Generated by Cython 0.29.24
Yellow lines hint at Python interaction.
Click on a line that starts with a "+
" to see the C code that Cython generated for it.
Raw output: _protocol.c
+001: #
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002: # Copyright 2016 Quantopian, Inc.
003: #
004: # Licensed under the Apache License, Version 2.0 (the "License");
005: # you may not use this file except in compliance with the License.
006: # You may obtain a copy of the License at
007: #
008: # http://www.apache.org/licenses/LICENSE-2.0
009: #
010: # Unless required by applicable law or agreed to in writing, software
011: # distributed under the License is distributed on an "AS IS" BASIS,
012: # WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
013: # See the License for the specific language governing permissions and
014: # limitations under the License.
+015: import warnings
__pyx_t_1 = __Pyx_Import(__pyx_n_s_warnings, 0, 0); if (unlikely(!__pyx_t_1)) __PYX_ERR(0, 15, __pyx_L1_error) __Pyx_GOTREF(__pyx_t_1); if (PyDict_SetItem(__pyx_d, __pyx_n_s_warnings, __pyx_t_1) < 0) __PYX_ERR(0, 15, __pyx_L1_error) __Pyx_DECREF(__pyx_t_1); __pyx_t_1 = 0;
+016: from contextlib import contextmanager
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+017: from functools import wraps
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+018: import pandas as pd
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+019: import numpy as np
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020:
021: from cpython cimport bool
+022: from collections.abc import Iterable
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023:
+024: from zipline.assets import (
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+025: PricingDataAssociable,
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026: )
027: from zipline.assets._assets cimport Asset
+028: from zipline.assets.continuous_futures import ContinuousFuture
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+029: from zipline.zipline_warnings import ZiplineDeprecationWarning
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030:
+031: cdef bool _is_iterable(obj):
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033:
+034: cdef class check_parameters:
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035: """
036: Asserts that the keywords passed into the wrapped function are included
037: in those passed into this decorator. If not, raise a TypeError with a
038: meaningful message, unlike the one Cython returns by default.
039:
040: Also asserts that the arguments passed into the wrapped function are
041: consistent with the types passed into this decorator. If not, raise a
042: TypeError with a meaningful message.
043: """
044: cdef tuple keyword_names
045: cdef tuple types
046: cdef dict keys_to_types
047:
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__pyx_t_1 = PyTuple_New(5); if (unlikely(!__pyx_t_1)) __PYX_ERR(0, 79, __pyx_L1_error) __Pyx_GOTREF(__pyx_t_1); __pyx_t_2 = 0; __pyx_t_10 = 127; __Pyx_INCREF(__pyx_kp_u_Expected); __pyx_t_2 += 9; __Pyx_GIVEREF(__pyx_kp_u_Expected); PyTuple_SET_ITEM(__pyx_t_1, 0, __pyx_kp_u_Expected); /* … */ __pyx_t_11 = __Pyx_PyUnicode_Join(__pyx_t_1, 5, __pyx_t_2, __pyx_t_10); if (unlikely(!__pyx_t_11)) __PYX_ERR(0, 79, __pyx_L1_error) __Pyx_GOTREF(__pyx_t_11); __Pyx_DECREF(__pyx_t_1); __pyx_t_1 = 0; __pyx_t_1 = __Pyx_PyObject_CallOneArg(__pyx_builtin_TypeError, __pyx_t_11); if (unlikely(!__pyx_t_1)) __PYX_ERR(0, 79, __pyx_L1_error) __Pyx_GOTREF(__pyx_t_1); __Pyx_DECREF(__pyx_t_11); __pyx_t_11 = 0; __Pyx_Raise(__pyx_t_1, 0, 0, 0); __Pyx_DECREF(__pyx_t_1); __pyx_t_1 = 0; __PYX_ERR(0, 79, __pyx_L1_error)
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__pyx_t_11 = __Pyx_PyObject_FormatSimpleAndDecref(PyObject_Unicode(__pyx_v_expected_type_name), __pyx_empty_unicode); if (unlikely(!__pyx_t_11)) __PYX_ERR(0, 82, __pyx_L1_error) __Pyx_GOTREF(__pyx_t_11); __pyx_t_10 = (__Pyx_PyUnicode_MAX_CHAR_VALUE(__pyx_t_11) > __pyx_t_10) ? __Pyx_PyUnicode_MAX_CHAR_VALUE(__pyx_t_11) : __pyx_t_10; __pyx_t_2 += __Pyx_PyUnicode_GET_LENGTH(__pyx_t_11); __Pyx_GIVEREF(__pyx_t_11); PyTuple_SET_ITEM(__pyx_t_1, 4, __pyx_t_11); __pyx_t_11 = 0;
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115:
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struct __pyx_obj_7zipline_9_protocol_BarData { PyObject_HEAD struct __pyx_vtabstruct_7zipline_9_protocol_BarData *__pyx_vtab; PyObject *data_portal; PyObject *simulation_dt_func; PyObject *data_frequency; PyObject *restrictions; PyObject *_views; PyBoolObject *_daily_mode; PyObject *_trading_calendar; PyObject *_is_restricted; PyBoolObject *_adjust_minutes; }; /* … */ struct __pyx_vtabstruct_7zipline_9_protocol_BarData { PyObject *(*_get_current_minute)(struct __pyx_obj_7zipline_9_protocol_BarData *); PyBoolObject *(*_can_trade_for_asset)(struct __pyx_obj_7zipline_9_protocol_BarData *, PyObject *, PyObject *, PyObject *, PyObject *); PyBoolObject *(*_is_stale_for_asset)(struct __pyx_obj_7zipline_9_protocol_BarData *, PyObject *, PyObject *, PyObject *, PyObject *); }; static struct __pyx_vtabstruct_7zipline_9_protocol_BarData *__pyx_vtabptr_7zipline_9_protocol_BarData;
117: """Provides methods for accessing minutely and daily price/volume data from
118: Algorithm API functions.
119:
120: Also provides utility methods to determine if an asset is alive, and if it
121: has recent trade data.
122:
123: An instance of this object is passed as ``data`` to
124: :func:`~zipline.api.handle_data` and
125: :func:`~zipline.api.before_trading_start`.
126:
127: Parameters
128: ----------
129: data_portal : DataPortal
130: Provider for bar pricing data.
131: simulation_dt_func : callable
132: Function which returns the current simulation time.
133: This is usually bound to a method of TradingSimulation.
134: data_frequency : {'minute', 'daily'}
135: The frequency of the bar data; i.e. whether the data is
136: daily or minute bars
137: restrictions : zipline.finance.asset_restrictions.Restrictions
138: Object that combines and returns restricted list information from
139: multiple sources
140: """
141: cdef object data_portal
142: cdef object simulation_dt_func
143: cdef object data_frequency
144: cdef object restrictions
145: cdef dict _views
146: cdef bool _daily_mode
147: cdef object _trading_calendar
148: cdef object _is_restricted
149:
150: cdef bool _adjust_minutes
151:
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153: trading_calendar, restrictions):
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167: """Internal utility method to get the current simulation time.
168:
169: Possible answers are:
170: - whatever the algorithm's get_datetime() method returns (this is what
171: `self.simulation_dt_func()` points to)
172: - sometimes we're knowingly not in a market minute, like if we're in
173: before_trading_start. In that case, `self._adjust_minutes` is
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175: - if we're in daily mode, get the session label for this minute.
176: """
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183: # if we're in daily mode, take the given dt (which is the last
184: # minute of the session) and get the session label for it.
+185: dt = self.data_portal.trading_calendar.minute_to_session(dt)
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Valid field names are: \"price\",\n \"last_traded\", \"open\", \"high\", \"low\", \"close\", and \"volume\".\n\n Returns\n -------\n current_value : Scalar, pandas Series, or pandas DataFrame.\n See notes below.\n\n Notes\n -----\n The return type of this function depends on the types of its inputs:\n\n - If a single asset and a single field are requested, the returned\n value is a scalar (either a float or a ``pd.Timestamp`` depending on\n the field).\n\n - If a single asset and a list of fields are requested, the returned\n value is a :class:`pd.Series` whose indices are the requested fields.\n\n - If a list of assets and a single field are requested, the returned\n value is a :class:`pd.Series` whose indices are the assets.\n\n - If a list of assets and a list of fields are requested, the returned\n value is a :class:`pd.DataFrame`. 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192: """Returns the "current" value of the given fields for the given assets
193: at the current simulation time.
194:
195: Parameters
196: ----------
197: assets : zipline.assets.Asset or iterable of zipline.assets.Asset
198: The asset(s) for which data is requested.
199: fields : str or iterable[str].
200: Requested data field(s). Valid field names are: "price",
201: "last_traded", "open", "high", "low", "close", and "volume".
202:
203: Returns
204: -------
205: current_value : Scalar, pandas Series, or pandas DataFrame.
206: See notes below.
207:
208: Notes
209: -----
210: The return type of this function depends on the types of its inputs:
211:
212: - If a single asset and a single field are requested, the returned
213: value is a scalar (either a float or a ``pd.Timestamp`` depending on
214: the field).
215:
216: - If a single asset and a list of fields are requested, the returned
217: value is a :class:`pd.Series` whose indices are the requested fields.
218:
219: - If a list of assets and a single field are requested, the returned
220: value is a :class:`pd.Series` whose indices are the assets.
221:
222: - If a list of assets and a list of fields are requested, the returned
223: value is a :class:`pd.DataFrame`. The columns of the returned frame
224: will be the requested fields, and the index of the frame will be the
225: requested assets.
226:
227: The values produced for ``fields`` are as follows:
228:
229: - Requesting "price" produces the last known close price for the asset,
230: forward-filled from an earlier minute if there is no trade this
231: minute. If there is no last known value (either because the asset
232: has never traded, or because it has delisted) NaN is returned. If a
233: value is found, and we had to cross an adjustment boundary (split,
234: dividend, etc) to get it, the value is adjusted to the current
235: simulation time before being returned.
236:
237: - Requesting "open", "high", "low", or "close" produces the open, high,
238: low, or close for the current minute. If no trades occurred this
239: minute, ``NaN`` is returned.
240:
241: - Requesting "volume" produces the trade volume for the current
242: minute. If no trades occurred this minute, 0 is returned.
243:
244: - Requesting "last_traded" produces the datetime of the last minute in
245: which the asset traded, even if the asset has stopped trading. If
246: there is no last known value, ``pd.NaT`` is returned.
247:
248: If the current simulation time is not a valid market time for an asset,
249: we use the most recent market close instead.
250: """
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253:
254: # There's some overly verbose code in here, particularly around
255: # 'do something if self._adjust_minutes is False, otherwise do
256: # something else'. This could be less verbose, but the 99% case is that
257: # `self._adjust_minutes` is False, so it's important to keep that code
258: # path as fast as possible.
259:
260: # There's probably a way to make this method (and `history`) less
261: # verbose, but this is OK for now.
262:
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268:
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272: asset,
273: field,
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276: )
277: else:
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279: asset,
280: field,
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284: )
285: else:
286: # assume fields is iterable
287: # return a Series indexed by field
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if (likely(PyList_CheckExact(__pyx_v_assets)) || PyTuple_CheckExact(__pyx_v_assets)) { __pyx_t_5 = __pyx_v_assets; __Pyx_INCREF(__pyx_t_5); __pyx_t_10 = 0; __pyx_t_11 = NULL; } else { __pyx_t_10 = -1; __pyx_t_5 = PyObject_GetIter(__pyx_v_assets); if (unlikely(!__pyx_t_5)) __PYX_ERR(0, 334, __pyx_L29_error) __Pyx_GOTREF(__pyx_t_5); __pyx_t_11 = Py_TYPE(__pyx_t_5)->tp_iternext; if (unlikely(!__pyx_t_11)) __PYX_ERR(0, 334, __pyx_L29_error) } for (;;) { if (likely(!__pyx_t_11)) { if (likely(PyList_CheckExact(__pyx_t_5))) { if (__pyx_t_10 >= PyList_GET_SIZE(__pyx_t_5)) break; #if CYTHON_ASSUME_SAFE_MACROS && !CYTHON_AVOID_BORROWED_REFS __pyx_t_8 = PyList_GET_ITEM(__pyx_t_5, __pyx_t_10); __Pyx_INCREF(__pyx_t_8); __pyx_t_10++; if (unlikely(0 < 0)) __PYX_ERR(0, 334, __pyx_L29_error) #else __pyx_t_8 = PySequence_ITEM(__pyx_t_5, __pyx_t_10); __pyx_t_10++; if (unlikely(!__pyx_t_8)) __PYX_ERR(0, 334, __pyx_L29_error) __Pyx_GOTREF(__pyx_t_8); #endif } else { if (__pyx_t_10 >= PyTuple_GET_SIZE(__pyx_t_5)) break; #if CYTHON_ASSUME_SAFE_MACROS && !CYTHON_AVOID_BORROWED_REFS __pyx_t_8 = PyTuple_GET_ITEM(__pyx_t_5, __pyx_t_10); __Pyx_INCREF(__pyx_t_8); __pyx_t_10++; if (unlikely(0 < 0)) __PYX_ERR(0, 334, __pyx_L29_error) #else __pyx_t_8 = PySequence_ITEM(__pyx_t_5, __pyx_t_10); __pyx_t_10++; if (unlikely(!__pyx_t_8)) __PYX_ERR(0, 334, __pyx_L29_error) __Pyx_GOTREF(__pyx_t_8); #endif } } else { __pyx_t_8 = __pyx_t_11(__pyx_t_5); if (unlikely(!__pyx_t_8)) { PyObject* exc_type = PyErr_Occurred(); if (exc_type) { if (likely(__Pyx_PyErr_GivenExceptionMatches(exc_type, PyExc_StopIteration))) PyErr_Clear(); else __PYX_ERR(0, 334, __pyx_L29_error) } break; } __Pyx_GOTREF(__pyx_t_8); } __Pyx_XDECREF_SET(__pyx_8genexpr5__pyx_v_asset, __pyx_t_8); __pyx_t_8 = 0; /* … */ } __Pyx_DECREF(__pyx_t_5); __pyx_t_5 = 0; __Pyx_XDECREF(__pyx_8genexpr5__pyx_v_asset); __pyx_8genexpr5__pyx_v_asset = 0; goto __pyx_L32_exit_scope; __pyx_L29_error:; __Pyx_XDECREF(__pyx_8genexpr5__pyx_v_asset); __pyx_8genexpr5__pyx_v_asset = 0; goto __pyx_L1_error; __pyx_L32_exit_scope:; } /* exit inner scope */ if (PyDict_SetItem(__pyx_t_1, __pyx_n_s_data, __pyx_t_9) < 0) __PYX_ERR(0, 326, __pyx_L1_error) __Pyx_DECREF(__pyx_t_9); __pyx_t_9 = 0;
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378: """For the given asset or iterable of assets, returns True if all of the
379: following are true:
380:
381: 1. The asset is alive for the session of the current simulation time
382: (if current simulation time is not a market minute, we use the next
383: session).
384: 2. The asset's exchange is open at the current simulation time or at
385: the simulation calendar's next market minute.
386: 3. There is a known last price for the asset.
387:
388: Parameters
389: ----------
390: assets: zipline.assets.Asset or iterable of zipline.assets.Asset
391: Asset(s) for which tradability should be determined.
392:
393: Notes
394: -----
395: The second condition above warrants some further explanation:
396:
397: - If the asset's exchange calendar is identical to the simulation
398: calendar, then this condition always returns True.
399: - If there are market minutes in the simulation calendar outside of
400: this asset's exchange's trading hours (for example, if the simulation
401: is running on the CMES calendar but the asset is MSFT, which trades
402: on the NYSE), during those minutes, this condition will return False
403: (for example, 3:15 am Eastern on a weekday, during which the CMES is
404: open but the NYSE is closed).
405:
406: Returns
407: -------
408: can_trade : bool or pd.Series[bool]
409: Bool or series of bools indicating whether the requested asset(s)
410: can be traded in the current minute.
411: """
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435: cdef object session_label
436: cdef object dt_to_use_for_exchange_check,
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440:
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444: # asset isn't alive
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451: # Find the next market minute for this calendar, and check if this
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__pyx_v_dt_to_use_for_exchange_check = __pyx_v_dt;
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460:
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470: """For the given asset or iterable of assets, returns True if the asset
471: is alive and there is no trade data for the current simulation time.
472:
473: If the asset has never traded, returns False.
474:
475: If the current simulation time is not a valid market time, we use the
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477: market minute/day for the trade data check.
478:
479: Parameters
480: ----------
481: assets: zipline.assets.Asset or iterable of zipline.assets.Asset
482: Asset(s) for which staleness should be determined.
483:
484: Returns
485: -------
486: is_stale : bool or pd.Series[bool]
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538: """Returns a trailing window of length ``bar_count`` with data for
539: the given assets, fields, and frequency, adjusted for splits, dividends,
540: and mergers as of the current simulation time.
541:
542: The semantics for missing data are identical to the ones described in
543: the notes for :meth:`current`.
544:
545: Parameters
546: ----------
547: assets: zipline.assets.Asset or iterable of zipline.assets.Asset
548: The asset(s) for which data is requested.
549: fields: string or iterable of string.
550: Requested data field(s). Valid field names are: "price",
551: "last_traded", "open", "high", "low", "close", and "volume".
552: bar_count: int
553: Number of data observations requested.
554: frequency: str
555: String indicating whether to load daily or minutely data
556: observations. Pass '1m' for minutely data, '1d' for daily data.
557:
558: Returns
559: -------
560: history : pd.Series or pd.DataFrame or pd.Panel
561: See notes below.
562:
563: Notes
564: -----
565: The return type of this function depends on the types of ``assets`` and
566: ``fields``:
567:
568: - If a single asset and a single field are requested, the returned
569: value is a :class:`pd.Series` of length ``bar_count`` whose index is
570: :class:`pd.DatetimeIndex`.
571:
572: - If a single asset and multiple fields are requested, the returned
573: value is a :class:`pd.DataFrame` with shape
574: ``(bar_count, len(fields))``. The frame's index will be a
575: :class:`pd.DatetimeIndex`, and its columns will be ``fields``.
576:
577: - If multiple assets and a single field are requested, the returned
578: value is a :class:`pd.DataFrame` with shape
579: ``(bar_count, len(assets))``. The frame's index will be a
580: :class:`pd.DatetimeIndex`, and its columns will be ``assets``.
581:
582: - If multiple assets and multiple fields are requested, the returned
583: value is a :class:`pd.DataFrame` with a pd.MultiIndex containing pairs of
584: :class:`pd.DatetimeIndex`, and ``assets``, while the columns while contain the field(s).
585: It has shape``(bar_count * len(assets), len(fields))``. The names of the pd.MultiIndex are
586: - ``date`` if frequency == '1d'`` or ``date_time`` if frequency == '1m``, and
587: - ``asset``
588:
589: If the current simulation time is not a valid market time, we use the last market close instead.
590: """
591:
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602: asset_list,
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608: )
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612: asset_list,
613: fields,
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616: )
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