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PERF: Speed up test_events.

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Use arrays in more places, and use permutations of indexers instead of
permutations of the values.

MAINT: add testing of boundary conditions

MAINT: use check_arrays to work with both pandas versions
This commit is contained in:
Scott Sanderson
2016-06-22 16:53:56 -04:00
committed by Maya Tydykov
parent 321e6f719f
commit 07b84f87fb
1 changed files with 45 additions and 22 deletions
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tests/pipeline/test_events.py
+45 -22
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@@ -9,7 +9,6 @@ import blaze as bz
from nose_parameterized import parameterized
import numpy as np
import pandas as pd
from pandas.util.testing import assert_series_equal
from zipline.pipeline import Pipeline, SimplePipelineEngine
from zipline.pipeline.common import (
@@ -21,10 +20,11 @@ from zipline.pipeline.data import DataSet, Column
from zipline.pipeline.loaders.events import EventsLoader
from zipline.pipeline.loaders.blaze.events import BlazeEventsLoader
from zipline.pipeline.loaders.utils import (
previous_event_indexer,
next_event_indexer,
normalize_timestamp_to_query_time)
from zipline.testing import ZiplineTestCase
normalize_timestamp_to_query_time,
previous_event_indexer,
)
from zipline.testing import check_arrays, ZiplineTestCase
from zipline.testing.fixtures import (
WithAssetFinder,
WithNYSETradingDays,
@@ -463,44 +463,67 @@ class BlazeEventsLoaderTestCase(EventsLoaderTestCase):
class EventLoaderUtilsTestCase(ZiplineTestCase):
dates = [pd.Timestamp('2013-01-04 3:00:00'),
pd.Timestamp('2013-01-24'),
pd.Timestamp('2013-01-31 20:00:00'),
pd.Timestamp('2013-04-04'),
pd.Timestamp('2013-04-21')]
combos = list(itertools.permutations(dates))
# These cases test the following:
# 1. Shuffling timestamps in DST/EST produces the correct normalized
# timestamps
# 2. Timestamps at query time boundaries are normalized correctly
boundary_dates = [pd.Timestamp('2013-01-04 8:44:59'),
pd.Timestamp('2013-01-04 8:45:00'),
pd.Timestamp('2013-01-04 8:46:00')]
us_boundary_dates = [date.tz_localize('US/Eastern') for date in
boundary_dates]
moscow_boundary_dates = [date.tz_localize('Europe/Moscow') for date in
boundary_dates]
mixed_tz_dates = [pd.Timestamp('2013-01-24'),
pd.Timestamp('2013-01-31 20:00:00'),
pd.Timestamp('2013-04-04'),
pd.Timestamp('2013-04-21')]
us_dates = pd.to_datetime(us_boundary_dates + mixed_tz_dates,
utc=True).tz_localize(None)
moscow_dates = pd.to_datetime(moscow_boundary_dates + mixed_tz_dates,
utc=True).tz_localize(None)
combos = list(map(np.array, itertools.permutations(np.arange(len(
boundary_dates + mixed_tz_dates)))))
expected_us = pd.Series(
[pd.Timestamp('2013-01-04'),
pd.Timestamp('2013-01-05'),
pd.Timestamp('2013-01-05'),
pd.Timestamp('2013-01-24'),
pd.Timestamp('2013-02-01'),
pd.Timestamp('2013-04-04'),
pd.Timestamp('2013-04-21')]
)
).values
# Russia's TZ offset is +3
# Russia's TZ offset is +4
expected_russia = pd.Series(
[pd.Timestamp('2013-01-04'),
pd.Timestamp('2013-01-05'),
pd.Timestamp('2013-01-05'),
pd.Timestamp('2013-01-24'),
pd.Timestamp('2013-01-31'),
pd.Timestamp('2013-04-04'),
pd.Timestamp('2013-04-21')]
)
).values
# Test with timezones on either side of the meridian
@parameterized.expand([(expected_us, 'US/Eastern', time(8, 45)),
(expected_russia, 'Europe/Moscow', time(16, 45))])
def test_normalize_to_query_time(self, expected, tz, query_time):
@parameterized.expand([(expected_us, 'US/Eastern', us_dates),
(expected_russia, 'Europe/Moscow', moscow_dates)])
def test_normalize_to_query_time(self, expected, tz, dates):
# Order matters in pandas 0.18.2. Prior to that, using tz_convert on
# a DatetimeIndex with DST/EST timestamps mixed resulted in some of
# them being an hour off (1 hour past midnight).
for combo in self.combos:
df = pd.DataFrame({"timestamp": combo})
for scrambler in self.combos:
df = pd.DataFrame({"timestamp": dates[scrambler]})
result = normalize_timestamp_to_query_time(df,
query_time,
time(8, 45),
tz,
inplace=False,
ts_field='timestamp')
result = result.sort("timestamp").reset_index(drop=True)
assert_series_equal(result['timestamp'], expected,
check_names=False)
timestamps = result['timestamp'].values
check_arrays(
timestamps,
expected[scrambler]
)