def setUp(self): all_trading_days = TradingEnvironment.instance().trading_days self.trading_days = all_trading_days[all_trading_days.get_loc( TEST_CALENDAR_START):all_trading_days.get_loc(TEST_CALENDAR_STOP) + 1] self.asset_info = EQUITY_INFO self.writer = SyntheticDailyBarWriter( self.asset_info, self.trading_days, ) self.dir_ = TempDirectory() self.dir_.create() self.dest = self.dir_.getpath('daily_equity_pricing.bcolz')
def setUpClass(cls): cls.test_data_dir = TempDirectory() cls.db_path = cls.test_data_dir.getpath('adjustments.db') writer = SQLiteAdjustmentWriter(cls.db_path) writer.write(SPLITS, MERGERS, DIVIDENDS) cls.assets = TEST_QUERY_ASSETS all_days = TradingEnvironment.instance().trading_days cls.calendar_days = all_days[all_days.slice_indexer( TEST_CALENDAR_START, TEST_CALENDAR_STOP)] cls.asset_info = EQUITY_INFO cls.bcolz_writer = SyntheticDailyBarWriter( cls.asset_info, cls.calendar_days, ) cls.bcolz_path = cls.test_data_dir.getpath('equity_pricing.bcolz') cls.bcolz_writer.write(cls.bcolz_path, cls.calendar_days, cls.assets)
def setUpClass(cls): cls.first_asset_start = Timestamp('2015-04-01', tz='UTC') cls.env = TradingEnvironment() cls.trading_day = cls.env.trading_day cls.asset_info = make_rotating_asset_info( num_assets=6, first_start=cls.first_asset_start, frequency=cls.trading_day, periods_between_starts=4, asset_lifetime=8, ) cls.all_assets = cls.asset_info.index cls.all_dates = date_range( start=cls.first_asset_start, end=cls.asset_info['end_date'].max(), freq=cls.trading_day, ) cls.env.write_data(equities_df=cls.asset_info) cls.finder = cls.env.asset_finder cls.temp_dir = TempDirectory() cls.temp_dir.create() cls.writer = SyntheticDailyBarWriter( asset_info=cls.asset_info[['start_date', 'end_date']], calendar=cls.all_dates, ) table = cls.writer.write( cls.temp_dir.getpath('testdata.bcolz'), cls.all_dates, cls.all_assets, ) cls.ffc_loader = USEquityPricingLoader( BcolzDailyBarReader(table), NullAdjustmentReader(), )