def _lookup_most_recent_symbols(self, sids):
symbol_cols = self.equity_symbol_mappings.c
symbols = {
row.sid: {c: row[c] for c in symbol_columns}
for row in concat(
self.engine.execute(
sa.select(
(symbol_cols.sid,) +
tuple(map(op.getitem(symbol_cols), symbol_columns)),
).where(
symbol_cols.sid.in_(map(int, sid_group)),
).order_by(
symbol_cols.end_date.desc(),
).group_by(
symbol_cols.sid,
)
).fetchall()
for sid_group in partition_all(
SQLITE_MAX_VARIABLE_NUMBER,
sids
),
)
}
if len(symbols) != len(sids):
raise EquitiesNotFound(
sids=set(sids) - set(symbols),
plural=True,
)
return symbols
def _retrieve_assets(self, sids, asset_tbl, asset_type):
"""
Internal function for loading assets from a table.
This should be the only method of `AssetFinder` that writes Assets into
self._asset_cache.
Parameters
---------
sids : iterable of int
Asset ids to look up.
asset_tbl : sqlalchemy.Table
Table from which to query assets.
asset_type : type
Type of asset to be constructed.
Returns
-------
assets : dict[int -> Asset]
Dict mapping requested sids to the retrieved assets.
"""
# Fastpath for empty request.
if not sids:
return {}
cache = self._asset_cache
hits = {}
querying_equities = issubclass(asset_type, Equity)
filter_kwargs = (
_filter_equity_kwargs
if querying_equities else
_filter_future_kwargs
)
rows = self._retrieve_asset_dicts(sids, asset_tbl, querying_equities)
for row in rows:
sid = row['sid']
# pd.DataFrame(row,index=[0]).to_csv("yuusha note")
asset = asset_type(**filter_kwargs(row))
setattr(asset, 'strike', row['strike'])
setattr(asset, 'callput', row['callput'])
setattr(asset, 'style', row['style'])
setattr(asset, 'expiration', row['expiration'])
setattr(asset, 'underlying', row['underlying'])
hits[sid] = cache[sid] = asset
# If we get here, it means something in our code thought that a
# particular sid was an equity/future and called this function with a
# concrete type, but we couldn't actually resolve the asset. This is
# an error in our code, not a user-input error.
misses = tuple(set(sids) - viewkeys(hits))
if misses:
if querying_equities:
raise EquitiesNotFound(sids=misses)
else:
raise FutureContractsNotFound(sids=misses)
return hits
def _retrieve_assets(self, sids, asset_tbl, asset_type):
"""
Internal function for loading assets from a table.
This should be the only method of `AssetFinder` that writes Assets into
self._asset_cache.
Parameters
---------
sids : iterable of int
Asset ids to look up.
asset_tbl : sqlalchemy.Table
Table from which to query assets.
asset_type : type
Type of asset to be constructed.
Returns
-------
assets : dict[int -> Asset]
Dict mapping requested sids to the retrieved assets.
"""
# Fastpath for empty request.
if not sids:
return {}
cache = self._asset_cache
hits = {}
for assets in group_into_chunks(sids):
# Load misses from the db.
query = self._select_assets_by_sid(asset_tbl, assets)
for row in imap(dict, query.execute().fetchall()):
asset = asset_type(**_convert_asset_timestamp_fields(row))
sid = asset.sid
hits[sid] = cache[sid] = asset
# If we get here, it means something in our code thought that a
# particular sid was an equity/future and called this function with a
# concrete type, but we couldn't actually resolve the asset. This is
# an error in our code, not a user-input error.
misses = tuple(set(sids) - viewkeys(hits))
if misses:
if asset_type == Equity:
raise EquitiesNotFound(sids=misses)
else:
raise FutureContractsNotFound(sids=misses)
return hits
def _lookup_most_recent_symbols(self, sids):
symbols = {
row.sid: {c: row[c] for c in symbol_columns}
for row in concat(
self.engine.execute(
self._select_most_recent_symbols_chunk(sid_group),
).fetchall()
for sid_group in partition_all(
SQLITE_MAX_VARIABLE_NUMBER,
sids
),
)
}
if len(symbols) != len(sids):
raise EquitiesNotFound(
sids=set(sids) - set(symbols),
plural=True,
)
return symbols
