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TEST: Test screen handling in test_handle_split.

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This commit is contained in:
Scott Sanderson
2015-09-29 21:06:37 -04:00
parent 98d2ed9940
commit 01ea88c225
1 changed files with 31 additions and 6 deletions
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tests/modelling/test_modelling_algo.py
+31 -6
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@@ -7,6 +7,8 @@ from os.path import (
join,
realpath,
)
from nose_parameterized import parameterized
from numpy import (
array,
arange,
@@ -462,7 +464,11 @@ class FFCAlgorithmTestCase(TestCase):
return vwaps
def test_handle_adjustment(self):
@parameterized.expand([
(True,),
(False,),
])
def test_handle_adjustment(self, set_screen):
AAPL, MSFT, BRK_A = assets = self.AAPL, self.MSFT, self.BRK_A
window_lengths = [1, 2, 5, 10]
@@ -475,19 +481,38 @@ class FFCAlgorithmTestCase(TestCase):
pipeline = Pipeline('test')
context.vwaps = []
for length in vwaps:
context.vwaps.append(VWAP(window_length=length))
pipeline.add(context.vwaps[-1], name=vwap_key(length))
name = vwap_key(length)
factor = VWAP(window_length=length)
context.vwaps.append(factor)
pipeline.add(factor, name=name)
filter_ = (USEquityPricing.close.latest > 300)
pipeline.add(filter_, 'filter')
if set_screen:
pipeline.set_screen(filter_)
attach_pipeline(pipeline)
def handle_data(context, data):
today = get_datetime()
results = drain_pipeline('test')
for length in vwaps:
for asset in assets:
expect_over_300 = {
AAPL: today < self.AAPL_split_date,
MSFT: False,
BRK_A: True,
}
for asset in assets:
should_pass_filter = expect_over_300[asset]
if set_screen and not should_pass_filter:
self.assertNotIn(asset, results.index)
continue
asset_results = results.loc[asset]
self.assertEqual(asset_results['filter'], should_pass_filter)
for length in vwaps:
computed = results.loc[asset, vwap_key(length)]
expected = vwaps[length][asset].loc[today]
# Only having two places of precision here is a bit
# unfortunate.
assert_almost_equal(computed, expected, decimal=2)