本文整理汇总了Python中zipline.TradingAlgorithm.data_portal方法的典型用法代码示例。如果您正苦于以下问题：Python TradingAlgorithm.data_portal方法的具体用法？Python TradingAlgorithm.data_portal怎么用？Python TradingAlgorithm.data_portal使用的例子？那么恭喜您, 这里精选的方法代码示例或许可以为您提供帮助。您也可以进一步了解该方法所在类zipline.TradingAlgorithm的用法示例。
在下文中一共展示了TradingAlgorithm.data_portal方法的1个代码示例，这些例子默认根据受欢迎程度排序。您可以为喜欢或者感觉有用的代码点赞，您的评价将有助于系统推荐出更棒的Python代码示例。
示例1: test_minutely_fetcher
# 需要导入模块: from zipline import TradingAlgorithm [as 别名]
# 或者: from zipline.TradingAlgorithm import data_portal [as 别名]
def test_minutely_fetcher(self):
self.responses.add(
self.responses.GET,
'https://fake.urls.com/aapl_minute_csv_data.csv',
body=AAPL_MINUTE_CSV_DATA,
content_type='text/csv',
)
sim_params = factory.create_simulation_parameters(
start=pd.Timestamp("2006-01-03", tz='UTC'),
end=pd.Timestamp("2006-01-10", tz='UTC'),
emission_rate="minute",
data_frequency="minute"
)
test_algo = TradingAlgorithm(
script="""
from zipline.api import fetch_csv, record, sid
def initialize(context):
fetch_csv('https://fake.urls.com/aapl_minute_csv_data.csv')
def handle_data(context, data):
record(aapl_signal=data.current(sid(24), "signal"))
""", sim_params=sim_params, data_frequency="minute", env=self.env)
# manually setting data portal and getting generator because we need
# the minutely emission packets here. TradingAlgorithm.run() only
# returns daily packets.
test_algo.data_portal = FetcherDataPortal(self.env,
self.trading_calendar)
gen = test_algo.get_generator()
perf_packets = list(gen)
signal = [result["minute_perf"]["recorded_vars"]["aapl_signal"] for
result in perf_packets if "minute_perf" in result]
self.assertEqual(6 * 390, len(signal))
# csv data is:
# symbol,date,signal
# aapl,1/4/06 5:31AM, 1
# aapl,1/4/06 11:30AM, 2
# aapl,1/5/06 5:31AM, 1
# aapl,1/5/06 11:30AM, 3
# aapl,1/9/06 5:31AM, 1
# aapl,1/9/06 11:30AM, 4 for dates 1/3 to 1/10
# 2 signals per day, only last signal is taken. So we expect
# 390 bars of signal NaN on 1/3
# 390 bars of signal 2 on 1/4
# 390 bars of signal 3 on 1/5
# 390 bars of signal 3 on 1/6 (forward filled)
# 390 bars of signal 4 on 1/9
# 390 bars of signal 4 on 1/9 (forward filled)
np.testing.assert_array_equal([np.NaN] * 390, signal[0:390])
np.testing.assert_array_equal([2] * 390, signal[390:780])
np.testing.assert_array_equal([3] * 780, signal[780:1560])
np.testing.assert_array_equal([4] * 780, signal[1560:])