ENH: Added testing for versioning of serialized state.

2026-08-11 11:16:15 +08:00 · 2015-03-04 14:17:13 -05:00
parent 5c756a84c5
commit 1f69126854
19 changed files with 312234 additions and 5 deletions
@@ -75,12 +75,9 @@ argument_list = [
    (PerDollar, ()),
    (PerformancePeriod, (10000,)),
    (Position, (8554,)),
-    (PerformanceTracker, (sim_params_daily,)),
    (PerformanceTracker, (sim_params_minute,)),
-    (RiskMetricsCumulative, (sim_params_daily,)),
    (RiskMetricsCumulative, (sim_params_minute,)),
    (RiskMetricsPeriod, (returns.index[0], returns.index[0], returns)),
-    (RiskReport, (returns, sim_params_daily)),
    (RiskReport, (returns, sim_params_minute)),
    (FixedSlippage, ()),
    (Transaction, (8554, 10, datetime.datetime(2013, 6, 19), 100, "0000")),
@@ -91,7 +88,7 @@ argument_list = [
 ]


-def write_state_to_disk(cls, state):
+def write_state_to_disk(cls, state, emission_rate=None):
    state_dir = cls.__module__ + cls.__name__

    full_dir = base_state_dir + '/' + state_dir
@@ -99,7 +96,11 @@ def write_state_to_disk(cls, state):
    if not os.path.exists(full_dir):
        os.makedirs(full_dir)

-    name = 'State_Version_' + str(state['obj_state'][VERSION_LABEL])
+    if emission_rate is not None:
+        name = 'State_Version_' + emission_rate + \
+            str(state['obj_state'][VERSION_LABEL])
+    else:
+        name = 'State_Version_' + str(state['obj_state'][VERSION_LABEL])

    full_path = full_dir + '/' + name

@@ -0,0 +1,21 @@
+(dp0
+S'obj_state'
+p1
+(dp2
+S'_stateversion_'
+p3
+I1
+sS'new_orders'
+p4
+(lp5
+sS'orders'
+p6
+(dp7
+sS'open_orders'
+p8
+(dp9
+ssS'initargs'
+p10
+NsS'newargs'
+p11
+Ns.
@@ -0,0 +1,60 @@
+(dp0
+S'obj_state'
+p1
+(dp2
+S'direction'
+p3
+F1.0
+sS'_stateversion_'
+p4
+I1
+sS'_status'
+p5
+I0
+sS'created'
+p6
+cdatetime
+datetime
+p7
+(S'\x07\xdd\x06\x13\x00\x00\x00\x00\x00\x00'
+p8
+tp9
+Rp10
+sS'limit_reached'
+p11
+I00
+sS'stop'
+p12
+NsS'reason'
+p13
+NsS'stop_reached'
+p14
+I00
+sS'commission'
+p15
+NsS'amount'
+p16
+I100
+sS'limit'
+p17
+NsS'sid'
+p18
+I8554
+sS'dt'
+p19
+g10
+sS'type'
+p20
+I6
+sS'id'
+p21
+S'c09d3814a34c4ddeb445b34433121a03'
+p22
+sS'filled'
+p23
+I0
+ssS'initargs'
+p24
+NsS'newargs'
+p25
+Ns.
@@ -0,0 +1,15 @@
+(dp0
+S'obj_state'
+p1
+(dp2
+S'cost'
+p3
+F0.0015
+sS'_stateversion_'
+p4
+I1
+ssS'initargs'
+p5
+NsS'newargs'
+p6
+Ns.
@@ -0,0 +1,17 @@
+(dp0
+S'obj_state'
+p1
+(dp2
+S'min_trade_cost'
+p3
+NsS'cost'
+p4
+F0.03
+sS'_stateversion_'
+p5
+I1
+ssS'initargs'
+p6
+NsS'newargs'
+p7
+Ns.
@@ -0,0 +1,15 @@
+(dp0
+S'obj_state'
+p1
+(dp2
+S'cost'
+p3
+F5.0
+sS'_stateversion_'
+p4
+I1
+ssS'initargs'
+p5
+NsS'newargs'
+p6
+Ns.
@@ -0,0 +1,208 @@
+(dp0
+S'obj_state'
+p1
+(dp2
+S'_account_store'
+p3
+ccopy_reg
+_reconstructor
+p4
+(czipline.protocol
+Account
+p5
+c__builtin__
+object
+p6
+Ntp7
+Rp8
+(dp9
+S'regt_margin'
+p10
+Finf
+sS'maintenance_margin_requirement'
+p11
+F0.0
+sS'day_trades_remaining'
+p12
+Finf
+sS'buying_power'
+p13
+Finf
+sS'net_leverage'
+p14
+F0.0
+sS'settled_cash'
+p15
+F0.0
+sS'cushion'
+p16
+F0.0
+sS'_stateversion_'
+p17
+I1
+sS'leverage'
+p18
+F0.0
+sS'regt_equity'
+p19
+F0.0
+sS'excess_liquidity'
+p20
+F0.0
+sS'available_funds'
+p21
+F0.0
+sS'equity_with_loan'
+p22
+F0.0
+sS'initial_margin_requirement'
+p23
+F0.0
+sS'net_liquidation'
+p24
+F0.0
+sS'total_positions_value'
+p25
+F0.0
+sS'accrued_interest'
+p26
+F0.0
+sbsS'orders_by_modified'
+p27
+(dp28
+sS'keep_transactions'
+p29
+I01
+sS'ending_cash'
+p30
+F10000.0
+sS'_positions_store'
+p31
+(dp32
+sS'positions'
+p33
+(dp34
+sS'processed_transactions'
+p35
+(dp36
+sS'ending_value'
+p37
+cnumpy.core.multiarray
+scalar
+p38
+(cnumpy
+dtype
+p39
+(S'f8'
+p40
+I0
+I1
+tp41
+Rp42
+(I3
+S'<'
+p43
+NNNI-1
+I-1
+I0
+tp44
+bS'\x00\x00\x00\x00\x00\x00\x00\x00'
+p45
+tp46
+Rp47
+sS'loc_map'
+p48
+(dp49
+sS'starting_cash'
+p50
+I10000
+sS'returns'
+p51
+g38
+(g42
+S'\x00\x00\x00\x00\x00\x00\x00\x00'
+p52
+tp53
+Rp54
+sg17
+I1
+sS'pnl'
+p55
+g38
+(g42
+S'\x00\x00\x00\x00\x00\x00\x00\x00'
+p56
+tp57
+Rp58
+sS'period_cash_flow'
+p59
+F0.0
+sS'serialize_positions'
+p60
+I01
+sS'keep_orders'
+p61
+I00
+sS'_portfolio_store'
+p62
+g4
+(czipline.protocol
+Portfolio
+p63
+g6
+Ntp64
+Rp65
+(dp66
+g17
+I1
+sS'portfolio_value'
+p67
+F0.0
+sS'cash'
+p68
+F0.0
+sg50
+F0.0
+sg51
+F0.0
+sS'capital_used'
+p69
+F0.0
+sg55
+F0.0
+sg33
+g4
+(czipline.protocol
+Positions
+p70
+c__builtin__
+dict
+p71
+(dp72
+tp73
+Rp74
+sS'positions_value'
+p75
+F0.0
+sS'start_date'
+p76
+NsbsS'starting_value'
+p77
+F0.0
+sS'period_open'
+p78
+NsS'period_close'
+p79
+NsS'orders_by_id'
+p80
+ccyordereddict._cyordereddict
+OrderedDict
+p81
+((lp82
+tp83
+Rp84
+ssS'initargs'
+p85
+NsS'newargs'
+p86
+Ns.
@@ -0,0 +1,26 @@
+(dp0
+S'obj_state'
+p1
+(dp2
+S'_stateversion_'
+p3
+I1
+sS'cost_basis'
+p4
+F0.0
+sS'amount'
+p5
+I0
+sS'last_sale_price'
+p6
+F0.0
+sS'sid'
+p7
+I8554
+sS'last_sale_date'
+p8
+NssS'initargs'
+p9
+NsS'newargs'
+p10
+Ns.
@@ -0,0 +1,15 @@
+(dp0
+S'obj_state'
+p1
+(dp2
+S'spread'
+p3
+F0.0
+sS'_stateversion_'
+p4
+I1
+ssS'initargs'
+p5
+NsS'newargs'
+p6
+Ns.
@@ -0,0 +1,39 @@
+(dp0
+S'obj_state'
+p1
+(dp2
+S'commission'
+p3
+NsS'amount'
+p4
+I10
+sS'_stateversion_'
+p5
+I1
+sS'sid'
+p6
+I8554
+sS'order_id'
+p7
+S'0000'
+p8
+sS'price'
+p9
+I100
+sS'type'
+p10
+I5
+sS'dt'
+p11
+cdatetime
+datetime
+p12
+(S'\x07\xdd\x06\x13\x00\x00\x00\x00\x00\x00'
+p13
+tp14
+Rp15
+ssS'initargs'
+p16
+NsS'newargs'
+p17
+Ns.
@@ -0,0 +1,18 @@
+(dp0
+S'obj_state'
+p1
+(dp2
+S'price_impact'
+p3
+F0.1
+sS'volume_limit'
+p4
+F0.25
+sS'_stateversion_'
+p5
+I1
+ssS'initargs'
+p6
+NsS'newargs'
+p7
+Ns.
@@ -0,0 +1,60 @@
+(dp0
+S'obj_state'
+p1
+(dp2
+S'regt_margin'
+p3
+Finf
+sS'maintenance_margin_requirement'
+p4
+F0.0
+sS'day_trades_remaining'
+p5
+Finf
+sS'buying_power'
+p6
+Finf
+sS'net_leverage'
+p7
+F0.0
+sS'settled_cash'
+p8
+F0.0
+sS'cushion'
+p9
+F0.0
+sS'_stateversion_'
+p10
+I1
+sS'leverage'
+p11
+F0.0
+sS'regt_equity'
+p12
+F0.0
+sS'excess_liquidity'
+p13
+F0.0
+sS'available_funds'
+p14
+F0.0
+sS'equity_with_loan'
+p15
+F0.0
+sS'initial_margin_requirement'
+p16
+F0.0
+sS'net_liquidation'
+p17
+F0.0
+sS'total_positions_value'
+p18
+F0.0
+sS'accrued_interest'
+p19
+F0.0
+ssS'initargs'
+p20
+NsS'newargs'
+p21
+Ns.
@@ -0,0 +1,49 @@
+(dp0
+S'obj_state'
+p1
+(dp2
+S'_stateversion_'
+p3
+I1
+sS'portfolio_value'
+p4
+F0.0
+sS'cash'
+p5
+F0.0
+sS'starting_cash'
+p6
+F0.0
+sS'returns'
+p7
+F0.0
+sS'capital_used'
+p8
+F0.0
+sS'pnl'
+p9
+F0.0
+sS'positions'
+p10
+ccopy_reg
+_reconstructor
+p11
+(czipline.protocol
+Positions
+p12
+c__builtin__
+dict
+p13
+(dp14
+tp15
+Rp16
+sS'positions_value'
+p17
+F0.0
+sS'start_date'
+p18
+NssS'initargs'
+p19
+NsS'newargs'
+p20
+Ns.
@@ -0,0 +1,24 @@
+(dp0
+S'obj_state'
+p1
+(dp2
+S'_stateversion_'
+p3
+I1
+sS'amount'
+p4
+I0
+sS'last_sale_price'
+p5
+F0.0
+sS'cost_basis'
+p6
+F0.0
+sS'sid'
+p7
+I8554
+ssS'initargs'
+p8
+NsS'newargs'
+p9
+Ns.
@@ -0,0 +1,136 @@
+#
+# Copyright 2015 Quantopian, Inc.
+#
+# Licensed under the Apache License, Version 2.0 (the "License");
+# you may not use this file except in compliance with the License.
+# You may obtain a copy of the License at
+#
+#     http://www.apache.org/licenses/LICENSE-2.0
+#
+# Unless required by applicable law or agreed to in writing, software
+# distributed under the License is distributed on an "AS IS" BASIS,
+# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+# See the License for the specific language governing permissions and
+# limitations under the License.
+
+import datetime
+import os
+import pickle
+import pytz
+
+from nose_parameterized import parameterized
+from unittest import TestCase
+
+from zipline.finance.blotter import Blotter, Order
+from zipline.finance.commission import PerShare, PerTrade, PerDollar
+from zipline.finance.performance.period import PerformancePeriod
+from zipline.finance.performance.position import Position
+from zipline.finance.performance.tracker import PerformanceTracker
+from zipline.finance.risk.cumulative import RiskMetricsCumulative
+from zipline.finance.risk.period import RiskMetricsPeriod
+from zipline.finance.risk.report import RiskReport
+from zipline.finance.slippage import (
+    FixedSlippage,
+    Transaction,
+    VolumeShareSlippage
+)
+from zipline.protocol import Account
+from zipline.protocol import Portfolio
+from zipline.protocol import Position as ProtocolPosition
+
+
+from zipline.finance.trading import SimulationParameters
+
+from zipline.utils import factory
+
+sim_params_daily = SimulationParameters(
+    datetime.datetime(2013, 6, 19, tzinfo=pytz.UTC),
+    datetime.datetime(2013, 6, 19, tzinfo=pytz.UTC),
+    10000,
+    emission_rate='daily')
+sim_params_minute = SimulationParameters(
+    datetime.datetime(2013, 6, 19, tzinfo=pytz.UTC),
+    datetime.datetime(2013, 6, 19, tzinfo=pytz.UTC),
+    10000,
+    emission_rate='minute')
+returns = factory.create_returns_from_list(
+    [1.0], sim_params_daily)
+
+base_state_dir = 'tests/resources/saved_state_archive'
+
+
+class VersioningTestCase(TestCase):
+
+    def load_state_from_disk(self, cls):
+        state_dir = cls.__module__ + cls.__name__
+
+        full_dir = base_state_dir + '/' + state_dir
+
+        state_files = \
+            [f for f in os.listdir(full_dir) if 'State_Version_' in f]
+
+        for f_name in state_files:
+            f = open(full_dir + '/' + f_name, 'r')
+            yield pickle.load(f)
+
+    # Only test versioning in minutely mode right now
+    @parameterized.expand([
+        (Blotter, (), 'repr'),
+        (Order, (datetime.datetime(2013, 6, 19), 8554, 100), 'dict'),
+        (PerShare, (), 'dict'),
+        (PerTrade, (), 'dict'),
+        (PerDollar, (), 'dict'),
+        (PerformancePeriod, (10000,), 'to_dict'),
+        (Position, (8554,), 'dict'),
+        (PerformanceTracker, (sim_params_minute,), 'to_dict'),
+        (RiskMetricsCumulative, (sim_params_minute,), 'to_dict'),
+        (RiskMetricsPeriod,
+            (returns.index[0], returns.index[0], returns), 'to_dict'),
+        (RiskReport, (returns, sim_params_minute), 'to_dict'),
+        (FixedSlippage, (), 'dict'),
+        (Transaction,
+            (8554, 10, datetime.datetime(2013, 6, 19), 100, "0000"), 'dict'),
+        (VolumeShareSlippage, (), 'dict'),
+        (Account, (), 'dict'),
+        (Portfolio, (), 'dict'),
+        (ProtocolPosition, (8554,), 'dict')
+    ])
+    def test_object_serialization(self,
+                                  cls,
+                                  initargs,
+                                  comparison_method='dict'):
+
+        # Make reference object
+        obj = cls(*initargs)
+
+        # Fetch state
+        state_versions = self.load_state_from_disk(cls)
+
+        for version in state_versions:
+
+            # For each version inflate a new object and ensure that it
+            # matches the original.
+
+            newargs = version['newargs']
+            initargs = version['initargs']
+            state = version['obj_state']
+
+            if newargs is not None:
+                obj2 = cls.__new__(cls, *newargs)
+            else:
+                obj2 = cls.__new__(cls)
+            if initargs is not None:
+                obj2.__init__(*initargs)
+            obj2.__setstate__(state)
+
+            # The ObjectId generated on instantiation of Order will
+            # not be the same as the one loaded from saved state.
+            if cls == Order:
+                obj.__dict__['id'] = obj2.__dict__['id']
+
+            if comparison_method == 'repr':
+                self.assertEqual(obj.__repr__(), obj2.__repr__())
+            elif comparison_method == 'to_dict':
+                self.assertEqual(obj.to_dict(), obj2.to_dict())
+            else:
+                self.assertEqual(obj.__dict__, obj2.__dict__)