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Merge pull request #1446 from quantopian/use-us-futures-in-test-resample

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TST: Use futures cal in resample suite.
This commit is contained in:
Eddie Hebert
2016-08-30 10:24:18 -04:00
committed by GitHub
parent 92c2a4a408 9db385bb75
commit 1984d13c2f
1 changed files with 11 additions and 10 deletions
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tests/data/test_resample.py
+11 -10
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@@ -61,7 +61,7 @@ NYSE_MINUTES = OrderedDict((
))
CME_MINUTES = OrderedDict((
FUT_MINUTES = OrderedDict((
('day_0_front', pd.date_range('2016-03-15 18:01',
'2016-03-15 18:03',
freq='min',
@@ -141,7 +141,7 @@ FUTURE_CASES = OrderedDict()
for sid, combos in _FUTURE_CASES:
frames = [DataFrame(SCENARIOS[s], columns=OHLCV).
set_index(CME_MINUTES[m])
set_index(FUT_MINUTES[m])
for s, m in combos]
FUTURE_CASES[sid] = pd.concat(frames)
@@ -463,8 +463,8 @@ class TestMinuteToSession(WithEquityMinuteBarData,
class TestResampleSessionBars(WithBcolzFutureMinuteBarReader,
ZiplineTestCase):
TRADING_CALENDAR_STRS = ('CME',)
TRADING_CALENDAR_PRIMARY_CAL = 'CME'
TRADING_CALENDAR_STRS = ('us_futures',)
TRADING_CALENDAR_PRIMARY_CAL = 'us_futures'
ASSET_FINDER_FUTURE_SIDS = 1001, 1002, 1003
@@ -540,8 +540,8 @@ class TestResampleSessionBars(WithBcolzFutureMinuteBarReader,
class TestReindexMinuteBars(WithBcolzEquityMinuteBarReader,
ZiplineTestCase):
TRADING_CALENDAR_STRS = ('CME', 'NYSE')
TRADING_CALENDAR_PRIMARY_CAL = 'CME'
TRADING_CALENDAR_STRS = ('us_futures', 'NYSE')
TRADING_CALENDAR_PRIMARY_CAL = 'us_futures'
ASSET_FINDER_EQUITY_SIDS = 1, 2, 3
@@ -609,12 +609,13 @@ class TestReindexMinuteBars(WithBcolzEquityMinuteBarReader,
class TestReindexSessionBars(WithBcolzEquityDailyBarReader,
ZiplineTestCase):
TRADING_CALENDAR_STRS = ('CME', 'NYSE')
TRADING_CALENDAR_PRIMARY_CAL = 'CME'
TRADING_CALENDAR_STRS = ('us_futures', 'NYSE')
TRADING_CALENDAR_PRIMARY_CAL = 'us_futures'
ASSET_FINDER_EQUITY_SIDS = 1, 2, 3
# Dates are chosen to span Thanksgiving, which is not a Holiday on CME.
# Dates are chosen to span Thanksgiving, which is not a Holiday on
# us_futures.
START_DATE = pd.Timestamp('2015-11-01', tz='UTC')
END_DATE = pd.Timestamp('2015-11-30', tz='UTC')
@@ -648,7 +649,7 @@ class TestReindexSessionBars(WithBcolzEquityDailyBarReader,
"because Thanksgiving is a NYSE holiday.")
# Thanksgiving, 2015-11-26.
# Is a holiday in NYSE, but not in CME.
# Is a holiday in NYSE, but not in us_futures.
tday_loc = outer_sessions.get_loc(pd.Timestamp('2015-11-26', tz='UTC'))
assert_almost_equal(