Python minute_bars.BcolzMinuteBarWriter类代码示例

    def test_write_one_ohlcv_with_ratios(self):
        minute = self.market_opens[self.test_calendar_start]
        sid = 1
        data = DataFrame(
            data={"open": [10.0], "high": [20.0], "low": [30.0], "close": [40.0], "volume": [50.0]}, index=[minute]
        )

        # Create a new writer with `ohlc_ratios_per_sid` defined.
        writer_with_ratios = BcolzMinuteBarWriter(
            self.dest,
            self.trading_calendar,
            TEST_CALENDAR_START,
            TEST_CALENDAR_STOP,
            US_EQUITIES_MINUTES_PER_DAY,
            ohlc_ratios_per_sid={sid: 25},
        )
        writer_with_ratios.write_sid(sid, data)
        reader = BcolzMinuteBarReader(self.dest)

        open_price = reader.get_value(sid, minute, "open")
        self.assertEquals(10.0, open_price)

        high_price = reader.get_value(sid, minute, "high")
        self.assertEquals(20.0, high_price)

        low_price = reader.get_value(sid, minute, "low")
        self.assertEquals(30.0, low_price)

        close_price = reader.get_value(sid, minute, "close")
        self.assertEquals(40.0, close_price)

        volume_price = reader.get_value(sid, minute, "volume")
        self.assertEquals(50.0, volume_price)

def write_bcolz_minute_data(env, days, path, df_dict):
    market_opens = env.open_and_closes.market_open.loc[days]
    market_closes = env.open_and_closes.market_close.loc[days]

    writer = BcolzMinuteBarWriter(
        days[0],
        path,
        market_opens,
        market_closes,
        US_EQUITIES_MINUTES_PER_DAY
    )

    for sid, df in iteritems(df_dict):
        writer.write(sid, df)

    def test_truncate_between_data_points(self):

        tds = self.market_opens.index
        days = tds[tds.slice_indexer(
            start=self.test_calendar_start + 1,
            end=self.test_calendar_start + 3
        )]
        minutes = DatetimeIndex([
            self.market_opens[days[0]] + timedelta(minutes=60),
            self.market_opens[days[1]] + timedelta(minutes=120),
        ])
        sid = 1
        data = DataFrame(
            data={
                'open': [10.0, 11.0],
                'high': [20.0, 21.0],
                'low': [30.0, 31.0],
                'close': [40.0, 41.0],
                'volume': [50.0, 51.0]
            },
            index=minutes)
        self.writer.write_sid(sid, data)

        # Open a new writer to cover `open` method, also truncating only
        # applies to an existing directory.
        writer = BcolzMinuteBarWriter.open(self.dest)

        # Truncate to first day with data.
        writer.truncate(days[0])

        # Refresh the reader since truncate update the metadata.
        self.reader = BcolzMinuteBarReader(self.dest)

        self.assertEqual(self.writer.last_date_in_output_for_sid(sid), days[0])

        cal = self.trading_calendar
        _, last_close = cal.open_and_close_for_session(days[0])
        self.assertEqual(self.reader.last_available_dt, last_close)

        minute = minutes[0]

        open_price = self.reader.get_value(sid, minute, 'open')

        self.assertEquals(10.0, open_price)

        high_price = self.reader.get_value(sid, minute, 'high')

        self.assertEquals(20.0, high_price)

        low_price = self.reader.get_value(sid, minute, 'low')

        self.assertEquals(30.0, low_price)

        close_price = self.reader.get_value(sid, minute, 'close')

        self.assertEquals(40.0, close_price)

        volume_price = self.reader.get_value(sid, minute, 'volume')

        self.assertEquals(50.0, volume_price)

    def init_instance_fixtures(self):
        super(BcolzMinuteBarTestCase, self).init_instance_fixtures()

        self.dest = self.instance_tmpdir.getpath("minute_bars")
        os.makedirs(self.dest)
        self.writer = BcolzMinuteBarWriter(
            self.dest, self.trading_calendar, TEST_CALENDAR_START, TEST_CALENDAR_STOP, US_EQUITIES_MINUTES_PER_DAY
        )
        self.reader = BcolzMinuteBarReader(self.dest)

    def setUp(self):

        self.dir_ = TempDirectory()
        self.dir_.create()
        self.dest = self.dir_.getpath("minute_bars")
        os.makedirs(self.dest)
        self.writer = BcolzMinuteBarWriter(
            TEST_CALENDAR_START, self.dest, self.market_opens, US_EQUITIES_MINUTES_PER_DAY
        )
        self.reader = BcolzMinuteBarReader(self.dest)

    def init_instance_fixtures(self):
        super(BcolzMinuteBarTestCase, self).init_instance_fixtures()

        self.dest = self.instance_tmpdir.getpath('minute_bars')
        os.makedirs(self.dest)
        self.writer = BcolzMinuteBarWriter(
            TEST_CALENDAR_START,
            self.dest,
            self.market_opens,
            self.market_closes,
            US_EQUITIES_MINUTES_PER_DAY,
        )
        self.reader = BcolzMinuteBarReader(self.dest)

    def test_append_on_new_day(self):
        sid = 1

        ohlcv = {
            'open': [2.0],
            'high': [3.0],
            'low': [1.0],
            'close': [2.0],
            'volume': [10.0]
        }

        dt = self.market_opens[TEST_CALENDAR_STOP]
        data = DataFrame(
            data=ohlcv,
            index=[dt])
        self.writer.write_sid(sid, data)

        # Open a new writer to cover `open` method, also a common usage
        # of appending new days will be writing to an existing directory.
        cday = self.trading_calendar.schedule.index.freq
        new_end_session = TEST_CALENDAR_STOP + cday
        writer = BcolzMinuteBarWriter.open(self.dest, new_end_session)
        next_day_minute = dt + cday
        new_data = DataFrame(
            data=ohlcv,
            index=[next_day_minute])
        writer.write_sid(sid, new_data)

        # Get a new reader to test updated calendar.
        reader = BcolzMinuteBarReader(self.dest)

        second_minute = dt + Timedelta(minutes=1)

        # The second minute should have been padded with zeros
        for col in ('open', 'high', 'low', 'close'):
            assert_almost_equal(
                nan, reader.get_value(sid, second_minute, col)
            )
        self.assertEqual(
            0, reader.get_value(sid, second_minute, 'volume')
        )

        # The next day minute should have data.
        for col in ('open', 'high', 'low', 'close', 'volume'):
            assert_almost_equal(
                ohlcv[col], reader.get_value(sid, next_day_minute, col)
            )

class BcolzMinuteBarTestCase(WithTradingCalendars,
                             WithInstanceTmpDir,
                             ZiplineTestCase):

    @classmethod
    def init_class_fixtures(cls):
        super(BcolzMinuteBarTestCase, cls).init_class_fixtures()

        cal = cls.trading_calendar.schedule.loc[
            TEST_CALENDAR_START:TEST_CALENDAR_STOP
        ]

        cls.market_opens = cal.market_open
        cls.market_closes = cal.market_close

        cls.test_calendar_start = cls.market_opens.index[0]
        cls.test_calendar_stop = cls.market_opens.index[-1]

    def init_instance_fixtures(self):
        super(BcolzMinuteBarTestCase, self).init_instance_fixtures()

        self.dest = self.instance_tmpdir.getpath('minute_bars')
        os.makedirs(self.dest)
        self.writer = BcolzMinuteBarWriter(
            self.dest,
            self.trading_calendar,
            TEST_CALENDAR_START,
            TEST_CALENDAR_STOP,
            US_EQUITIES_MINUTES_PER_DAY,
        )
        self.reader = BcolzMinuteBarReader(self.dest)

    def test_version(self):
        metadata = self.reader._get_metadata()
        self.assertEquals(
            metadata.version,
            BcolzMinuteBarMetadata.FORMAT_VERSION,
        )

    def test_write_one_ohlcv(self):
        minute = self.market_opens[self.test_calendar_start]
        sid = 1
        data = DataFrame(
            data={
                'open': [10.0],
                'high': [20.0],
                'low': [30.0],
                'close': [40.0],
                'volume': [50.0]
            },
            index=[minute])
        self.writer.write_sid(sid, data)

        open_price = self.reader.get_value(sid, minute, 'open')

        self.assertEquals(10.0, open_price)

        high_price = self.reader.get_value(sid, minute, 'high')

        self.assertEquals(20.0, high_price)

        low_price = self.reader.get_value(sid, minute, 'low')

        self.assertEquals(30.0, low_price)

        close_price = self.reader.get_value(sid, minute, 'close')

        self.assertEquals(40.0, close_price)

        volume_price = self.reader.get_value(sid, minute, 'volume')

        self.assertEquals(50.0, volume_price)

    def test_write_two_bars(self):
        minute_0 = self.market_opens[self.test_calendar_start]
        minute_1 = minute_0 + timedelta(minutes=1)
        sid = 1
        data = DataFrame(
            data={
                'open': [10.0, 11.0],
                'high': [20.0, 21.0],
                'low': [30.0, 31.0],
                'close': [40.0, 41.0],
                'volume': [50.0, 51.0]
            },
            index=[minute_0, minute_1])
        self.writer.write_sid(sid, data)

        open_price = self.reader.get_value(sid, minute_0, 'open')

        self.assertEquals(10.0, open_price)

        high_price = self.reader.get_value(sid, minute_0, 'high')

        self.assertEquals(20.0, high_price)

        low_price = self.reader.get_value(sid, minute_0, 'low')

        self.assertEquals(30.0, low_price)

#.........这里部分代码省略.........

class BcolzMinuteBarTestCase(TestCase):

    @classmethod
    def setUpClass(cls):
        cls.env = TradingEnvironment()
        all_market_opens = cls.env.open_and_closes.market_open
        all_market_closes = cls.env.open_and_closes.market_close
        indexer = all_market_opens.index.slice_indexer(
            start=TEST_CALENDAR_START,
            end=TEST_CALENDAR_STOP
        )
        cls.market_opens = all_market_opens[indexer]
        cls.market_closes = all_market_closes[indexer]
        cls.test_calendar_start = cls.market_opens.index[0]
        cls.test_calendar_stop = cls.market_opens.index[-1]

    def setUp(self):

        self.dir_ = TempDirectory()
        self.dir_.create()
        self.dest = self.dir_.getpath('minute_bars')
        os.makedirs(self.dest)
        self.writer = BcolzMinuteBarWriter(
            TEST_CALENDAR_START,
            self.dest,
            self.market_opens,
            self.market_closes,
            US_EQUITIES_MINUTES_PER_DAY,
        )
        self.reader = BcolzMinuteBarReader(self.dest)

    def tearDown(self):
        self.dir_.cleanup()

    def test_write_one_ohlcv(self):
        minute = self.market_opens[self.test_calendar_start]
        sid = 1
        data = DataFrame(
            data={
                'open': [10.0],
                'high': [20.0],
                'low': [30.0],
                'close': [40.0],
                'volume': [50.0]
            },
            index=[minute])
        self.writer.write(sid, data)

        open_price = self.reader.get_value(sid, minute, 'open')

        self.assertEquals(10.0, open_price)

        high_price = self.reader.get_value(sid, minute, 'high')

        self.assertEquals(20.0, high_price)

        low_price = self.reader.get_value(sid, minute, 'low')

        self.assertEquals(30.0, low_price)

        close_price = self.reader.get_value(sid, minute, 'close')

        self.assertEquals(40.0, close_price)

        volume_price = self.reader.get_value(sid, minute, 'volume')

        self.assertEquals(50.0, volume_price)

    def test_write_two_bars(self):
        minute_0 = self.market_opens[self.test_calendar_start]
        minute_1 = minute_0 + timedelta(minutes=1)
        sid = 1
        data = DataFrame(
            data={
                'open': [10.0, 11.0],
                'high': [20.0, 21.0],
                'low': [30.0, 31.0],
                'close': [40.0, 41.0],
                'volume': [50.0, 51.0]
            },
            index=[minute_0, minute_1])
        self.writer.write(sid, data)

        open_price = self.reader.get_value(sid, minute_0, 'open')

        self.assertEquals(10.0, open_price)

        high_price = self.reader.get_value(sid, minute_0, 'high')

        self.assertEquals(20.0, high_price)

        low_price = self.reader.get_value(sid, minute_0, 'low')

        self.assertEquals(30.0, low_price)

        close_price = self.reader.get_value(sid, minute_0, 'close')

        self.assertEquals(40.0, close_price)

        volume_price = self.reader.get_value(sid, minute_0, 'volume')
#.........这里部分代码省略.........

class BcolzMinuteBarTestCase(TestCase):

    @classmethod
    def setUpClass(cls):
        cls.env = TradingEnvironment()
        all_market_opens = cls.env.open_and_closes.market_open
        indexer = all_market_opens.index.slice_indexer(
            start=TEST_CALENDAR_START,
            end=TEST_CALENDAR_STOP
        )
        cls.market_opens = all_market_opens[indexer]
        cls.test_calendar_start = cls.market_opens.index[0]
        cls.test_calendar_stop = cls.market_opens.index[-1]

    def setUp(self):

        self.dir_ = TempDirectory()
        self.dir_.create()
        self.dest = self.dir_.getpath('minute_bars')
        os.makedirs(self.dest)
        self.writer = BcolzMinuteBarWriter(
            TEST_CALENDAR_START,
            self.dest,
            self.market_opens,
            US_EQUITIES_MINUTES_PER_DAY,
        )
        self.reader = BcolzMinuteBarReader(self.dest)

    def tearDown(self):
        self.dir_.cleanup()

    def test_write_one_ohlcv(self):
        minute = self.market_opens[self.test_calendar_start]
        sid = 1
        data = DataFrame(
            data={
                'open': [10.0],
                'high': [20.0],
                'low': [30.0],
                'close': [40.0],
                'volume': [50.0]
            },
            index=[minute])
        self.writer.write(sid, data)

        open_price = self.reader.get_value(sid, minute, 'open')

        self.assertEquals(10.0, open_price)

        high_price = self.reader.get_value(sid, minute, 'high')

        self.assertEquals(20.0, high_price)

        low_price = self.reader.get_value(sid, minute, 'low')

        self.assertEquals(30.0, low_price)

        close_price = self.reader.get_value(sid, minute, 'close')

        self.assertEquals(40.0, close_price)

        volume_price = self.reader.get_value(sid, minute, 'volume')

        self.assertEquals(50.0, volume_price)

    def test_write_two_bars(self):
        minute_0 = self.market_opens[self.test_calendar_start]
        minute_1 = minute_0 + timedelta(minutes=1)
        sid = 1
        data = DataFrame(
            data={
                'open': [10.0, 11.0],
                'high': [20.0, 21.0],
                'low': [30.0, 31.0],
                'close': [40.0, 41.0],
                'volume': [50.0, 51.0]
            },
            index=[minute_0, minute_1])
        self.writer.write(sid, data)

        open_price = self.reader.get_value(sid, minute_0, 'open')

        self.assertEquals(10.0, open_price)

        high_price = self.reader.get_value(sid, minute_0, 'high')

        self.assertEquals(20.0, high_price)

        low_price = self.reader.get_value(sid, minute_0, 'low')

        self.assertEquals(30.0, low_price)

        close_price = self.reader.get_value(sid, minute_0, 'close')

        self.assertEquals(40.0, close_price)

        volume_price = self.reader.get_value(sid, minute_0, 'volume')

        self.assertEquals(50.0, volume_price)

#.........这里部分代码省略.........

class BcolzMinuteBarTestCase(TestCase):

    @classmethod
    def setUpClass(cls):
        cls.env = TradingEnvironment()
        all_market_opens = cls.env.open_and_closes.market_open
        indexer = all_market_opens.index.slice_indexer(
            start=TEST_CALENDAR_START,
            end=TEST_CALENDAR_STOP
        )
        cls.market_opens = all_market_opens[indexer]
        cls.test_calendar_start = cls.market_opens.index[0]
        cls.test_calendar_stop = cls.market_opens.index[-1]

    def setUp(self):

        self.dir_ = TempDirectory()
        self.dir_.create()
        self.dest = self.dir_.getpath('minute_bars')
        os.makedirs(self.dest)
        self.writer = BcolzMinuteBarWriter(
            TEST_CALENDAR_START,
            self.dest,
            self.market_opens,
            US_EQUITIES_MINUTES_PER_DAY,
        )
        self.reader = BcolzMinuteBarReader(self.dest)

    def tearDown(self):
        self.dir_.cleanup()

    def test_write_one_ohlcv(self):
        minute = self.market_opens[self.test_calendar_start]
        sid = 1
        data = DataFrame(
            data={
                'open': [10.0],
                'high': [20.0],
                'low': [30.0],
                'close': [40.0],
                'volume': [50.0]
            },
            index=[minute])
        self.writer.write(sid, data)

        open_price = self.reader.get_value(sid, minute, 'open')

        self.assertEquals(10.0, open_price)

        high_price = self.reader.get_value(sid, minute, 'high')

        self.assertEquals(20.0, high_price)

        low_price = self.reader.get_value(sid, minute, 'low')

        self.assertEquals(30.0, low_price)

        close_price = self.reader.get_value(sid, minute, 'close')

        self.assertEquals(40.0, close_price)

        volume_price = self.reader.get_value(sid, minute, 'volume')

        self.assertEquals(50.0, volume_price)

    def test_write_two_bars(self):
        minute_0 = self.market_opens[self.test_calendar_start]
        minute_1 = minute_0 + timedelta(minutes=1)
        sid = 1
        data = DataFrame(
            data={
                'open': [10.0, 11.0],
                'high': [20.0, 21.0],
                'low': [30.0, 31.0],
                'close': [40.0, 41.0],
                'volume': [50.0, 51.0]
            },
            index=[minute_0, minute_1])
        self.writer.write(sid, data)

        open_price = self.reader.get_value(sid, minute_0, 'open')

        self.assertEquals(10.0, open_price)

        high_price = self.reader.get_value(sid, minute_0, 'high')

        self.assertEquals(20.0, high_price)

        low_price = self.reader.get_value(sid, minute_0, 'low')

        self.assertEquals(30.0, low_price)

        close_price = self.reader.get_value(sid, minute_0, 'close')

        self.assertEquals(40.0, close_price)

        volume_price = self.reader.get_value(sid, minute_0, 'volume')

        self.assertEquals(50.0, volume_price)

#.........这里部分代码省略.........