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Merge pull request #1337 from quantopian/margin_changes

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Capital Changes Refactoring
This commit is contained in:
Andrew Liang
2016-07-25 10:54:34 -04:00
committed by GitHub
parent 75b3dc6fe4 0955515c46
commit 2fe94d0c29
6 changed files with 152 additions and 65 deletions
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tests/test_algorithm.py
+66 -25
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@@ -2040,14 +2040,18 @@ class TestCapitalChanges(WithLogger,
index=pd.DatetimeIndex(days),
)
def test_capital_changes_daily_mode(self):
@parameterized.expand([
('target', 153000.0), ('delta', 50000.0)
])
def test_capital_changes_daily_mode(self, change_type, value):
sim_params = factory.create_simulation_parameters(
start=pd.Timestamp('2006-01-03', tz='UTC'),
end=pd.Timestamp('2006-01-09', tz='UTC')
)
capital_changes = {
pd.Timestamp('2006-01-06', tz='UTC'): 50000
pd.Timestamp('2006-01-06', tz='UTC'):
{'type': change_type, 'value': value}
}
algocode = """
@@ -2174,8 +2178,22 @@ def order_stuff(context, data):
expected_cumulative[stat]
)
@parameterized.expand([('interday',), ('intraday',)])
def test_capital_changes_minute_mode_daily_emission(self, change):
self.assertEqual(
algo.capital_change_deltas,
{pd.Timestamp('2006-01-06', tz='UTC'): 50000.0}
)
@parameterized.expand([
('interday_target', [('2006-01-04', 2388.0)]),
('interday_delta', [('2006-01-04', 1000.0)]),
('intraday_target', [('2006-01-04 17:00', 2186.0),
('2006-01-04 18:00', 2806.0)]),
('intraday_delta', [('2006-01-04 17:00', 500.0),
('2006-01-04 18:00', 500.0)]),
])
def test_capital_changes_minute_mode_daily_emission(self, change, values):
change_loc, change_type = change.split('_')
sim_params = factory.create_simulation_parameters(
start=pd.Timestamp('2006-01-03', tz='UTC'),
end=pd.Timestamp('2006-01-05', tz='UTC'),
@@ -2183,13 +2201,8 @@ def order_stuff(context, data):
capital_base=1000.0
)
if change == 'intraday':
capital_changes = {
pd.Timestamp('2006-01-04 17:00', tz='UTC'): 500.0,
pd.Timestamp('2006-01-04 18:00', tz='UTC'): 500.0,
}
else:
capital_changes = {pd.Timestamp('2006-01-04', tz='UTC'): 1000.0}
capital_changes = {pd.Timestamp(val[0], tz='UTC'): {
'type': change_type, 'value': val[1]} for val in values}
algocode = """
from zipline.api import set_slippage, set_commission, slippage, commission, \
@@ -2231,7 +2244,7 @@ def order_stuff(context, data):
0.0, 1000.0, 0.0
])
if change == 'intraday':
if change_loc == 'intraday':
# Fills at 491, +500 capital change comes at 638 (17:00) and
# 698 (18:00), ends day at 879
day2_return = (1388.0 + 149.0 + 147.0)/1388.0 * \
@@ -2268,7 +2281,7 @@ def order_stuff(context, data):
expected_daily['ending_cash'] - \
expected_daily['capital_used']
if change == 'intraday':
if change_loc == 'intraday':
# Capital changes come after day start
expected_daily['starting_cash'] -= expected_capital_changes
@@ -2313,8 +2326,29 @@ def order_stuff(context, data):
expected_cumulative[stat]
)
@parameterized.expand([('interday',), ('intraday',)])
def test_capital_changes_minute_mode_minute_emission(self, change):
if change_loc == 'interday':
self.assertEqual(
algo.capital_change_deltas,
{pd.Timestamp('2006-01-04', tz='UTC'): 1000.0}
)
else:
self.assertEqual(
algo.capital_change_deltas,
{pd.Timestamp('2006-01-04 17:00', tz='UTC'): 500.0,
pd.Timestamp('2006-01-04 18:00', tz='UTC'): 500.0}
)
@parameterized.expand([
('interday_target', [('2006-01-04', 2388.0)]),
('interday_delta', [('2006-01-04', 1000.0)]),
('intraday_target', [('2006-01-04 17:00', 2186.0),
('2006-01-04 18:00', 2806.0)]),
('intraday_delta', [('2006-01-04 17:00', 500.0),
('2006-01-04 18:00', 500.0)]),
])
def test_capital_changes_minute_mode_minute_emission(self, change, values):
change_loc, change_type = change.split('_')
sim_params = factory.create_simulation_parameters(
start=pd.Timestamp('2006-01-03', tz='UTC'),
end=pd.Timestamp('2006-01-05', tz='UTC'),
@@ -2323,13 +2357,8 @@ def order_stuff(context, data):
capital_base=1000.0
)
if change == 'intraday':
capital_changes = {
pd.Timestamp('2006-01-04 17:00', tz='UTC'): 500.0,
pd.Timestamp('2006-01-04 18:00', tz='UTC'): 500.0,
}
else:
capital_changes = {pd.Timestamp('2006-01-04', tz='UTC'): 1000.0}
capital_changes = {pd.Timestamp(val[0], tz='UTC'): {
'type': change_type, 'value': val[1]} for val in values}
algocode = """
from zipline.api import set_slippage, set_commission, slippage, commission, \
@@ -2370,7 +2399,7 @@ def order_stuff(context, data):
expected_minute = {}
capital_changes_after_start = np.array([0.0] * 1170)
if change == 'intraday':
if change_loc == 'intraday':
capital_changes_after_start[539:599] = 500.0
capital_changes_after_start[599:780] = 1000.0
@@ -2390,7 +2419,7 @@ def order_stuff(context, data):
))
# +1000 capital changes comes before the day start if interday
day2adj = 0.0 if change == 'intraday' else 1000.0
day2adj = 0.0 if change_loc == 'intraday' else 1000.0
expected_minute['starting_cash'] = np.concatenate((
[1000.0] * 390,
@@ -2429,7 +2458,7 @@ def order_stuff(context, data):
# the pnl, starting_value and starting_cash. If the change is intraday,
# the returns after the change have to be calculated from two
# subperiods
if change == 'intraday':
if change_loc == 'intraday':
# The last packet (at 1/04 16:59) before the first capital change
prev_subperiod_return = expected_minute['returns'][538]
@@ -2527,6 +2556,18 @@ def order_stuff(context, data):
expected_cumulative[stat]
)
if change_loc == 'interday':
self.assertEqual(
algo.capital_change_deltas,
{pd.Timestamp('2006-01-04', tz='UTC'): 1000.0}
)
else:
self.assertEqual(
algo.capital_change_deltas,
{pd.Timestamp('2006-01-04 17:00', tz='UTC'): 500.0,
pd.Timestamp('2006-01-04 18:00', tz='UTC'): 500.0}
)
class TestGetDatetime(WithLogger,
WithSimParams,