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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 logbook import Logger |
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log = Logger('DataPortal') |
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BASE_FIELDS = { |
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'open': 'open', |
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'open_price': 'open', |
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'high': 'high', |
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'low': 'low', |
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'close': 'close', |
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'close_price': 'close', |
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'volume': 'volume', |
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'price': 'close' |
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} |
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class DataPortal(object): |
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def __init__(self, |
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env, |
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sim_params=None, |
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equity_daily_reader=None, |
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equity_minute_reader=None, |
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future_daily_reader=None, |
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future_minute_reader=None, |
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adjustment_reader=None): |
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self._adjustment_reader = adjustment_reader |
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self._equity_daily_reader = equity_daily_reader |
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self._equity_minute_reader = equity_minute_reader |
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self._future_daily_reader = future_daily_reader |
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self._future_minute_reader = future_minute_reader |
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def get_previous_value(self, asset, field, dt, data_frequency): |
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""" |
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Given an asset and a column and a dt, returns the previous value for |
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the same asset/column pair. If this data portal is in minute mode, |
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it's the previous minute value, otherwise it's the previous day's |
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value. |
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Parameters |
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--------- |
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asset : Asset |
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The asset whose data is desired. |
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field: string |
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The desired field of the asset. Valid values are "open", |
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"open_price", "high", "low", "close", "close_price", "volume", and |
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"price". |
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dt: pd.Timestamp |
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The timestamp from which to go back in time one slot. |
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data_frequency: string |
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The frequency of the data to query; i.e. whether the data is |
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'daily' or 'minute' bars |
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Returns |
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------- |
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The value of the desired field at the desired time. |
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""" |
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NotImplementedError |
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def get_spot_value(self, asset, field, dt, data_frequency): |
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""" |
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Public API method that returns a scalar value representing the value |
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of the desired asset's field at either the given dt. |
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Parameters |
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--------- |
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asset : Asset |
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The asset whose data is desired.gith |
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field: string |
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The desired field of the asset. Valid values are "open", |
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"open_price", "high", "low", "close", "close_price", "volume", and |
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"price". |
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dt: pd.Timestamp |
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The timestamp for the desired value. |
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data_frequency: string |
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The frequency of the data to query; i.e. whether the data is |
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'daily' or 'minute' bars |
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Returns |
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------- |
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The value of the desired field at the desired time. |
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""" |
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NotImplementedError |
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def get_history_window(self, assets, end_dt, bar_count, frequency, field, |
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ffill=True): |
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""" |
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Public API method that returns a dataframe containing the requested |
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history window. Data is fully adjusted. |
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Parameters |
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--------- |
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assets : list of zipline.data.Asset objects |
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The assets whose data is desired. |
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bar_count: int |
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The number of bars desired. |
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frequency: string |
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"1d" or "1m" |
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field: string |
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The desired field of the asset. |
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ffill: boolean |
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Forward-fill missing values. Only has effect if field |
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is 'price'. |
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Returns |
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------- |
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A dataframe containing the requested data. |
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""" |
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NotImplementedError |
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def get_splits(self, sids, dt): |
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""" |
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Returns any splits for the given sids and the given dt. |
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Parameters |
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---------- |
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sids : list |
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Sids for which we want splits. |
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dt: pd.Timestamp |
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The date for which we are checking for splits. Note: this is |
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expected to be midnight UTC. |
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Returns |
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------- |
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list: List of splits, where each split is a (sid, ratio) tuple. |
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""" |
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NotImplementedError |
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def get_stock_dividends(self, sid, trading_days): |
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""" |
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Returns all the stock dividends for a specific sid that occur |
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in the given trading range. |
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Parameters |
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---------- |
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sid: int |
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The asset whose stock dividends should be returned. |
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trading_days: pd.DatetimeIndex |
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The trading range. |
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Returns |
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------- |
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list: A list of objects with all relevant attributes populated. |
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All timestamp fields are converted to pd.Timestamps. |
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""" |
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NotImplementedError |
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def get_fetcher_assets(self, day): |
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""" |
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Returns a list of assets for the current date, as defined by the |
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fetcher data. |
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Notes |
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----- |
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Data is forward-filled. If there is no fetcher data defined for day |
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N, we use day N-1's data (if available, otherwise we keep going back). |
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Returns |
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------- |
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list: a list of Asset objects. |
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""" |
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NotImplementedError |
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quantopian /
zipline
