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 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],
)
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],
)