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Reverting changes MovingStandardDevWindow.

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Though the addition of tracking mulitple values in the window
is powerful, the changes broke behavior of existing algorithms
by changing method signatures and names.

So temporarily reverting these changes, to be pulled back in when
a way to have the multiple fields tracked with the existing API
is written, or a cutover of the API is figured out and determined.
This commit is contained in:
Eddie Hebert
2013-01-21 00:12:33 -05:00
parent 9e31d83084
commit 39f44a44f8
2 changed files with 39 additions and 117 deletions
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tests/test_transforms.py
+14 -27
View File
@@ -273,57 +273,44 @@ class TestFinanceTransforms(TestCase):
assert tnfm_volumes == expected_volumes
def test_moving_stddev(self):
stddev = MovingStandardDev(
fields=['price', 'volume'],
market_aware=False,
delta=timedelta(days=3),
)
trade_history = factory.create_trade_history(
133,
[10.0, 15.0, 13.0, 12.0],
[100, 200, 100, 200],
timedelta(days=1),
[100, 100, 100, 100],
timedelta(hours=1),
self.trading_environment
)
stddev = MovingStandardDev(
market_aware=False,
delta=timedelta(minutes=150),
)
self.source = SpecificEquityTrades(event_list=trade_history)
transformed = list(stddev.transform(self.source))
# Output values
tnfm_prices = [message.tnfm_value.price for message in transformed]
tnfm_volumes = [message.tnfm_value.volume for message in transformed]
expected_prices = [
vals = [message.tnfm_value for message in transformed]
expected = [
None,
np.std([10.0, 15.0], ddof=1),
np.std([10.0, 15.0, 13.0], ddof=1),
np.std([15.0, 13.0, 12.0], ddof=1),
]
expected_volumes = [
None,
np.std([100, 200], ddof=1),
np.std([100, 200, 100], ddof=1),
np.std([200, 100, 200], ddof=1),
]
# np has odd rounding behavior, cf.
# http://docs.scipy.org/doc/np/reference/generated/np.std.html
for v1, v2 in zip(vals, expected):
for v1, v2 in zip(tnfm_prices, expected_prices):
if v1 is None:
assert v2 is None
continue
self.assertAlmostEqual(v1, v2)
assert round(v1, 5) == round(v2, 5)
for v1, v2 in zip(tnfm_volumes, expected_volumes):
if v1 is None:
assert v2 is None
continue
self.assertAlmostEqual(v1, v2)
############################################################
# Test BatchTransform
class TestBatchTransform(TestCase):
def setUp(self):
setup_logger(self)