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Python BcolzMinuteBarWriter.open方法代码示例

本文整理汇总了Python中zipline.data.minute_bars.BcolzMinuteBarWriter.open方法的典型用法代码示例。如果您正苦于以下问题:Python BcolzMinuteBarWriter.open方法的具体用法?Python BcolzMinuteBarWriter.open怎么用?Python BcolzMinuteBarWriter.open使用的例子?那么, 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zipline.data.minute_bars.BcolzMinuteBarWriter的用法示例。


在下文中一共展示了BcolzMinuteBarWriter.open方法的2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_truncate_between_data_points

# 需要导入模块: from zipline.data.minute_bars import BcolzMinuteBarWriter [as 别名]
# 或者: from zipline.data.minute_bars.BcolzMinuteBarWriter import open [as 别名]
    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)
开发者ID:FranSal,项目名称:zipline,代码行数:62,代码来源:test_minute_bars.py

示例2: test_append_on_new_day

# 需要导入模块: from zipline.data.minute_bars import BcolzMinuteBarWriter [as 别名]
# 或者: from zipline.data.minute_bars.BcolzMinuteBarWriter import open [as 别名]
    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)
            )
开发者ID:FranSal,项目名称:zipline,代码行数:49,代码来源:test_minute_bars.py


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