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TST: Make params explicit to calc results.

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Change calculate_results to take explicit parameters for sim_params, env
and benchmark_events instead of reading those values off of the TestCase
instance.

This prepares for tests setting specific sim_params in each test case,
which is needed for an incoming refactoring of how the test data is set up.
This commit is contained in:
Eddie Hebert
2015-09-29 14:36:45 -04:00
parent 9581afb32a
commit 23e7433635
1 changed files with 49 additions and 16 deletions
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tests/test_perf_tracking.py
+49 -16
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@@ -144,7 +144,9 @@ def benchmark_events_in_range(sim_params, env):
]
def calculate_results(host,
def calculate_results(sim_params,
env,
benchmark_events,
trade_events,
dividend_events=None,
splits=None,
@@ -175,7 +177,7 @@ def calculate_results(host,
txns = txns or []
splits = splits or []
perf_tracker = perf.PerformanceTracker(host.sim_params, host.env)
perf_tracker = perf.PerformanceTracker(sim_params, env)
if dividend_events is not None:
dividend_frame = pd.DataFrame(
@@ -190,7 +192,7 @@ def calculate_results(host,
trade_events = sorted(trade_events, key=lambda ev: (ev.dt, ev.source_id))
# Add a benchmark event for each date.
trades_plus_bm = date_sorted_sources(trade_events, host.benchmark_events)
trades_plus_bm = date_sorted_sources(trade_events, benchmark_events)
# Filter out benchmark events that are later than the last trade date.
filtered_trades_plus_bm = (filt_event for filt_event in trades_plus_bm
@@ -293,7 +295,9 @@ class TestSplitPerformance(unittest.TestCase):
),
]
results = calculate_results(self, events, txns=txns, splits=splits)
results = calculate_results(self.sim_params, self.env,
self.benchmark_events,
events, txns=txns, splits=splits)
# should have 33 shares (at $60 apiece) and $20 in cash
self.assertEqual(2, len(results))
@@ -417,7 +421,11 @@ class TestCommissionEvents(unittest.TestCase):
# Insert a purchase order.
txns = [create_txn(events[0], 20, 1)]
results = calculate_results(self, events, txns=txns)
results = calculate_results(self.sim_params,
self.env,
self.benchmark_events,
events,
txns=txns)
# Validate that we lost 320 dollars from our cash pool.
self.assertEqual(results[-1]['cumulative_perf']['ending_cash'],
@@ -476,7 +484,11 @@ class TestCommissionEvents(unittest.TestCase):
events.append(cash_adjustment)
results = calculate_results(self, events, txns=txns)
results = calculate_results(self.sim_params,
self.env,
self.benchmark_events,
events,
txns=txns)
# Validate that we lost 300 dollars from our cash pool.
self.assertEqual(results[-1]['cumulative_perf']['ending_cash'],
9700)
@@ -499,7 +511,10 @@ class TestCommissionEvents(unittest.TestCase):
cash_adjustment = factory.create_commission(1, 300.0, cash_adj_dt)
events.append(cash_adjustment)
results = calculate_results(self, events)
results = calculate_results(self.sim_params,
self.env,
self.benchmark_events,
events)
# Validate that we lost 300 dollars from our cash pool.
self.assertEqual(results[-1]['cumulative_perf']['ending_cash'],
9700)
@@ -559,7 +574,9 @@ class TestDividendPerformance(unittest.TestCase):
# Simulate a transaction being filled prior to the ex_date.
txns = [create_txn(events[0], 10.0, 100)]
results = calculate_results(
self,
self.sim_params,
self.env,
self.benchmark_events,
events,
dividend_events=[dividend],
txns=txns,
@@ -613,7 +630,9 @@ class TestDividendPerformance(unittest.TestCase):
txns = [create_txn(events[0], 10.0, 100)]
results = calculate_results(
self,
self.sim_params,
self.env,
self.benchmark_events,
events,
dividend_events=[dividend],
txns=txns,
@@ -659,7 +678,9 @@ class TestDividendPerformance(unittest.TestCase):
txns = [create_txn(events[1], 10.0, 100)]
results = calculate_results(
self,
self.sim_params,
self.env,
self.benchmark_events,
events,
dividend_events=[dividend],
txns=txns,
@@ -702,7 +723,9 @@ class TestDividendPerformance(unittest.TestCase):
txns = [buy_txn, sell_txn]
results = calculate_results(
self,
self.sim_params,
self.env,
self.benchmark_events,
events,
dividend_events=[dividend],
txns=txns,
@@ -744,7 +767,9 @@ class TestDividendPerformance(unittest.TestCase):
txns = [buy_txn, sell_txn]
results = calculate_results(
self,
self.sim_params,
self.env,
self.benchmark_events,
events,
dividend_events=[dividend],
txns=txns,
@@ -788,7 +813,9 @@ class TestDividendPerformance(unittest.TestCase):
txns = [create_txn(events[1], 10.0, 100)]
results = calculate_results(
self,
self.sim_params,
self.env,
self.benchmark_events,
events,
dividend_events=[dividend],
txns=txns,
@@ -833,7 +860,9 @@ class TestDividendPerformance(unittest.TestCase):
txns = [create_txn(events[1], 10.0, -100)]
results = calculate_results(
self,
self.sim_params,
self.env,
self.benchmark_events,
events,
dividend_events=[dividend],
txns=txns,
@@ -871,7 +900,9 @@ class TestDividendPerformance(unittest.TestCase):
)
results = calculate_results(
self,
self.sim_params,
self.env,
self.benchmark_events,
events,
dividend_events=[dividend],
)
@@ -919,7 +950,9 @@ class TestDividendPerformance(unittest.TestCase):
# Simulate a transaction being filled prior to the ex_date.
txns = [create_txn(events[0], 10.0, 100)]
results = calculate_results(
self,
self.sim_params,
self.env,
self.benchmark_events,
events,
dividend_events=[dividend],
txns=txns,