本文整理汇总了Python中zipline.protocol.BarData.current方法的典型用法代码示例。如果您正苦于以下问题:Python BarData.current方法的具体用法?Python BarData.current怎么用?Python BarData.current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.protocol.BarData
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在下文中一共展示了BarData.current方法的15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_last_active_day
# 需要导入模块: from zipline.protocol import BarData [as 别名]
# 或者: from zipline.protocol.BarData import current [as 别名]
def test_last_active_day(self):
bar_data = BarData(
self.data_portal,
lambda: self.get_last_minute_of_session(
self.equity_daily_bar_days[-1]
),
"daily",
self.trading_calendar
)
self.check_internal_consistency(bar_data)
for asset in self.ASSETS:
if asset in (1, 2):
self.assertFalse(bar_data.can_trade(asset))
else:
self.assertTrue(bar_data.can_trade(asset))
self.assertFalse(bar_data.is_stale(asset))
if asset in (1, 2):
assert_almost_equal(nan, bar_data.current(asset, "open"))
assert_almost_equal(nan, bar_data.current(asset, "high"))
assert_almost_equal(nan, bar_data.current(asset, "low"))
assert_almost_equal(nan, bar_data.current(asset, "close"))
assert_almost_equal(0, bar_data.current(asset, "volume"))
assert_almost_equal(nan, bar_data.current(asset, "price"))
else:
self.assertEqual(6, bar_data.current(asset, "open"))
self.assertEqual(7, bar_data.current(asset, "high"))
self.assertEqual(4, bar_data.current(asset, "low"))
self.assertEqual(5, bar_data.current(asset, "close"))
self.assertEqual(500, bar_data.current(asset, "volume"))
self.assertEqual(5, bar_data.current(asset, "price"))
示例2: test_spot_price_is_adjusted_if_needed
# 需要导入模块: from zipline.protocol import BarData [as 别名]
# 或者: from zipline.protocol.BarData import current [as 别名]
def test_spot_price_is_adjusted_if_needed(self):
# on cls.days[1], the first 9 minutes of ILLIQUID_SPLIT_ASSET are
# missing. let's get them.
day0_minutes = self.env.market_minutes_for_day(self.days[0])
day1_minutes = self.env.market_minutes_for_day(self.days[1])
for idx, minute in enumerate(day0_minutes[-10:-1]):
bar_data = BarData(self.data_portal, lambda: minute, "minute")
self.assertEqual(
380,
bar_data.current(self.ILLIQUID_SPLIT_ASSET, "price")
)
bar_data = BarData(
self.data_portal, lambda: day0_minutes[-1], "minute"
)
self.assertEqual(
390,
bar_data.current(self.ILLIQUID_SPLIT_ASSET, "price")
)
for idx, minute in enumerate(day1_minutes[0:9]):
bar_data = BarData(self.data_portal, lambda: minute, "minute")
# should be half of 390, due to the split
self.assertEqual(
195,
bar_data.current(self.ILLIQUID_SPLIT_ASSET, "price")
)
示例3: test_after_assets_dead
# 需要导入模块: from zipline.protocol import BarData [as 别名]
# 或者: from zipline.protocol.BarData import current [as 别名]
def test_after_assets_dead(self):
# both assets end on self.day[-1], so let's try the next day
next_day = self.trading_schedule.next_execution_day(
self.equity_daily_bar_days[-1]
)
bar_data = BarData(self.data_portal, lambda: next_day, "daily")
self.check_internal_consistency(bar_data)
for asset in self.ASSETS:
self.assertFalse(bar_data.can_trade(asset))
self.assertFalse(bar_data.is_stale(asset))
for field in OHLCP:
self.assertTrue(np.isnan(bar_data.current(asset, field)))
self.assertEqual(0, bar_data.current(asset, "volume"))
last_traded_dt = bar_data.current(asset, "last_traded")
if asset == self.ASSET1:
self.assertEqual(self.equity_daily_bar_days[-2],
last_traded_dt)
else:
self.assertEqual(self.equity_daily_bar_days[1], last_traded_dt)
示例4: test_get_value_during_non_market_hours
# 需要导入模块: from zipline.protocol import BarData [as 别名]
# 或者: from zipline.protocol.BarData import current [as 别名]
def test_get_value_during_non_market_hours(self):
# make sure that if we try to get the OHLCV values of ASSET1 during
# non-market hours, we don't get the previous market minute's values
futures_cal = get_calendar("us_futures")
data_portal = DataPortal(
self.env.asset_finder,
futures_cal,
first_trading_day=self.DATA_PORTAL_FIRST_TRADING_DAY,
equity_minute_reader=self.bcolz_equity_minute_bar_reader,
)
bar_data = BarData(
data_portal,
lambda: pd.Timestamp("2016-01-06 3:15", tz="US/Eastern"),
"minute",
futures_cal
)
self.assertTrue(np.isnan(bar_data.current(self.ASSET1, "open")))
self.assertTrue(np.isnan(bar_data.current(self.ASSET1, "high")))
self.assertTrue(np.isnan(bar_data.current(self.ASSET1, "low")))
self.assertTrue(np.isnan(bar_data.current(self.ASSET1, "close")))
self.assertEqual(0, bar_data.current(self.ASSET1, "volume"))
# price should still forward fill
self.assertEqual(390, bar_data.current(self.ASSET1, "price"))
示例5: test_semi_active_day
# 需要导入模块: from zipline.protocol import BarData [as 别名]
# 或者: from zipline.protocol.BarData import current [as 别名]
def test_semi_active_day(self):
# on self.days[0], only asset1 has data
bar_data = BarData(self.data_portal, lambda: self.days[0], "daily")
self.check_internal_consistency(bar_data)
self.assertTrue(bar_data.can_trade(self.ASSET1))
self.assertFalse(bar_data.can_trade(self.ASSET2))
# because there is real data
self.assertFalse(bar_data.is_stale(self.ASSET1))
# because there has never been a trade bar yet
self.assertFalse(bar_data.is_stale(self.ASSET2))
self.assertEqual(3, bar_data.current(self.ASSET1, "open"))
self.assertEqual(4, bar_data.current(self.ASSET1, "high"))
self.assertEqual(1, bar_data.current(self.ASSET1, "low"))
self.assertEqual(2, bar_data.current(self.ASSET1, "close"))
self.assertEqual(200, bar_data.current(self.ASSET1, "volume"))
self.assertEqual(2, bar_data.current(self.ASSET1, "price"))
self.assertEqual(self.days[0],
bar_data.current(self.ASSET1, "last_traded"))
for field in OHLCP:
self.assertTrue(np.isnan(bar_data.current(self.ASSET2, field)),
field)
self.assertEqual(0, bar_data.current(self.ASSET2, "volume"))
self.assertTrue(
bar_data.current(self.ASSET2, "last_traded") is pd.NaT
)
示例6: test_spot_price_adjustments
# 需要导入模块: from zipline.protocol import BarData [as 别名]
# 或者: from zipline.protocol.BarData import current [as 别名]
def test_spot_price_adjustments(self,
adjustment_type,
liquid_day_0_price,
liquid_day_1_price,
illiquid_day_0_price,
illiquid_day_1_price_adjusted):
"""Test the behaviour of spot prices during adjustments."""
table_name = adjustment_type + 's'
liquid_asset = getattr(self, (adjustment_type.upper() + "_ASSET"))
illiquid_asset = getattr(
self,
("ILLIQUID_" + adjustment_type.upper() + "_ASSET")
)
# verify there is an adjustment for liquid_asset
adjustments = self.adjustments_reader.get_adjustments_for_sid(
table_name,
liquid_asset.sid
)
self.assertEqual(1, len(adjustments))
adjustment = adjustments[0]
self.assertEqual(
adjustment[0],
pd.Timestamp("2016-01-06", tz='UTC')
)
# ... but that's it's not applied when using spot value
bar_data = BarData(self.data_portal, lambda: self.days[0], "daily")
self.assertEqual(
liquid_day_0_price,
bar_data.current(liquid_asset, "price")
)
bar_data = BarData(self.data_portal, lambda: self.days[1], "daily")
self.assertEqual(
liquid_day_1_price,
bar_data.current(liquid_asset, "price")
)
# ... except when we have to forward fill across a day boundary
# ILLIQUID_ASSET has no data on days 0 and 2, and a split on day 2
bar_data = BarData(self.data_portal, lambda: self.days[1], "daily")
self.assertEqual(
illiquid_day_0_price, bar_data.current(illiquid_asset, "price")
)
bar_data = BarData(self.data_portal, lambda: self.days[2], "daily")
# 3 (price from previous day) * 0.5 (split ratio)
self.assertAlmostEqual(
illiquid_day_1_price_adjusted,
bar_data.current(illiquid_asset, "price")
)
示例7: test_last_active_day
# 需要导入模块: from zipline.protocol import BarData [as 别名]
# 或者: from zipline.protocol.BarData import current [as 别名]
def test_last_active_day(self):
bar_data = BarData(self.data_portal, lambda: self.days[-1], "daily")
self.check_internal_consistency(bar_data)
for asset in self.ASSETS:
self.assertTrue(bar_data.can_trade(asset))
self.assertFalse(bar_data.is_stale(asset))
self.assertEqual(6, bar_data.current(asset, "open"))
self.assertEqual(7, bar_data.current(asset, "high"))
self.assertEqual(4, bar_data.current(asset, "low"))
self.assertEqual(5, bar_data.current(asset, "close"))
self.assertEqual(500, bar_data.current(asset, "volume"))
self.assertEqual(5, bar_data.current(asset, "price"))
示例8: test_minute_after_assets_stopped
# 需要导入模块: from zipline.protocol import BarData [as 别名]
# 或者: from zipline.protocol.BarData import current [as 别名]
def test_minute_after_assets_stopped(self):
minutes = self.env.market_minutes_for_day(
self.env.next_trading_day(self.days[-1])
)
last_trading_minute = \
self.env.market_minutes_for_day(self.days[-1])[-1]
# this entire day is after both assets have stopped trading
for idx, minute in enumerate(minutes):
bar_data = BarData(self.data_portal, lambda: minute, "minute")
self.assertFalse(bar_data.can_trade(self.ASSET1))
self.assertFalse(bar_data.can_trade(self.ASSET2))
self.assertFalse(bar_data.is_stale(self.ASSET1))
self.assertFalse(bar_data.is_stale(self.ASSET2))
self.check_internal_consistency(bar_data)
for field in ALL_FIELDS:
for asset in self.ASSETS:
asset_value = bar_data.current(asset, field)
if field in OHLCP:
self.assertTrue(np.isnan(asset_value))
elif field == "volume":
self.assertEqual(0, asset_value)
elif field == "last_traded":
self.assertEqual(last_trading_minute, asset_value)
示例9: test_day_before_assets_trading
# 需要导入模块: from zipline.protocol import BarData [as 别名]
# 或者: from zipline.protocol.BarData import current [as 别名]
def test_day_before_assets_trading(self):
# use the day before self.bcolz_daily_bar_days[0]
minute = self.get_last_minute_of_session(
self.trading_calendar.previous_session_label(
self.equity_daily_bar_days[0]
)
)
bar_data = BarData(self.data_portal, lambda: minute, "daily",
self.trading_calendar)
self.check_internal_consistency(bar_data)
self.assertFalse(bar_data.can_trade(self.ASSET1))
self.assertFalse(bar_data.can_trade(self.ASSET2))
self.assertFalse(bar_data.is_stale(self.ASSET1))
self.assertFalse(bar_data.is_stale(self.ASSET2))
for field in ALL_FIELDS:
for asset in self.ASSETS:
asset_value = bar_data.current(asset, field)
if field in OHLCP:
self.assertTrue(np.isnan(asset_value))
elif field == "volume":
self.assertEqual(0, asset_value)
elif field == "last_traded":
self.assertTrue(asset_value is pd.NaT)
示例10: test_spot_price_is_unadjusted
# 需要导入模块: from zipline.protocol import BarData [as 别名]
# 或者: from zipline.protocol.BarData import current [as 别名]
def test_spot_price_is_unadjusted(self):
# verify there is a split for SPLIT_ASSET
splits = self.adjustments_reader.get_adjustments_for_sid(
"splits",
self.SPLIT_ASSET.sid
)
self.assertEqual(1, len(splits))
split = splits[0]
self.assertEqual(
split[0],
pd.Timestamp("2016-01-06", tz='UTC')
)
# ... but that's it's not applied when using spot value
minutes = self.env.minutes_for_days_in_range(
start=self.days[0], end=self.days[1]
)
for idx, minute in enumerate(minutes):
bar_data = BarData(self.data_portal, lambda: minute, "minute")
self.assertEqual(
idx + 1,
bar_data.current(self.SPLIT_ASSET, "price")
)
示例11: test_minute_before_assets_trading
# 需要导入模块: from zipline.protocol import BarData [as 别名]
# 或者: from zipline.protocol.BarData import current [as 别名]
def test_minute_before_assets_trading(self):
# grab minutes that include the day before the asset start
minutes = self.env.market_minutes_for_day(
self.env.previous_trading_day(self.days[0])
)
# this entire day is before either asset has started trading
for idx, minute in enumerate(minutes):
bar_data = BarData(self.data_portal, lambda: minute, "minute")
self.check_internal_consistency(bar_data)
self.assertFalse(bar_data.can_trade(self.ASSET1))
self.assertFalse(bar_data.can_trade(self.ASSET2))
self.assertFalse(bar_data.is_stale(self.ASSET1))
self.assertFalse(bar_data.is_stale(self.ASSET2))
for field in ALL_FIELDS:
for asset in self.ASSETS:
asset_value = bar_data.current(asset, field)
if field in OHLCP:
self.assertTrue(np.isnan(asset_value))
elif field == "volume":
self.assertEqual(0, asset_value)
elif field == "last_traded":
self.assertTrue(asset_value is pd.NaT)
示例12: test_day_before_assets_trading
# 需要导入模块: from zipline.protocol import BarData [as 别名]
# 或者: from zipline.protocol.BarData import current [as 别名]
def test_day_before_assets_trading(self):
# use the day before self.equity_daily_bar_days[0]
day = self.trading_schedule.previous_execution_day(
self.equity_daily_bar_days[0]
)
bar_data = BarData(self.data_portal, lambda: day, "daily")
self.check_internal_consistency(bar_data)
self.assertFalse(bar_data.can_trade(self.ASSET1))
self.assertFalse(bar_data.can_trade(self.ASSET2))
self.assertFalse(bar_data.is_stale(self.ASSET1))
self.assertFalse(bar_data.is_stale(self.ASSET2))
for field in ALL_FIELDS:
for asset in self.ASSETS:
asset_value = bar_data.current(asset, field)
if field in OHLCP:
self.assertTrue(np.isnan(asset_value))
elif field == "volume":
self.assertEqual(0, asset_value)
elif field == "last_traded":
self.assertTrue(asset_value is pd.NaT)
示例13: test_after_assets_dead
# 需要导入模块: from zipline.protocol import BarData [as 别名]
# 或者: from zipline.protocol.BarData import current [as 别名]
def test_after_assets_dead(self):
session = self.END_DATE
bar_data = BarData(self.data_portal, lambda: session, "daily",
self.trading_calendar)
self.check_internal_consistency(bar_data)
for asset in self.ASSETS:
self.assertFalse(bar_data.can_trade(asset))
self.assertFalse(bar_data.is_stale(asset))
for field in OHLCP:
self.assertTrue(np.isnan(bar_data.current(asset, field)))
self.assertEqual(0, bar_data.current(asset, "volume"))
last_traded_dt = bar_data.current(asset, "last_traded")
if asset in (self.ASSET1, self.ASSET2):
self.assertEqual(self.equity_daily_bar_days[3],
last_traded_dt)
示例14: test_fully_active_day
# 需要导入模块: from zipline.protocol import BarData [as 别名]
# 或者: from zipline.protocol.BarData import current [as 别名]
def test_fully_active_day(self):
bar_data = BarData(
self.data_portal,
lambda: self.get_last_minute_of_session(
self.equity_daily_bar_days[1]
),
"daily",
self.trading_calendar
)
self.check_internal_consistency(bar_data)
# on self.equity_daily_bar_days[1], both assets have data
for asset in self.ASSETS:
self.assertTrue(bar_data.can_trade(asset))
self.assertFalse(bar_data.is_stale(asset))
self.assertEqual(4, bar_data.current(asset, "open"))
self.assertEqual(5, bar_data.current(asset, "high"))
self.assertEqual(2, bar_data.current(asset, "low"))
self.assertEqual(3, bar_data.current(asset, "close"))
self.assertEqual(300, bar_data.current(asset, "volume"))
self.assertEqual(3, bar_data.current(asset, "price"))
self.assertEqual(
self.equity_daily_bar_days[1],
bar_data.current(asset, "last_traded")
)
示例15: test_overnight_adjustments
# 需要导入模块: from zipline.protocol import BarData [as 别名]
# 或者: from zipline.protocol.BarData import current [as 别名]
def test_overnight_adjustments(self):
# verify there is a split for SPLIT_ASSET
splits = self.adjustment_reader.get_adjustments_for_sid(
"splits",
self.SPLIT_ASSET.sid
)
self.assertEqual(1, len(splits))
split = splits[0]
self.assertEqual(
split[0],
pd.Timestamp("2016-01-06", tz='UTC')
)
# Current day is 1/06/16
day = self.equity_daily_bar_days[1]
eight_fortyfive_am_eastern = \
pd.Timestamp("{0}-{1}-{2} 8:45".format(
day.year, day.month, day.day),
tz='US/Eastern'
)
bar_data = BarData(self.data_portal,
lambda: eight_fortyfive_am_eastern,
"minute",
self.trading_calendar)
expected = {
'open': 391 / 2.0,
'high': 392 / 2.0,
'low': 389 / 2.0,
'close': 390 / 2.0,
'volume': 39000 * 2.0,
'price': 390 / 2.0,
}
with handle_non_market_minutes(bar_data):
for field in OHLCP + ['volume']:
value = bar_data.current(self.SPLIT_ASSET, field)
# Assert the price is adjusted for the overnight split
self.assertEqual(value, expected[field])