Merge a5693d0 into fb0981e

tests/data/test_resample.py

@@ -518,6 +518,19 @@ class TestResampleSessionBars(WithBcolzFutureMinuteBarReader,
     END_DATE = pd.Timestamp('2016-03-17', tz='UTC')
     NUM_SESSIONS = 2
 
+    @classmethod
+    def make_futures_info(cls):
+        future_dict = {}
+
+        for future_sid in cls.ASSET_FINDER_FUTURE_SIDS:
+            future_dict[future_sid] = {
+                'multiplier': 1000,
+                'exchange': 'CME',
+                'root_symbol': "ABC"
+            }
+
+        return pd.DataFrame.from_dict(future_dict, orient='index')
+
     @classmethod
     def make_future_minute_bar_data(cls):
         for sid in cls.ASSET_FINDER_FUTURE_SIDS:
@@ -582,6 +595,18 @@ def test_first_trading_day(self):
         self.assertEqual(self.START_DATE,
                          self.session_bar_reader.first_trading_day)
 
+    def test_get_last_traded_dt(self):
+        future = self.asset_finder.retrieve_asset(
+            self.ASSET_FINDER_FUTURE_SIDS[0]
+        )
+
+        self.assertEqual(
+            self.trading_calendar.open_and_close_for_session(
+                self.trading_calendar.previous_session_label(self.END_DATE)
+            )[1],
+            self.session_bar_reader.get_last_traded_dt(future, self.END_DATE)
+        )
+
 
 class TestReindexMinuteBars(WithBcolzEquityMinuteBarReader,
                             ZiplineTestCase):

zipline/data/bar_reader.py

@@ -0,0 +1,132 @@
+# Copyright 2016 Quantopian, Inc.
+#
+# Licensed under the Apache License, Version 2.0 (the "License");
+# you may not use this file except in compliance with the License.
+# You may obtain a copy of the License at
+#
+#     http://www.apache.org/licenses/LICENSE-2.0
+#
+# Unless required by applicable law or agreed to in writing, software
+# distributed under the License is distributed on an "AS IS" BASIS,
+# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+# See the License for the specific language governing permissions and
+# limitations under the License.
+from abc import ABCMeta, abstractmethod, abstractproperty
+from six import with_metaclass
+
+
+class NoDataOnDate(Exception):
+    """
+    Raised when a spot price can be found for the sid and date.
+    """
+    pass
+
+
+class NoDataBeforeDate(Exception):
+    pass
+
+
+class NoDataAfterDate(Exception):
+    pass
+
+
+class BarReader(with_metaclass(ABCMeta, object)):
+    @abstractproperty
+    def data_frequency(self):
+        pass
+
+    @abstractmethod
+    def load_raw_arrays(self, columns, start_date, end_date, assets):
+        """
+        Parameters
+        ----------
+        fields : list of str
+           'open', 'high', 'low', 'close', or 'volume'
+        start_dt: Timestamp
+           Beginning of the window range.
+        end_dt: Timestamp
+           End of the window range.
+        sids : list of int
+           The asset identifiers in the window.
+
+        Returns
+        -------
+        list of np.ndarray
+            A list with an entry per field of ndarrays with shape
+            (minutes in range, sids) with a dtype of float64, containing the
+            values for the respective field over start and end dt range.
+        """
+        pass
+
+    @abstractproperty
+    def last_available_dt(self):
+        """
+        Returns
+        -------
+        dt : pd.Timestamp
+            The last session for which the reader can provide data.
+        """
+        pass
+
+    @abstractproperty
+    def trading_calendar(self):
+        """
+        Returns the zipline.utils.calendar.trading_calendar used to read
+        the data.  Can be None (if the writer didn't specify it).
+        """
+        pass
+
+    @abstractproperty
+    def first_trading_day(self):
+        """
+        Returns
+        -------
+        dt : pd.Timestamp
+            The first trading day (session) for which the reader can provide
+            data.
+        """
+        pass
+
+    @abstractmethod
+    def get_value(self, sid, dt, field):
+        """
+        Retrieve the value at the given coordinates.
+
+        Parameters
+        ----------
+        sid : int
+            The asset identifier.
+        dt : pd.Timestamp
+            The timestamp for the desired data point.
+        field : string
+            The OHLVC name for the desired data point.
+
+        Returns
+        -------
+        value : float|int
+            The value at the given coordinates, ``float`` for OHLC, ``int``
+            for 'volume'.
+        """
+        pass
+
+    @abstractmethod
+    def get_last_traded_dt(self, asset, dt):
+        """
+        Get the latest minute on or before ``dt`` in which ``asset`` traded.
+
+        If there are no trades on or before ``dt``, returns ``pd.NaT``.
+
+        Parameters
+        ----------
+        asset : zipline.asset.Asset
+            The asset for which to get the last traded minute.
+        dt : pd.Timestamp
+            The minute at which to start searching for the last traded minute.
+
+        Returns
+        -------
+        last_traded : pd.Timestamp
+            The dt of the last trade for the given asset, using the input
+            dt as a vantage point.
+        """
+        pass

zipline/data/minute_bars.py

@@ -11,7 +11,6 @@
 # WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
 # See the License for the specific language governing permissions and
 # limitations under the License.
-from abc import ABCMeta, abstractmethod, abstractproperty
 import json
 import os
 from os.path import join
@@ -23,7 +22,6 @@
 from intervaltree import IntervalTree
 import numpy as np
 import pandas as pd
-from six import with_metaclass
 from toolz import keymap, valmap
 
 from zipline.data._minute_bar_internal import (
@@ -33,6 +31,8 @@
 )
 
 from zipline.gens.sim_engine import NANOS_IN_MINUTE
+
+from zipline.data.bar_reader import BarReader
 from zipline.utils.calendars import get_calendar
 from zipline.utils.cli import maybe_show_progress
 from zipline.utils.memoize import lazyval
@@ -53,106 +53,10 @@ class BcolzMinuteWriterColumnMismatch(Exception):
     pass
 
 
-class MinuteBarReader(with_metaclass(ABCMeta)):
-
-    _data_frequency = 'minute'
-
+class MinuteBarReader(BarReader):
     @property
     def data_frequency(self):
-        return self._data_frequency
-
-    @abstractproperty
-    def last_available_dt(self):
-        """
-        Returns
-        -------
-        dt : pd.Timestamp
-            The last minute for which the reader can provide data.
-        """
-        pass
-
-    @abstractproperty
-    def first_trading_day(self):
-        """
-        Returns
-        -------
-        dt : pd.Timestamp
-            The first trading day (session) for which the reader can provide
-            data.
-        """
-        pass
-
-    @abstractmethod
-    def get_value(self, sid, dt, field):
-        """
-        Retrieve the value at the given coordinates.
-
-        Parameters
-        ----------
-        sid : int
-            The asset identifier.
-        dt : pd.Timestamp
-            The minute label for the desired data point.
-        field : string
-            The OHLVC name for the desired data point.
-
-        Returns
-        -------
-        value : float|int
-            The value at the given coordinates, ``float`` for OHLC, ``int``
-            for 'volume'.
-        """
-        pass
-
-    @abstractmethod
-    def get_last_traded_dt(self, asset, dt):
-        """
-        Get the latest minute on or before ``dt`` in which ``asset`` traded.
-
-        If there are no trades on or before ``dt`` returns ``pd.NaT``
-
-        Parameters
-        ----------
-        asset : zipline.asset.Asset
-            The asset for which to get the last traded minute.
-        dt : pd.Timestamp
-            The minute at which to start searching for the last traded minute.
-
-        Returns
-        -------
-        last_traded : pd.Timestamp
-            The minute of the last trade for the given asset, using the input
-            dt as a vantage point.
-        """
-        pass
-
-    @abstractmethod
-    def load_raw_arrays(self, fields, start_dt, end_dt, sids):
-        """
-        Retrieve the arrays of pricing data for the given coordinates of
-        ``fields`` (OHLCV), minute range [``start_dt``, ``end_dt``] and sids.
-
-        Parameters
-        ----------
-        fields : iterable of str
-            The OHLCV fields ('open', 'high', 'low', 'close', 'volume') for
-            which to read data.
-        start_dt : pd.Timestamp
-            The first minute of the date range for which to read data.
-        end_dt : pd.Timestamp
-            The last minute of the date range for which to read data.
-        sids : iterable of int
-            The sid identifiers for which to retrieve data.
-
-        Returns
-        -------
-        raw_arrays : list of ndarray
-            A list where each item corresponds with the fields in the order
-            the fields are given.
-            Each item is a 2D array with a shape of (minutes_in_range, sids)
-            The OHLC arrays are floats; the 'volume' array is ints.
-        """
-        pass
+        return "minute"
 
 
 def _calc_minute_index(market_opens, minutes_per_day):

zipline/data/resample.py

@@ -525,6 +525,9 @@ def last_available_dt(self):
     def first_trading_day(self):
         return self._minute_bar_reader.first_trading_day
 
+    def get_last_traded_dt(self, asset, dt):
+        return self._minute_bar_reader.get_last_traded_dt(asset, dt)
+
 
 class ReindexBarReader(with_metaclass(ABCMeta)):
     """