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Refactoring of TradingEnvironment to isolate the global state: index symbol and exchange timezone. Parameters that define the simulation (start, end, and capital base) were put in a new class, SimulationParameters.

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Global state for the financial simulation environment is accessed through the
zipline.finance.trading module, which now contains a module variable:
environment.

Parameters are passed into an algorithm as a keyword argument, sim_params.
SimulationParameters creates a trading day index for the test period that
can be used to find trading days, calculate distance between trading days,
and other common operations. The sim params index is just selected from the
global state.

================

Details:

    - adding delorean to the requirements.
    - made index symbol a parameter for loading the benchmark data. changed
    messagepack storage to be symbol specific.
    - ported risk, performance, algorithm, transforms, batch transforms
    and associated tests to use simulation parameters and global environment
    - factory and sim factory use global state and sim params
    - factory method parameter names now reflect the class expected
This commit is contained in:
fawce
2013-02-18 10:24:32 -05:00
committed by Eddie Hebert
parent 8f37b794e5
commit 2c7355a0dc
23 changed files with 576 additions and 475 deletions
Download Patch File Download Diff File Expand all files Collapse all files
tests/test_transforms.py
+18 -9
View File
@@ -61,6 +61,8 @@ class NoopEventWindow(EventWindow):
class TestEventWindow(TestCase):
def setUp(self):
self.sim_params = factory.create_simulation_parameters()
setup_logger(self)
self.monday = datetime(2012, 7, 9, 16, tzinfo=pytz.utc)
@@ -126,7 +128,7 @@ class TestEventWindow(TestCase):
class TestFinanceTransforms(TestCase):
def setUp(self):
self.trading_environment = factory.create_trading_environment()
self.sim_params = factory.create_simulation_parameters()
setup_logger(self)
trade_history = factory.create_trade_history(
@@ -134,7 +136,7 @@ class TestFinanceTransforms(TestCase):
[10.0, 10.0, 11.0, 11.0],
[100, 100, 100, 300],
timedelta(days=1),
self.trading_environment
self.sim_params
)
self.source = SpecificEquityTrades(event_list=trade_history)
@@ -142,7 +144,6 @@ class TestFinanceTransforms(TestCase):
self.log_handler.pop_application()
def test_vwap(self):
vwap = MovingVWAP(
market_aware=True,
window_length=2
@@ -186,7 +187,7 @@ class TestFinanceTransforms(TestCase):
[10.0, 15.0, 13.0, 12.0, 13.0],
[100, 100, 100, 300, 100],
timedelta(days=1),
self.trading_environment
self.sim_params
)
self.source = SpecificEquityTrades(event_list=trade_history)
@@ -247,7 +248,7 @@ class TestFinanceTransforms(TestCase):
[10.0, 15.0, 13.0, 12.0],
[100, 100, 100, 100],
timedelta(days=1),
self.trading_environment
self.sim_params
)
stddev = MovingStandardDev(
@@ -283,8 +284,13 @@ class TestFinanceTransforms(TestCase):
class TestBatchTransform(TestCase):
def setUp(self):
self.sim_params = factory.create_simulation_parameters(
start=datetime(1990, 1, 1, tzinfo=pytz.utc),
end=datetime(1990, 1, 8, tzinfo=pytz.utc)
)
setup_logger(self)
self.source, self.df = factory.create_test_df_source()
self.source, self.df = \
factory.create_test_df_source(self.sim_params)
def test_event_window(self):
algo = BatchTransformAlgorithm()
@@ -361,12 +367,15 @@ class TestBatchTransform(TestCase):
self.assertEqual(
algo.history_return_args,
[
# 1990-01-01 - market holiday, no event
# 1990-01-02 - window not full
None,
# 1990-01-03 - window not full
None,
# 1990-01-04 - window not full
None,
# 1990-01-05 - window not full, 3rd event
# 1990-01-04 - window not full, 3rd event
None,
# 1990-01-05 - window now full
expected_item,
# 1990-01-08 - window now full
expected_item
])