mirror of
https://github.com/wassname/catalyst.git
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Cleaned up OOP, first round.
This commit is contained in:
Stephen Diehl
+144
-149
@@ -5,21 +5,17 @@ import datetime
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import pytz
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import zipline.utils.factory as factory
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import zipline.test_algorithms
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#import zipline.util as qutil
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import zipline.finance.performance as perf
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import zipline.finance.risk as risk
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import zipline.protocol as zp
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from zipline.finance.trading import TradeSimulationClient, TradingEnvironment, \
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SIMULATION_STYLE
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from zipline.finance.trading import TradingEnvironment
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class PerformanceTestCase(unittest.TestCase):
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def setUp(self):
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#qutil.configure_logging()
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self.benchmark_returns, self.treasury_curves = \
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factory.load_market_data()
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random_index = random.randint(
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0,
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len(self.treasury_curves)
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@@ -27,32 +23,32 @@ class PerformanceTestCase(unittest.TestCase):
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for n in range(100):
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self.dt = self.treasury_curves.keys()[random_index]
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self.end_dt = self.dt + datetime.timedelta(days=365)
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now = datetime.datetime.utcnow().replace(tzinfo=pytz.utc)
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if self.end_dt <= now:
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break
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self.trading_environment = TradingEnvironment(
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self.benchmark_returns,
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self.benchmark_returns,
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self.treasury_curves,
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period_start = self.dt,
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period_end = self.end_dt
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)
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self.onesec = datetime.timedelta(seconds=1)
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self.oneday = datetime.timedelta(days=1)
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self.tradingday = datetime.timedelta(hours=6, minutes=30)
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self.dt = self.trading_environment.trading_days[random_index]
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def tearDown(self):
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pass
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def test_long_position(self):
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"""
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verify that the performance period calculates properly for a
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verify that the performance period calculates properly for a
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single buy transaction
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"""
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#post some trades in the market
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@@ -63,30 +59,30 @@ class PerformanceTestCase(unittest.TestCase):
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self.onesec,
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self.trading_environment
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)
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txn = factory.create_txn(1,10.0,100,self.dt + self.onesec)
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pp = perf.PerformancePeriod({}, 0.0, 1000.0)
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pp.execute_transaction(txn)
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for trade in trades:
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pp.update_last_sale(trade)
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pp.calculate_performance()
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self.assertEqual(
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pp.period_capital_used,
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-1 * txn.price * txn.amount,
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"capital used should be equal to the opposite of the transaction \
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cost of sole txn in test"
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)
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self.assertEqual(len(pp.positions),1,"should be just one position")
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self.assertEqual(
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pp.positions[1].sid,
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txn.sid,
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txn.sid,
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"position should be in security with id 1")
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self.assertEqual(
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pp.positions[1].amount,
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txn.amount,
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@@ -94,13 +90,13 @@ class PerformanceTestCase(unittest.TestCase):
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sharecount=txn.amount
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)
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)
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self.assertEqual(
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pp.positions[1].cost_basis,
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txn.price,
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"should have a cost basis of 10"
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)
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self.assertEqual(
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pp.positions[1].last_sale_price,
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trades[-1]['price'],
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@@ -110,16 +106,16 @@ class PerformanceTestCase(unittest.TestCase):
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act=pp.positions[1].last_sale_price
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)
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)
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self.assertEqual(
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pp.ending_value,
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1100,
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"ending value should be price of last trade times number of \
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shares in position"
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)
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self.assertEqual(pp.pnl, 100, "gain of 1 on 100 shares should be 100")
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def test_short_position(self):
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"""verify that the performance period calculates properly for a \
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single short-sale transaction"""
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@@ -130,148 +126,148 @@ single short-sale transaction"""
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self.onesec,
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self.trading_environment
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)
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trades_1 = trades[:-2]
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txn = factory.create_txn(1, 10.0, -100, self.dt + self.onesec)
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pp = perf.PerformancePeriod({}, 0.0, 1000.0)
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pp.execute_transaction(txn)
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for trade in trades_1:
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pp.update_last_sale(trade)
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pp.calculate_performance()
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self.assertEqual(
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pp.period_capital_used,
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-1 * txn.price * txn.amount,
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"capital used should be equal to the opposite of the transaction\
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cost of sole txn in test"
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)
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self.assertEqual(
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len(pp.positions),
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1,
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"should be just one position")
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self.assertEqual(
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pp.positions[1].sid,
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txn.sid,
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txn.sid,
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"position should be in security from the transaction"
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)
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self.assertEqual(
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pp.positions[1].amount,
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-100,
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"should have a position of -100 shares"
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)
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self.assertEqual(
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pp.positions[1].cost_basis,
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txn.price,
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"should have a cost basis of 10"
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)
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self.assertEqual(
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pp.positions[1].last_sale_price,
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trades_1[-1]['price'],
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"last sale should be price of last trade"
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)
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self.assertEqual(
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pp.ending_value,
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-1100,
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"ending value should be price of last trade times number of \
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shares in position"
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)
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self.assertEqual(pp.pnl,-100,"gain of 1 on 100 shares should be 100")
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# simulate additional trades, and ensure that the position value
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# simulate additional trades, and ensure that the position value
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# reflects the new price
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trades_2 = trades[-2:]
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#simulate a rollover to a new period
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pp2 = perf.PerformancePeriod(
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pp.positions,
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pp.ending_value,
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pp.positions,
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pp.ending_value,
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pp.ending_cash
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)
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for trade in trades_2:
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pp2.update_last_sale(trade)
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pp2.calculate_performance()
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self.assertEqual(
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pp2.period_capital_used,
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0,
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"capital used should be zero, there were no transactions in \
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performance period"
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)
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self.assertEqual(
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len(pp2.positions),
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1,
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"should be just one position"
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)
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self.assertEqual(
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pp2.positions[1].sid,
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txn.sid,
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txn.sid,
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"position should be in security from the transaction"
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)
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self.assertEqual(
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pp2.positions[1].amount,
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-100,
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"should have a position of -100 shares"
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)
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self.assertEqual(
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pp2.positions[1].cost_basis,
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txn.price,
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"should have a cost basis of 10"
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)
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self.assertEqual(
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pp2.positions[1].last_sale_price,
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trades_2[-1].price,
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"last sale should be price of last trade"
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)
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self.assertEqual(
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pp2.ending_value,
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-900,
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"ending value should be price of last trade times number of \
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shares in position")
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self.assertEqual(
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pp2.pnl,
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200,
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"drop of 2 on -100 shares should be 200"
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)
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#now run a performance period encompassing the entire trade sample.
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ppTotal = perf.PerformancePeriod({}, 0.0, 1000.0)
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for trade in trades_1:
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ppTotal.update_last_sale(trade)
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ppTotal.execute_transaction(txn)
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for trade in trades_2:
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ppTotal.update_last_sale(trade)
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ppTotal.calculate_performance()
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self.assertEqual(
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ppTotal.period_capital_used,
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-1 * txn.price * txn.amount,
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"capital used should be equal to the opposite of the transaction \
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cost of sole txn in test"
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)
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self.assertEqual(
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len(ppTotal.positions),
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1,
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@@ -279,44 +275,44 @@ cost of sole txn in test"
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)
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self.assertEqual(
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ppTotal.positions[1].sid,
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txn.sid,
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txn.sid,
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"position should be in security from the transaction"
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)
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self.assertEqual(
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ppTotal.positions[1].amount,
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-100,
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"should have a position of -100 shares"
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)
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self.assertEqual(
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ppTotal.positions[1].cost_basis,
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txn.price,
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"should have a cost basis of 10"
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)
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self.assertEqual(
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ppTotal.positions[1].last_sale_price,
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trades_2[-1].price,
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"last sale should be price of last trade"
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)
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self.assertEqual(
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ppTotal.ending_value,
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-900,
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"ending value should be price of last trade times number of \
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shares in position")
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self.assertEqual(
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ppTotal.pnl,
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100,
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"drop of 1 on -100 shares should be 100"
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)
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def test_covering_short(self):
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"""verify performance where short is bought and covered, and shares \
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trade after cover"""
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trades = factory.create_trade_history(
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1,
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[10,10,10,11,9,8,7,8,9,10],
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@@ -324,104 +320,104 @@ trade after cover"""
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self.onesec,
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self.trading_environment
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)
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short_txn = factory.create_txn(
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1,
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10.0,
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-100,
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self.dt + self.onesec
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)
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cover_txn = factory.create_txn(1,7.0,100,self.dt + self.onesec * 6)
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pp = perf.PerformancePeriod({}, 0.0, 1000.0)
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pp.execute_transaction(short_txn)
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pp.execute_transaction(cover_txn)
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for trade in trades:
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pp.update_last_sale(trade)
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pp.calculate_performance()
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short_txn_cost = short_txn.price * short_txn.amount
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cover_txn_cost = cover_txn.price * cover_txn.amount
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self.assertEqual(
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pp.period_capital_used,
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-1 * short_txn_cost - cover_txn_cost,
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"capital used should be equal to the net transaction costs"
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)
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self.assertEqual(
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len(pp.positions),
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1,
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"should be just one position"
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)
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self.assertEqual(
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pp.positions[1].sid,
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short_txn.sid,
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short_txn.sid,
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"position should be in security from the transaction"
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)
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self.assertEqual(
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pp.positions[1].amount,
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0,
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"should have a position of -100 shares"
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)
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self.assertEqual(
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pp.positions[1].cost_basis,
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0,
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"a covered position should have a cost basis of 0"
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)
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self.assertEqual(
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pp.positions[1].last_sale_price,
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trades[-1].price,
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"last sale should be price of last trade"
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)
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self.assertEqual(
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pp.ending_value,
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0,
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"ending value should be price of last trade times number of \
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shares in position"
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)
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self.assertEqual(
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pp.pnl,
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pp.pnl,
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300,
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"gain of 1 on 100 shares should be 300"
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)
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def test_cost_basis_calc(self):
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trades = factory.create_trade_history(
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1,
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[10,11,11,12],
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[100,100,100,100],
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1,
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[10,11,11,12],
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[100,100,100,100],
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self.onesec,
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self.trading_environment
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)
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transactions = factory.create_txn_history(
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1,
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[10,11,11,12],
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[100,100,100,100],
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1,
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[10,11,11,12],
|
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[100,100,100,100],
|
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self.onesec,
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self.trading_environment
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)
|
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|
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|
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pp = perf.PerformancePeriod({}, 0.0, 1000.0)
|
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|
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|
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for txn in transactions:
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pp.execute_transaction(txn)
|
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|
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|
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for trade in trades:
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pp.update_last_sale(trade)
|
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|
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pp.update_last_sale(trade)
|
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|
||||
pp.calculate_performance()
|
||||
|
||||
|
||||
self.assertEqual(
|
||||
pp.positions[1].last_sale_price,
|
||||
trades[-1].price,
|
||||
@@ -429,72 +425,72 @@ shares in position"
|
||||
val=pp.positions[1].last_sale_price
|
||||
)
|
||||
)
|
||||
|
||||
|
||||
self.assertEqual(
|
||||
pp.positions[1].cost_basis,
|
||||
11,
|
||||
"should have a cost basis of 11"
|
||||
)
|
||||
|
||||
|
||||
self.assertEqual(
|
||||
pp.pnl,
|
||||
pp.pnl,
|
||||
400
|
||||
)
|
||||
|
||||
|
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saleTxn = factory.create_txn(
|
||||
1,
|
||||
10.0,
|
||||
-100,
|
||||
self.dt + self.onesec * 4)
|
||||
|
||||
|
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down_tick = factory.create_trade(
|
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1,
|
||||
10.0,
|
||||
100,
|
||||
trades[-1].dt + self.onesec)
|
||||
|
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pp2 = perf.PerformancePeriod(
|
||||
copy.deepcopy(pp.positions),
|
||||
pp.ending_value,
|
||||
|
||||
pp2 = perf.PerformancePeriod(
|
||||
copy.deepcopy(pp.positions),
|
||||
pp.ending_value,
|
||||
pp.ending_cash
|
||||
)
|
||||
|
||||
|
||||
pp2.execute_transaction(saleTxn)
|
||||
pp2.update_last_sale(down_tick)
|
||||
|
||||
pp2.calculate_performance()
|
||||
|
||||
pp2.calculate_performance()
|
||||
self.assertEqual(
|
||||
pp2.positions[1].last_sale_price,
|
||||
10,
|
||||
"should have a last sale of 10, was {val}".format(val=pp2.positions[1].last_sale_price)
|
||||
)
|
||||
|
||||
|
||||
self.assertEqual(
|
||||
round(pp2.positions[1].cost_basis,2),
|
||||
11.33,
|
||||
"should have a cost basis of 11.33"
|
||||
)
|
||||
|
||||
|
||||
#print "second period pnl is {pnl}".format(pnl=pp2.pnl)
|
||||
self.assertEqual(pp2.pnl, -800, "this period goes from +400 to -400")
|
||||
|
||||
|
||||
pp3 = perf.PerformancePeriod({}, 0.0, 1000.0)
|
||||
|
||||
|
||||
transactions.append(saleTxn)
|
||||
for txn in transactions:
|
||||
pp3.execute_transaction(txn)
|
||||
|
||||
|
||||
trades.append(down_tick)
|
||||
for trade in trades:
|
||||
pp3.update_last_sale(trade)
|
||||
|
||||
|
||||
pp3.calculate_performance()
|
||||
self.assertEqual(
|
||||
pp3.positions[1].last_sale_price,
|
||||
10,
|
||||
"should have a last sale of 10"
|
||||
)
|
||||
|
||||
|
||||
self.assertEqual(
|
||||
round(pp3.positions[1].cost_basis,2),
|
||||
11.33,
|
||||
@@ -502,47 +498,47 @@ shares in position"
|
||||
)
|
||||
|
||||
self.assertEqual(
|
||||
pp3.pnl,
|
||||
-400,
|
||||
pp3.pnl,
|
||||
-400,
|
||||
"should be -400 for all trades and transactions in period"
|
||||
)
|
||||
|
||||
def test_tracker(self):
|
||||
|
||||
|
||||
trade_count = 100
|
||||
sid = 133
|
||||
price = 10.1
|
||||
price = 10.1
|
||||
price_list = [price] * trade_count
|
||||
volume = [100] * trade_count
|
||||
trade_time_increment = datetime.timedelta(days=1)
|
||||
trade_history = factory.create_trade_history(
|
||||
sid,
|
||||
price_list,
|
||||
volume,
|
||||
trade_time_increment,
|
||||
self.trading_environment
|
||||
trade_history = factory.create_trade_history(
|
||||
sid,
|
||||
price_list,
|
||||
volume,
|
||||
trade_time_increment,
|
||||
self.trading_environment
|
||||
)
|
||||
|
||||
|
||||
sid2 = 134
|
||||
price2 = 12.12
|
||||
price2_list = [price2] * trade_count
|
||||
trade_history2 = factory.create_trade_history(
|
||||
sid2,
|
||||
price2_list,
|
||||
volume,
|
||||
trade_time_increment,
|
||||
self.trading_environment
|
||||
price2_list = [price2] * trade_count
|
||||
trade_history2 = factory.create_trade_history(
|
||||
sid2,
|
||||
price2_list,
|
||||
volume,
|
||||
trade_time_increment,
|
||||
self.trading_environment
|
||||
)
|
||||
|
||||
|
||||
trade_history.extend(trade_history2)
|
||||
|
||||
|
||||
self.trading_environment.period_start = trade_history[0].dt
|
||||
self.trading_environment.period_end = trade_history[-1].dt
|
||||
self.trading_environment.capital_base = 1000.0
|
||||
self.trading_environment.frame_index = ['sid', 'volume', 'dt', \
|
||||
'price', 'changed']
|
||||
perf_tracker = perf.PerformanceTracker(self.trading_environment)
|
||||
|
||||
|
||||
for event in trade_history:
|
||||
#create a transaction for all but
|
||||
#first trade in each sid, to simulate None transaction
|
||||
@@ -556,14 +552,13 @@ shares in position"
|
||||
})
|
||||
else:
|
||||
txn = None
|
||||
event[zp.TRANSFORM_TYPE.TRANSACTION] = txn
|
||||
event[zp.TRANSFORM_TYPE.TRANSACTION] = txn
|
||||
perf_tracker.process_event(event)
|
||||
|
||||
|
||||
#we skip two trades, to test case of None transaction
|
||||
txn_count = len(trade_history) - 2
|
||||
self.assertEqual(perf_tracker.txn_count, txn_count)
|
||||
|
||||
|
||||
cumulative_pos = perf_tracker.cumulative_performance.positions[sid]
|
||||
expected_size = txn_count / 2 * -25
|
||||
self.assertEqual(cumulative_pos.amount, expected_size)
|
||||
|
||||
|
||||
Reference in New Issue
Block a user