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Merge pull request #1553 from quantopian/change-start-date-of-cf-tests

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TST: Make test dates aligned with test data.
This commit is contained in:
Eddie Hebert
2016-10-25 11:16:07 -04:00
committed by GitHub
parent fe90cd3177 3c7df3e997
commit 0c81ee4af6
1 changed files with 22 additions and 22 deletions
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tests/test_continuous_futures.py
+22 -22
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@@ -46,8 +46,8 @@ class ContinuousFuturesTestCase(WithCreateBarData,
START_DATE = pd.Timestamp('2015-01-05', tz='UTC')
END_DATE = pd.Timestamp('2016-10-19', tz='UTC')
SIM_PARAMS_START = pd.Timestamp('2016-01-25', tz='UTC')
SIM_PARAMS_END = pd.Timestamp('2016-01-27', tz='UTC')
SIM_PARAMS_START = pd.Timestamp('2016-01-26', tz='UTC')
SIM_PARAMS_END = pd.Timestamp('2016-01-28', tz='UTC')
SIM_PARAMS_DATA_FREQUENCY = 'minute'
TRADING_CALENDAR_STRS = ('us_futures',)
TRADING_CALENDAR_PRIMARY_CAL = 'us_futures'
@@ -75,17 +75,17 @@ class ContinuousFuturesTestCase(WithCreateBarData,
Timestamp('2016-10-19', tz='UTC'),
Timestamp('2016-11-19', tz='UTC'),
Timestamp('2022-08-19', tz='UTC')],
'notice_date': [Timestamp('2016-01-26', tz='UTC'),
'notice_date': [Timestamp('2016-01-27', tz='UTC'),
Timestamp('2016-02-26', tz='UTC'),
Timestamp('2016-03-24', tz='UTC'),
Timestamp('2016-04-26', tz='UTC'),
Timestamp('2022-01-26', tz='UTC')],
'expiration_date': [Timestamp('2016-01-26', tz='UTC'),
'expiration_date': [Timestamp('2016-01-27', tz='UTC'),
Timestamp('2016-02-26', tz='UTC'),
Timestamp('2016-03-24', tz='UTC'),
Timestamp('2016-04-26', tz='UTC'),
Timestamp('2022-01-26', tz='UTC')],
'auto_close_date': [Timestamp('2016-01-26', tz='UTC'),
'auto_close_date': [Timestamp('2016-01-27', tz='UTC'),
Timestamp('2016-02-26', tz='UTC'),
Timestamp('2016-03-24', tz='UTC'),
Timestamp('2016-04-26', tz='UTC'),
@@ -172,13 +172,13 @@ class ContinuousFuturesTestCase(WithCreateBarData,
cf_primary = self.asset_finder.create_continuous_future(
'FO', 0, 'calendar')
bar_data = self.create_bardata(
lambda: pd.Timestamp('2016-01-25', tz='UTC'))
lambda: pd.Timestamp('2016-01-26', tz='UTC'))
contract = bar_data.current(cf_primary, 'contract')
self.assertEqual(contract.symbol, 'FOF16')
bar_data = self.create_bardata(
lambda: pd.Timestamp('2016-01-26', tz='UTC'))
lambda: pd.Timestamp('2016-01-27', tz='UTC'))
contract = bar_data.current(cf_primary, 'contract')
self.assertEqual(contract.symbol, 'FOG16',
@@ -349,20 +349,20 @@ def record_current_contract(algo, data):
'FO', 0, 'calendar')
window = self.data_portal.get_history_window(
[cf],
Timestamp('2016-03-03 18:01', tz='US/Eastern').tz_convert('UTC'),
Timestamp('2016-03-04 18:01', tz='US/Eastern').tz_convert('UTC'),
30, '1d', 'sid')
self.assertEqual(window.loc['2016-01-25', cf],
self.assertEqual(window.loc['2016-01-26', cf],
0,
"Should be FOF16 at beginning of window.")
self.assertEqual(window.loc['2016-01-26', cf],
self.assertEqual(window.loc['2016-01-27', cf],
1,
"Should be FOG16 after first roll.")
self.assertEqual(window.loc['2016-02-25', cf],
1,
"Should be FOF16 on session before roll.")
"Should be FOG16 on session before roll.")
self.assertEqual(window.loc['2016-02-26', cf],
2,
@@ -403,33 +403,33 @@ def record_current_contract(algo, data):
'FO', 0, 'calendar')
window = self.data_portal.get_history_window(
[cf.sid],
Timestamp('2016-01-25 18:01', tz='US/Eastern').tz_convert('UTC'),
Timestamp('2016-01-26 18:01', tz='US/Eastern').tz_convert('UTC'),
30, '1m', 'sid')
self.assertEqual(window.loc['2016-01-25 22:32', cf],
self.assertEqual(window.loc['2016-01-26 22:32', cf],
0,
"Should be FOF16 at beginning of window. A minute "
"which is in the 01-25 session, before the roll.")
"which is in the 01-26 session, before the roll.")
self.assertEqual(window.loc['2016-01-25 23:00', cf],
self.assertEqual(window.loc['2016-01-26 23:00', cf],
0,
"Should be FOF16 on on minute before roll minute.")
self.assertEqual(window.loc['2016-01-25 23:01', cf],
self.assertEqual(window.loc['2016-01-26 23:01', cf],
1,
"Should be FOG16 on minute after roll.")
# Advance the window a day.
window = self.data_portal.get_history_window(
[cf],
Timestamp('2016-01-26 18:01', tz='US/Eastern').tz_convert('UTC'),
Timestamp('2016-01-27 18:01', tz='US/Eastern').tz_convert('UTC'),
30, '1m', 'sid')
self.assertEqual(window.loc['2016-01-26 22:32', cf],
self.assertEqual(window.loc['2016-01-27 22:32', cf],
1,
"Should be FOG16 at beginning of window.")
self.assertEqual(window.loc['2016-01-26 23:01', cf],
self.assertEqual(window.loc['2016-01-27 23:01', cf],
1,
"Should remain FOG16 on next session.")
@@ -441,7 +441,7 @@ def record_current_contract(algo, data):
assert_almost_equal(
window.loc['2016-01-26', cf],
115011.440,
105011.440,
err_msg="At beginning of window, should be FOG16's first value.")
assert_almost_equal(
@@ -499,14 +499,14 @@ def record_current_contract(algo, data):
# a ratio of ~1.06
assert_almost_equal(
window.loc['2016-01-26', cf_mul],
122006.62,
118833.237,
err_msg="At beginning of window, should be FOG16's first value, "
"adjusted.")
# Difference of 7008.561
assert_almost_equal(
window.loc['2016-01-26', cf_add],
122020.001,
119028.562,
err_msg="At beginning of window, should be FOG16's first value, "
"adjusted.")