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# Copyright 2015 Quantopian, Inc. |
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# |
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# Licensed under the Apache License, Version 2.0 (the "License"); |
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# you may not use this file except in compliance with the License. |
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# You may obtain a copy of the License at |
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# |
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# http://www.apache.org/licenses/LICENSE-2.0 |
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# |
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# Unless required by applicable law or agreed to in writing, software |
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# distributed under the License is distributed on an "AS IS" BASIS, |
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# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. |
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# See the License for the specific language governing permissions and |
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# limitations under the License. |
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from numpy import ( |
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float64, |
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uint32 |
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) |
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from bcolz import ctable |
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from zipline.data.us_equity_pricing import ( |
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BcolzDailyBarWriter, |
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OHLC, |
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UINT32_MAX |
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) |
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class DailyBarWriterFromDataFrames(BcolzDailyBarWriter): |
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_csv_dtypes = { |
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'open': float64, |
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'high': float64, |
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'low': float64, |
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'close': float64, |
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'volume': float64, |
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} |
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def __init__(self, asset_map): |
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self._asset_map = asset_map |
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def gen_tables(self, assets): |
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for asset in assets: |
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yield asset, ctable.fromdataframe(assets[asset]) |
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def to_uint32(self, array, colname): |
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arrmax = array.max() |
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if colname in OHLC: |
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self.check_uint_safe(arrmax * 1000, colname) |
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return (array * 1000).astype(uint32) |
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elif colname == 'volume': |
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self.check_uint_safe(arrmax, colname) |
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return array.astype(uint32) |
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elif colname == 'day': |
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nanos_per_second = (1000 * 1000 * 1000) |
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self.check_uint_safe(arrmax.view(int) / nanos_per_second, colname) |
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return (array.view(int) / nanos_per_second).astype(uint32) |
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@staticmethod |
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def check_uint_safe(value, colname): |
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if value >= UINT32_MAX: |
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raise ValueError( |
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"Value %s from column '%s' is too large" % (value, colname) |
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) |
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quantopian /
zipline
Duplicated code is one of the most pungent code smells. If you need to duplicate the same code in three or more different places, we strongly encourage you to look into extracting the code into a single class or operation.
You can also find more detailed suggestions in the “Code” section of your repository.