def init_class_fixtures(cls):
super(WithInternationalDailyBarData, cls).init_class_fixtures()
cls.daily_bar_sessions = {}
cls.daily_bar_data = {}
cls.daily_bar_readers = {}
cls.daily_bar_currency_codes = {}
for calendar, assets, in cls.assets_by_calendar.items():
name = calendar.name
start_delta = cls.DAILY_BAR_LOOKBACK_DAYS * calendar.day
start_session = cls.DAILY_BAR_START_DATE - start_delta
sessions = calendar.sessions_in_range(
start_session, cls.DAILY_BAR_END_DATE,
)
cls.daily_bar_sessions[name] = sessions
cls.daily_bar_data[name] = dict(cls.make_daily_bar_data(
assets=assets, calendar=calendar, sessions=sessions,
))
panel = (pd.Panel.from_dict(cls.daily_bar_data[name])
.transpose(2, 1, 0))
cls.daily_bar_currency_codes[name] = cls.make_currency_codes(
calendar,
assets,
)
cls.daily_bar_readers[name] = InMemoryDailyBarReader.from_panel(
panel,
calendar,
currency_codes=cls.daily_bar_currency_codes[name],
)
def init_class_fixtures(cls):
super(WithInternationalDailyBarData, cls).init_class_fixtures()
cls.daily_bar_sessions = {}
cls.daily_bar_data = {}
cls.daily_bar_readers = {}
for calendar, assets, in cls.assets_by_calendar.items():
name = calendar.name
start_delta = cls.DAILY_BAR_LOOKBACK_DAYS * calendar.day
start_session = cls.DAILY_BAR_START_DATE - start_delta
sessions = calendar.sessions_in_range(
start_session, cls.DAILY_BAR_END_DATE,
)
cls.daily_bar_sessions[name] = sessions
cls.daily_bar_data[name] = dict(cls.make_daily_bar_data(
assets=assets, calendar=calendar, sessions=sessions,
))
panel = (pd.Panel.from_dict(cls.daily_bar_data[name])
.transpose(2, 1, 0))
cls.daily_bar_readers[name] = InMemoryDailyBarReader.from_panel(
panel,
calendar,
)
def in_memory_reader_for_close(self, close):
nan_frame = pd.DataFrame(
np.nan,
index=close.index,
columns=close.columns,
)
frames = {'close': close}
for key in 'open', 'high', 'low', 'volume':
frames[key] = nan_frame
return InMemoryDailyBarReader(frames, self.trading_calendar)
def init_class_fixtures(cls):
super(WithInternationalDailyBarData, cls).init_class_fixtures()
cls.daily_bar_sessions = {}
cls.daily_bar_data = {}
cls.daily_bar_readers = {}
cls.daily_bar_currency_codes = {}
for calendar, assets, in cls.assets_by_calendar.items():
name = calendar.name
start_delta = cls.DAILY_BAR_LOOKBACK_DAYS * calendar.day
start_session = cls.DAILY_BAR_START_DATE - start_delta
sessions = calendar.sessions_in_range(
start_session,
cls.DAILY_BAR_END_DATE,
)
cls.daily_bar_sessions[name] = sessions
cls.daily_bar_data[name] = d = dict(
cls.make_daily_bar_data(
assets=assets,
calendar=calendar,
sessions=sessions,
))
# panel = (pd.Panel.from_dict(cls.daily_bar_data[name])
# .transpose(2, 1, 0))
frame_dict = defaultdict(list)
for asset, data in d.items():
for col in data.columns:
df = pd.DataFrame(data[col].values,
columns=[asset],
index=data[col].index)
frame_dict[col].append(df)
frame_dict = {
key: pd.concat(l, axis=1)
for key, l in frame_dict.items()
}
cls.daily_bar_currency_codes[name] = cls.make_currency_codes(
calendar,
assets,
)
cls.daily_bar_readers[
name] = InMemoryDailyBarReader.from_frame_dict(
frame_dict,
calendar,
currency_codes=cls.daily_bar_currency_codes[name],
)
def empty_in_memory_reader(self, dates, sids):
nan_frame = pd.DataFrame(
np.nan,
index=dates,
columns=sids,
)
frames = {
key: nan_frame
for key in ('open', 'high', 'low', 'close', 'volume')
}
return InMemoryDailyBarReader(frames, self.trading_calendar)
def init_class_fixtures(cls):
super(WithInternationalDailyBarData, cls).init_class_fixtures()
cls.daily_bar_sessions = {}
cls.daily_bar_data = {}
cls.daily_bar_readers = {}
cls.daily_bar_currency_codes = {}
for (
calendar,
assets,
) in cls.assets_by_calendar.items():
name = calendar.name
start_delta = cls.DAILY_BAR_LOOKBACK_DAYS * calendar.day
start_session = cls.DAILY_BAR_START_DATE - start_delta
sessions = calendar.sessions_in_range(
start_session,
cls.DAILY_BAR_END_DATE,
)
cls.daily_bar_sessions[name] = sessions
cls.daily_bar_data[name] = dict(
cls.make_daily_bar_data(
assets=assets,
calendar=calendar,
sessions=sessions,
)
)
bar_data = cls.daily_bar_data[name]
df = (
pd.concat(bar_data, keys=bar_data.keys()).stack().unstack(0).swaplevel()
)
frames = {
field: frame.reset_index(level=0, drop=True)
for field, frame in df.groupby(level=0)
}
# panel = (pd.Panel.from_dict(cls.daily_bar_data[name])
# .transpose(2, 1, 0))
cls.daily_bar_currency_codes[name] = cls.make_currency_codes(
calendar,
assets,
)
cls.daily_bar_readers[name] = InMemoryDailyBarReader(
frames=frames,
calendar=calendar,
currency_codes=cls.daily_bar_currency_codes[name],
)
def empty_in_memory_reader(self, dates, sids):
nan_frame = pd.DataFrame(
np.nan,
index=dates,
columns=sids,
)
frames = {key: nan_frame for key in ("open", "high", "low", "close", "volume")}
return InMemoryDailyBarReader(
frames,
self.trading_calendar,
currency_codes=pd.Series(index=sids, data="USD"),
)
def in_memory_reader_for_close(self, close):
nan_frame = pd.DataFrame(
np.nan,
index=close.index,
columns=close.columns,
)
frames = {"close": close}
for key in "open", "high", "low", "volume":
frames[key] = nan_frame
return InMemoryDailyBarReader(
frames,
self.trading_calendar,
currency_codes=pd.Series(index=close.columns, data="USD"),
)
def init_class_fixtures(cls):
super(WithInternationalDailyBarData, cls).init_class_fixtures()
cls.daily_bar_sessions = {}
cls.daily_bar_data = {}
cls.daily_bar_readers = {}
cls.daily_bar_currency_codes = {}
for calendar, assets, in cls.assets_by_calendar.items():
name = calendar.name
start_delta = cls.DAILY_BAR_LOOKBACK_DAYS * calendar.day
start_session = cls.DAILY_BAR_START_DATE - start_delta
sessions = calendar.sessions_in_range(
start_session,
cls.DAILY_BAR_END_DATE,
)
cls.daily_bar_sessions[name] = sessions
cls.daily_bar_data[name] = dict(
cls.make_daily_bar_data(
assets=assets,
calendar=calendar,
sessions=sessions,
))
panel = pd.concat(cls.daily_bar_data[name], axis=0)
dict_data = {}
for column in panel.columns:
dict_data[column] = pd.DataFrame(
panel[column]).unstack(level=0)
dict_data[column].columns = dict_data[
column].columns.droplevel(0)
cls.daily_bar_currency_codes[name] = cls.make_currency_codes(
calendar,
assets,
)
cls.daily_bar_readers[name] = InMemoryDailyBarReader.from_panel(
dict_data,
calendar,
currency_codes=cls.daily_bar_currency_codes[name],
)
