From 789338aa5fab47b50db209516a11cb940f40692e Mon Sep 17 00:00:00 2001 From: fawce Date: Thu, 24 May 2012 11:36:22 -0400 Subject: [PATCH 1/2] fixed constructor call to provide source_id --- zipline/optimize/factory.py | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/zipline/optimize/factory.py b/zipline/optimize/factory.py index 812c793c..b4edc059 100644 --- a/zipline/optimize/factory.py +++ b/zipline/optimize/factory.py @@ -41,7 +41,7 @@ def create_updown_trade_source(sid, trade_count, trading_environment, start_pric trading_environment.period_end = cur - source = SpecificEquityTrades(sid, events) + source = SpecificEquityTrades("updown_" + str(sid), events) return source From 6523ff6c9bb953674d4290ddcc2fd3e0d5c1984b Mon Sep 17 00:00:00 2001 From: Thomas Wiecki Date: Mon, 28 May 2012 11:11:29 -0400 Subject: [PATCH 2/2] Re-enabled optimize unittests. Minor fixes to create_predictable_zipline(). --- tests/test_optimize.py | 5 ++--- zipline/optimize/factory.py | 5 +++-- 2 files changed, 5 insertions(+), 5 deletions(-) diff --git a/tests/test_optimize.py b/tests/test_optimize.py index 6329bb98..b3ff7b06 100644 --- a/tests/test_optimize.py +++ b/tests/test_optimize.py @@ -39,7 +39,6 @@ class TestUpDown(TestCase): 'sid':133 } - @skip @timed(DEFAULT_TIMEOUT) def test_source_and_orders(self): """verify that UpDownSource is having the correct @@ -108,8 +107,8 @@ class TestUpDown(TestCase): self.assertTrue(np.all(min_order_idx == min_price_idx), "Algorithm did not sell when price was going to increase." ) - - @skip + + def test_concavity_of_returns(self): """verify concave relationship between of free parameter and returns in certain region around the max. Moreover, diff --git a/zipline/optimize/factory.py b/zipline/optimize/factory.py index b4edc059..dc8295ce 100644 --- a/zipline/optimize/factory.py +++ b/zipline/optimize/factory.py @@ -7,10 +7,11 @@ from datetime import datetime, timedelta import zipline.protocol as zp -from zipline.utils.factory import get_next_trading_dt +from zipline.utils.factory import get_next_trading_dt, create_trading_environment from zipline.finance.sources import SpecificEquityTrades from zipline.optimize.algorithms import BuySellAlgorithm from zipline.lines import SimulatedTrading +from copy import deepcopy def create_updown_trade_source(sid, trade_count, trading_environment, start_price, amplitude): from itertools import cycle @@ -55,7 +56,7 @@ def create_predictable_zipline(config, sid=133, amplitude=10, base_price=50, off base_price, amplitude) - algo = RegularIntervalBuySellAlgorithm(sid, 100, offset) + algo = BuySellAlgorithm(sid, 100, offset) config['algorithm'] = algo config['trade_source'] = source config['environment'] = trading_environment