field == 'volume':
array = array.astype('float64')
dtype_ = dtype('float64')
window = Float64Window(array, dtype_, adjs, offset, size)
block = SlidingWindow(window, size, start_ix, offset)
self._window_blocks[(assets_key, field,
size)] = CachedObject(block, prefetch_end)
return block
def test_expired(self, date):
always_expired = CachedObject.expired()
with pytest.raises(Expired):
always_expired.unwrap(date)
def test_expired(self):
always_expired = CachedObject.expired()
for dt in Timestamp.min, Timestamp.now(), Timestamp.max:
with self.assertRaises(Expired):
always_expired.unwrap(dt)
