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Fixed catalyst tests except example tests

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This commit is contained in:
Conner Fromknecht
2017-06-19 14:43:10 -07:00
parent 0ff32b38d7
commit 2770648acb
112 changed files with 703 additions and 639 deletions
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tests/test_algorithm.py
+75 -75
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@@ -34,26 +34,26 @@ import pandas as pd
import pytz
from pandas.core.common import PerformanceWarning
from zipline import run_algorithm
from zipline import TradingAlgorithm
from zipline.api import FixedSlippage
from zipline.assets import Equity, Future, Asset
from zipline.assets.continuous_futures import ContinuousFuture
from zipline.assets.synthetic import (
from catalyst import run_algorithm
from catalyst import TradingAlgorithm
from catalyst.api import FixedSlippage
from catalyst.assets import Equity, Future, Asset
from catalyst.assets.continuous_futures import ContinuousFuture
from catalyst.assets.synthetic import (
make_jagged_equity_info,
make_simple_equity_info,
)
from zipline.data.data_portal import DataPortal
from zipline.data.minute_bars import (
from catalyst.data.data_portal import DataPortal
from catalyst.data.minute_bars import (
BcolzMinuteBarReader,
BcolzMinuteBarWriter,
US_EQUITIES_MINUTES_PER_DAY,
)
from zipline.data.us_equity_pricing import (
from catalyst.data.us_equity_pricing import (
BcolzDailyBarReader,
BcolzDailyBarWriter,
)
from zipline.errors import (
from catalyst.errors import (
AccountControlViolation,
CannotOrderDelistedAsset,
IncompatibleSlippageModel,
@@ -67,7 +67,7 @@ from zipline.errors import (
UnsupportedCancelPolicy,
UnsupportedDatetimeFormat,
)
from zipline.api import (
from catalyst.api import (
order,
order_value,
order_percent,
@@ -76,17 +76,17 @@ from zipline.api import (
order_target_percent
)
from zipline.finance.commission import PerShare
from zipline.finance.execution import LimitOrder
from zipline.finance.order import ORDER_STATUS
from zipline.finance.trading import SimulationParameters
from zipline.finance.asset_restrictions import (
from catalyst.finance.commission import PerShare
from catalyst.finance.execution import LimitOrder
from catalyst.finance.order import ORDER_STATUS
from catalyst.finance.trading import SimulationParameters
from catalyst.finance.asset_restrictions import (
Restriction,
HistoricalRestrictions,
StaticRestrictions,
RESTRICTION_STATES,
)
from zipline.testing import (
from catalyst.testing import (
FakeDataPortal,
copy_market_data,
create_daily_df_for_asset,
@@ -102,8 +102,8 @@ from zipline.testing import (
trades_by_sid_to_dfs,
tmp_dir,
)
from zipline.testing import RecordBatchBlotter
from zipline.testing.fixtures import (
from catalyst.testing import RecordBatchBlotter
from catalyst.testing.fixtures import (
WithDataPortal,
WithLogger,
WithSimParams,
@@ -111,7 +111,7 @@ from zipline.testing.fixtures import (
WithTmpDir,
ZiplineTestCase,
)
from zipline.test_algorithms import (
from catalyst.test_algorithms import (
access_account_in_init,
access_portfolio_in_init,
AmbitiousStopLimitAlgorithm,
@@ -175,14 +175,14 @@ from zipline.test_algorithms import (
set_benchmark_algo,
no_handle_data,
)
from zipline.testing.predicates import assert_equal
from zipline.utils.api_support import ZiplineAPI, set_algo_instance
from zipline.utils.calendars import get_calendar, register_calendar
from zipline.utils.context_tricks import CallbackManager
from zipline.utils.control_flow import nullctx
import zipline.utils.events
from zipline.utils.events import date_rules, time_rules, Always
import zipline.utils.factory as factory
from catalyst.testing.predicates import assert_equal
from catalyst.utils.api_support import ZiplineAPI, set_algo_instance
from catalyst.utils.calendars import get_calendar, register_calendar
from catalyst.utils.context_tricks import CallbackManager
from catalyst.utils.control_flow import nullctx
import catalyst.utils.events
from catalyst.utils.events import date_rules, time_rules, Always
import catalyst.utils.factory as factory
# Because test cases appear to reuse some resources.
@@ -276,7 +276,7 @@ class TestMiscellaneousAPI(WithLogger,
def test_cancel_policy_outside_init(self):
code = """
from zipline.api import cancel_policy, set_cancel_policy
from catalyst.api import cancel_policy, set_cancel_policy
def initialize(algo):
pass
@@ -294,7 +294,7 @@ def handle_data(algo, data):
def test_cancel_policy_invalid_param(self):
code = """
from zipline.api import set_cancel_policy
from catalyst.api import set_cancel_policy
def initialize(algo):
set_cancel_policy("foo")
@@ -309,7 +309,7 @@ def handle_data(algo, data):
with self.assertRaises(UnsupportedCancelPolicy):
algo.run(self.data_portal)
def test_zipline_api_resolves_dynamically(self):
def test_catalyst_api_resolves_dynamically(self):
# Make a dummy algo.
algo = TradingAlgorithm(
initialize=lambda context: None,
@@ -328,11 +328,11 @@ def handle_data(algo, data):
return sentinel
setattr(algo, name, fake_method)
with ZiplineAPI(algo):
self.assertIs(sentinel, getattr(zipline.api, name)())
self.assertIs(sentinel, getattr(catalyst.api, name)())
def test_sid_datetime(self):
algo_text = """
from zipline.api import sid, get_datetime
from catalyst.api import sid, get_datetime
def initialize(context):
pass
@@ -349,7 +349,7 @@ def handle_data(context, data):
def test_datetime_bad_params(self):
algo_text = """
from zipline.api import get_datetime
from catalyst.api import get_datetime
from pytz import timezone
def initialize(context):
@@ -371,11 +371,11 @@ def handle_data(context, data):
'start': pd.Timestamp('2006-01-03 14:31:00+0000', tz='utc'),
'end': pd.Timestamp('2006-01-04 21:00:00+0000', tz='utc'),
'capital_base': 100000.0,
'platform': 'zipline'
'platform': 'catalyst'
}
def initialize(algo):
self.assertEqual('zipline', algo.get_environment())
self.assertEqual('catalyst', algo.get_environment())
self.assertEqual(expected_env, algo.get_environment('*'))
def handle_data(algo, data):
@@ -441,7 +441,7 @@ def handle_data(context, data):
# run a simulation on the CME cal, and schedule a function
# using the NYSE cal
algotext = """
from zipline.api import (
from catalyst.api import (
schedule_function, get_datetime, time_rules, date_rules, calendars,
)
@@ -496,8 +496,8 @@ def log_nyse_close(context, data):
# Test that passing an invalid calendar parameter raises an error.
erroring_algotext = dedent(
"""
from zipline.api import schedule_function
from zipline.utils.calendars import get_calendar
from catalyst.api import schedule_function
from catalyst.utils.calendars import get_calendar
def initialize(context):
schedule_function(func=my_func, calendar=get_calendar('NYSE'))
@@ -634,27 +634,27 @@ def log_nyse_close(context, data):
)
# Schedule something for NOT Always.
algo.schedule_function(nop, time_rule=zipline.utils.events.Never())
algo.schedule_function(nop, time_rule=catalyst.utils.events.Never())
event_rule = algo.event_manager._events[1].rule
self.assertIsInstance(event_rule, zipline.utils.events.OncePerDay)
self.assertIsInstance(event_rule, catalyst.utils.events.OncePerDay)
inner_rule = event_rule.rule
self.assertIsInstance(inner_rule, zipline.utils.events.ComposedRule)
self.assertIsInstance(inner_rule, catalyst.utils.events.ComposedRule)
first = inner_rule.first
second = inner_rule.second
composer = inner_rule.composer
self.assertIsInstance(first, zipline.utils.events.Always)
self.assertIsInstance(first, catalyst.utils.events.Always)
if mode == 'daily':
self.assertIsInstance(second, zipline.utils.events.Always)
self.assertIsInstance(second, catalyst.utils.events.Always)
else:
self.assertIsInstance(second, zipline.utils.events.Never)
self.assertIsInstance(second, catalyst.utils.events.Never)
self.assertIs(composer, zipline.utils.events.ComposedRule.lazy_and)
self.assertIs(composer, catalyst.utils.events.ComposedRule.lazy_and)
def test_asset_lookup(self):
algo = TradingAlgorithm(env=self.env)
@@ -877,8 +877,8 @@ class TestTransformAlgorithm(WithLogger,
])
def test_cannot_order_in_before_trading_start(self, order_method, amount):
algotext = """
from zipline.api import sid
from zipline.api import {order_func}
from catalyst.api import sid
from catalyst.api import {order_func}
def initialize(context):
context.asset = sid(133)
@@ -1016,7 +1016,7 @@ def before_trading_start(context, data):
def test_order_on_each_day_of_asset_lifetime(self):
algo_code = dedent("""
from zipline.api import sid, schedule_function, date_rules, order
from catalyst.api import sid, schedule_function, date_rules, order
def initialize(context):
schedule_function(order_it, date_rule=date_rules.every_day())
@@ -1300,7 +1300,7 @@ class TestBeforeTradingStart(WithDataPortal,
def test_data_in_bts_minute(self):
algo_code = dedent("""
from zipline.api import record, sid
from catalyst.api import record, sid
def initialize(context):
context.history_values = []
@@ -1372,7 +1372,7 @@ class TestBeforeTradingStart(WithDataPortal,
def test_data_in_bts_daily(self):
algo_code = dedent("""
from zipline.api import record, sid
from catalyst.api import record, sid
def initialize(context):
context.history_values = []
@@ -1417,7 +1417,7 @@ class TestBeforeTradingStart(WithDataPortal,
def test_portfolio_bts(self):
algo_code = dedent("""
from zipline.api import order, sid, record
from catalyst.api import order, sid, record
def initialize(context):
context.ordered = False
@@ -1456,7 +1456,7 @@ class TestBeforeTradingStart(WithDataPortal,
def test_account_bts(self):
algo_code = dedent("""
from zipline.api import order, sid, record
from catalyst.api import order, sid, record
def initialize(context):
context.ordered = False
@@ -1496,7 +1496,7 @@ class TestBeforeTradingStart(WithDataPortal,
def test_portfolio_bts_with_overnight_split(self):
algo_code = dedent("""
from zipline.api import order, sid, record
from catalyst.api import order, sid, record
def initialize(context):
context.ordered = False
context.hd_portfolio = context.portfolio
@@ -1543,7 +1543,7 @@ class TestBeforeTradingStart(WithDataPortal,
def test_account_bts_with_overnight_split(self):
algo_code = dedent("""
from zipline.api import order, sid, record
from catalyst.api import order, sid, record
def initialize(context):
context.ordered = False
context.hd_account = context.account
@@ -1696,7 +1696,7 @@ class TestAlgoScript(WithLogger,
algo.run(self.data_portal)
def test_api_get_environment(self):
platform = 'zipline'
platform = 'catalyst'
algo = TradingAlgorithm(script=api_get_environment_algo,
platform=platform,
env=self.env)
@@ -1714,7 +1714,7 @@ class TestAlgoScript(WithLogger,
# --------------
test_algo = TradingAlgorithm(
script="""
from zipline.api import (slippage,
from catalyst.api import (slippage,
commission,
set_slippage,
set_commission,
@@ -1780,7 +1780,7 @@ def handle_data(context, data):
# --------------
test_algo = TradingAlgorithm(
script="""
from zipline.api import *
from catalyst.api import *
def initialize(context):
model = slippage.VolumeShareSlippage(
@@ -1846,7 +1846,7 @@ def handle_data(context, data):
def test_incorrectly_set_futures_slippage_model(self):
code = dedent(
"""
from zipline.api import set_slippage, slippage
from catalyst.api import set_slippage, slippage
class MySlippage(slippage.FutureSlippageModel):
def process_order(self, data, order):
@@ -1905,7 +1905,7 @@ def handle_data(context, data):
def test_order_methods(self):
"""
Only test that order methods can be called without error.
Correct filling of orders is tested in zipline.
Correct filling of orders is tested in catalyst.
"""
test_algo = TradingAlgorithm(
script=call_all_order_methods,
@@ -1923,7 +1923,7 @@ def handle_data(context, data):
from collections import OrderedDict
from six import iteritems
from zipline.api import sid, order
from catalyst.api import sid, order
def initialize(context):
@@ -1951,7 +1951,7 @@ def handle_data(context, data):
script=dedent("""\
import pandas as pd
from zipline.api import sid, batch_market_order
from catalyst.api import sid, batch_market_order
def initialize(context):
@@ -1994,7 +1994,7 @@ def handle_data(context, data):
script=dedent("""\
import pandas as pd
from zipline.api import sid, batch_market_order
from catalyst.api import sid, batch_market_order
def initialize(context):
context.assets = [sid(0), sid(3)]
@@ -2030,7 +2030,7 @@ def handle_data(context, data):
# order method shouldn't blow up
test_algo = TradingAlgorithm(
script="""
from zipline.api import order, sid
from catalyst.api import order, sid
def initialize(context):
pass
@@ -2048,7 +2048,7 @@ def handle_data(context, data):
for order_str in ["order_value", "order_percent"]:
test_algo = TradingAlgorithm(
script="""
from zipline.api import order_percent, order_value, sid
from catalyst.api import order_percent, order_value, sid
def initialize(context):
pass
@@ -2273,7 +2273,7 @@ def handle_data(context, data):
)
algocode = dedent("""
from zipline.api import time_rules, schedule_function
from catalyst.api import time_rules, schedule_function
def do_at_open(context, data):
context.done_at_open.append(context.get_datetime())
@@ -2397,7 +2397,7 @@ class TestCapitalChanges(WithLogger,
}
algocode = """
from zipline.api import set_slippage, set_commission, slippage, commission, \
from catalyst.api import set_slippage, set_commission, slippage, commission, \
schedule_function, time_rules, order, sid
def initialize(context):
@@ -2557,7 +2557,7 @@ def order_stuff(context, data):
'type': change_type, 'value': val[1]} for val in values}
algocode = """
from zipline.api import set_slippage, set_commission, slippage, commission, \
from catalyst.api import set_slippage, set_commission, slippage, commission, \
schedule_function, time_rules, order, sid
def initialize(context):
@@ -2724,7 +2724,7 @@ def order_stuff(context, data):
'type': change_type, 'value': val[1]} for val in values}
algocode = """
from zipline.api import set_slippage, set_commission, slippage, commission, \
from catalyst.api import set_slippage, set_commission, slippage, commission, \
schedule_function, time_rules, order, sid
def initialize(context):
@@ -2964,7 +2964,7 @@ class TestGetDatetime(WithLogger,
algo = dedent(
"""
import pandas as pd
from zipline.api import get_datetime
from catalyst.api import get_datetime
def initialize(context):
context.tz = {tz} or 'UTC'
@@ -3637,7 +3637,7 @@ class TestFutureFlip(WithDataPortal, WithSimParams, ZiplineTestCase):
index=cls.sim_params.sessions,
)
@skip('broken in zipline 1.0.0')
@skip('broken in catalyst 1.0.0')
def test_flip_algo(self):
metadata = {1: {'symbol': 'TEST',
'start_date': self.sim_params.trading_days[0],
@@ -3708,7 +3708,7 @@ class TestFuturesAlgo(WithDataPortal, WithSimParams, ZiplineTestCase):
algo_code = dedent(
"""
from datetime import time
from zipline.api import (
from catalyst.api import (
date_rules,
get_datetime,
schedule_function,
@@ -3789,7 +3789,7 @@ class TestFuturesAlgo(WithDataPortal, WithSimParams, ZiplineTestCase):
def algo_with_slippage(slippage_model):
return dedent(
"""
from zipline.api import (
from catalyst.api import (
commission,
order,
set_commission,
@@ -3917,7 +3917,7 @@ class TestOrderCancelation(WithDataPortal,
code = dedent(
"""
from zipline.api import (
from catalyst.api import (
sid, order, set_slippage, slippage, VolumeShareSlippage,
set_cancel_policy, cancel_policy, EODCancel
)
@@ -4704,7 +4704,7 @@ class TestOrderAfterDelist(WithTradingEnvironment, ZiplineTestCase):
asset = self.asset_finder.retrieve_asset(sid)
algo_code = dedent("""
from zipline.api import (
from catalyst.api import (
sid,
order,
order_value,