wassname/catalyst
1
0
Fork 0
mirror of https://github.com/wassname/catalyst.git synced 2026-07-13 17:42:42 +08:00
Code Issues Packages Projects Releases Wiki Activity

TST: Update test_algorithm.py to incorporate TradingEnvironment.write_data

Browse Source
This commit is contained in:
Stewart Douglas
2015-08-10 21:34:49 -04:00
committed by jfkirk
parent c8b88432cc
commit 1c512c5478
1 changed files with 44 additions and 17 deletions
Download Patch File Download Diff File Expand all files Collapse all files
tests/test_algorithm.py
+44 -17
View File
@@ -94,6 +94,7 @@ from zipline.sources import (SpecificEquityTrades,
from zipline.assets import Equity
from zipline.finance.execution import LimitOrder
from zipline.finance import trading
from zipline.finance.trading import SimulationParameters
from zipline.utils.api_support import set_algo_instance
from zipline.utils.events import DateRuleFactory, TimeRuleFactory
@@ -109,6 +110,7 @@ _multiprocess_can_split_ = False
class TestRecordAlgorithm(TestCase):
def setUp(self):
self.sim_params = factory.create_simulation_parameters(num_days=4)
trading.environment.write_data(equities_identifiers=[133])
trade_history = factory.create_trade_history(
133,
[10.0, 10.0, 11.0, 11.0],
@@ -145,6 +147,7 @@ class TestMiscellaneousAPI(TestCase):
data_frequency='minute',
emission_rate='minute',
)
trading.environment.write_data(equities_identifiers=sids)
self.source = factory.create_minutely_trade_source(
sids,
sim_params=self.sim_params,
@@ -321,6 +324,8 @@ class TestMiscellaneousAPI(TestCase):
self.assertIs(composer, zipline.utils.events.ComposedRule.lazy_and)
def test_asset_lookup(self):
trading.environment = trading.TradingEnvironment()
metadata = {0: {'symbol': 'PLAY',
'asset_type': 'equity',
'start_date': '2002-01-01',
@@ -364,7 +369,7 @@ class TestMiscellaneousAPI(TestCase):
def test_future_chain(self):
""" Tests the future_chain API function.
"""
trading.environment = trading.TradingEnvironment()
metadata = {
0: {
'symbol': 'CLG06',
@@ -396,7 +401,8 @@ class TestMiscellaneousAPI(TestCase):
'expiration_date': pd.Timestamp('2006-10-20', tz='UTC')}
}
algo = TradingAlgorithm(asset_metadata=metadata)
trading.environment.write_data(futures_data=metadata)
algo = TradingAlgorithm()
algo.datetime = pd.Timestamp('2006-12-01', tz='UTC')
# Check that the fields of the FutureChain object are set correctly
@@ -483,6 +489,7 @@ class TestTransformAlgorithm(TestCase):
def setUp(self):
setup_logger(self)
self.sim_params = factory.create_simulation_parameters(num_days=4)
trading.environment.write_data(equities_identifiers=[0, 1, 133])
trade_history = factory.create_trade_history(
133,
@@ -591,9 +598,9 @@ class TestTransformAlgorithm(TestCase):
(TestTargetValueAlgorithm,),
])
def test_order_methods_for_future(self, algo_class):
metadata = {0: {'asset_type': 'future',
# Use sid not already in test database.
metadata = {3: {'asset_type': 'future',
'contract_multiplier': 10}}
algo = algo_class(
sim_params=self.sim_params,
asset_metadata=metadata
@@ -640,6 +647,7 @@ class TestPositions(TestCase):
def setUp(self):
setup_logger(self)
self.sim_params = factory.create_simulation_parameters(num_days=4)
trading.environment.write_data(equities_identifiers=[0, 1, 133])
trade_history = factory.create_trade_history(
1,
@@ -684,9 +692,10 @@ class TestPositions(TestCase):
class TestAlgoScript(TestCase):
def setUp(self):
days = 251
# Note that create_simulation_parameters creates a new TradingEnvironment
self.sim_params = factory.create_simulation_parameters(num_days=days)
setup_logger(self)
trading.environment.write_data(equities_identifiers=[0, 1, 133])
trade_history = factory.create_trade_history(
133,
[10.0] * days,
@@ -727,7 +736,8 @@ class TestAlgoScript(TestCase):
def test_api_get_environment(self):
platform = 'zipline'
metadata = {0: {'symbol': 'TEST',
# Use sid not already in test database.
metadata = {3: {'symbol': 'TEST',
'asset_type': 'equity'}}
algo = TradingAlgorithm(script=api_get_environment_algo,
asset_metadata=metadata,
@@ -736,7 +746,8 @@ class TestAlgoScript(TestCase):
self.assertEqual(algo.environment, platform)
def test_api_symbol(self):
metadata = {0: {'symbol': 'TEST',
# Use sid not already in test database.
metadata = {3: {'symbol': 'TEST',
'asset_type': 'equity'}}
algo = TradingAlgorithm(script=api_symbol_algo,
asset_metadata=metadata)
@@ -983,6 +994,15 @@ def handle_data(context, data):
class TestHistory(TestCase):
def setUp(self):
setup_logger(self)
trading.environment = trading.TradingEnvironment()
trading.environment.write_data(equities_identifiers=[0, 1])
def tearDown(self):
teardown_logger(self)
@classmethod
def setUpClass(cls):
cls._start = pd.Timestamp('1991-01-01', tz='UTC')
@@ -1044,6 +1064,14 @@ def handle_data(context, data):
class TestGetDatetime(TestCase):
def setUp(self):
setup_logger(self)
trading.environment = trading.TradingEnvironment()
trading.environment.write_data(equities_identifiers=[0, 1])
def tearDown(self):
teardown_logger(self)
@parameterized.expand(
[
('default', None,),
@@ -1087,7 +1115,6 @@ class TestGetDatetime(TestCase):
algo = TradingAlgorithm(
script=algo,
sim_params=sim_params,
identifiers=[1]
)
algo.run(source)
self.assertFalse(algo.first_bar)
@@ -1098,6 +1125,7 @@ class TestTradingControls(TestCase):
def setUp(self):
self.sim_params = factory.create_simulation_parameters(num_days=4)
self.sid = 133
trading.environment.write_data(equities_identifiers=[self.sid])
self.trade_history = factory.create_trade_history(
self.sid,
[10.0, 10.0, 11.0, 11.0],
@@ -1351,31 +1379,28 @@ class TestTradingControls(TestCase):
df_source, _ = factory.create_test_df_source(self.sim_params)
metadata = {0: {'start_date': '1990-01-01',
'end_date': '2020-01-01'}}
asset_finder = AssetFinder()
algo = SetAssetDateBoundsAlgorithm(
asset_finder=asset_finder,
asset_metadata=metadata,
sim_params=self.sim_params,)
algo.run(df_source)
# Run the algorithm with a sid that has already ended
trading.environment = trading.TradingEnvironment()
df_source, _ = factory.create_test_df_source(self.sim_params)
metadata = {0: {'start_date': '1989-01-01',
'end_date': '1990-01-01'}}
asset_finder = AssetFinder()
algo = SetAssetDateBoundsAlgorithm(
asset_finder=asset_finder,
asset_metadata=metadata,
sim_params=self.sim_params,)
with self.assertRaises(TradingControlViolation):
algo.run(df_source)
# Run the algorithm with a sid that has not started
trading.environment = trading.TradingEnvironment()
df_source, _ = factory.create_test_df_source(self.sim_params)
metadata = {0: {'start_date': '2020-01-01',
'end_date': '2021-01-01'}}
algo = SetAssetDateBoundsAlgorithm(
asset_finder=asset_finder,
asset_metadata=metadata,
sim_params=self.sim_params,)
with self.assertRaises(TradingControlViolation):
@@ -1387,6 +1412,7 @@ class TestAccountControls(TestCase):
def setUp(self):
self.sim_params = factory.create_simulation_parameters(num_days=4)
self.sidint = 133
trading.environment.write_data(equities_identifiers=[self.sidint])
self.trade_history = factory.create_trade_history(
self.sidint,
[10.0, 10.0, 11.0, 11.0],
@@ -1436,6 +1462,7 @@ class TestAccountControls(TestCase):
class TestClosePosAlgo(TestCase):
def setUp(self):
trading.environment = trading.TradingEnvironment()
self.days = TradingEnvironment().trading_days
self.index = [self.days[0], self.days[1], self.days[2]]
self.panel = pd.Panel({1: pd.DataFrame({
@@ -1473,9 +1500,9 @@ class TestClosePosAlgo(TestCase):
metadata = {1: {'symbol': 'TEST',
'asset_type': 'future',
}}
trading.environment.write_data(futures_data=metadata)
self.algo = TestAlgorithm(sid=1, amount=1, order_count=1,
instant_fill=True, commission=PerShare(0),
asset_metadata=metadata)
instant_fill=True, commission=PerShare(0),)
self.data = DataPanelSource(self.panel)
# Check results
@@ -1490,9 +1517,9 @@ class TestClosePosAlgo(TestCase):
'asset_type': 'future',
'notice_date': self.days[3],
'expiration_date': self.days[4]}}
trading.environment.write_data(futures_data=metadata)
self.algo = TestAlgorithm(sid=1, amount=1, order_count=1,
instant_fill=True, commission=PerShare(0),
asset_metadata=metadata)
instant_fill=True, commission=PerShare(0),)
self.data = DataPanelSource(self.no_close_panel)
# Check results