warren618
2772ecb688
- ffill(limit=5) replaces unlimited ffill to prevent stale prices from masking long suspensions; all-NaN symbols auto-dropped with warning - try/except per symbol in _execute_bars so one symbol failure doesn't crash the entire backtest - pydantic BacktestConfigSchema validates config.json before execution (codes non-empty, date format, start<=end, valid interval/engine/source) - validate_date_range() shared helper called from all 5 loaders - 25 regression tests covering all four fixes
60 lines
1.6 KiB
Python
60 lines
1.6 KiB
Python
"""DataLoader Protocol and shared exceptions for all data source loaders."""
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from __future__ import annotations
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from typing import Protocol, runtime_checkable
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import pandas as pd
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class NoAvailableSourceError(Exception):
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"""Raised when no data source is available for a given market."""
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def validate_date_range(start_date: str, end_date: str) -> None:
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"""Validate that start_date <= end_date.
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Args:
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start_date: Start date string (YYYY-MM-DD).
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end_date: End date string (YYYY-MM-DD).
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Raises:
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ValueError: If dates are invalid or start > end.
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"""
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try:
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start = pd.Timestamp(start_date)
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end = pd.Timestamp(end_date)
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except Exception as exc:
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raise ValueError(f"Invalid date format: start={start_date!r}, end={end_date!r}") from exc
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if start > end:
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raise ValueError(f"start_date ({start_date}) > end_date ({end_date})")
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@runtime_checkable
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class DataLoaderProtocol(Protocol):
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"""Interface that every data source loader must satisfy."""
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name: str
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markets: set[str]
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requires_auth: bool
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def is_available(self) -> bool:
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"""Check whether this data source is usable (token present, network ok, etc.)."""
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...
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def fetch(
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self,
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codes: list[str],
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start_date: str,
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end_date: str,
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*,
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interval: str = "1D",
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fields: list[str] | None = None,
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) -> dict[str, pd.DataFrame]:
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"""Fetch OHLCV data.
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Returns:
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Mapping ``{symbol: DataFrame(trade_date, open, high, low, close, volume)}``.
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"""
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...
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