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Merge pull request #846 from grundgruen/data_test

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TST: tests removing of expired data and removes ffill in DataPanelSource
This commit is contained in:
Joe Jevnik
2016-01-19 13:05:15 -05:00
parent 0dac2e056f ef323a3165
commit 3b76981270
7 changed files with 92 additions and 13 deletions
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tests/test_algorithm.py
+41
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@@ -60,6 +60,7 @@ from zipline.test_algorithms import (
TestTargetAlgorithm,
TestTargetPercentAlgorithm,
TestTargetValueAlgorithm,
TestRemoveDataAlgo,
SetLongOnlyAlgorithm,
SetAssetDateBoundsAlgorithm,
SetMaxPositionSizeAlgorithm,
@@ -1977,3 +1978,43 @@ class TestTradingAlgorithm(TestCase):
analyze=analyze)
results = algo.run(self.panel)
self.assertIs(results, self.perf_ref)
class TestRemoveData(TestCase):
"""
tests if futures data is removed after expiry
"""
def setUp(self):
dt = pd.Timestamp('2015-01-02', tz='UTC')
env = TradingEnvironment()
ix = env.trading_days.get_loc(dt)
metadata = {0: {'symbol': 'X',
'expiration_date': env.trading_days[ix + 5],
'end_date': env.trading_days[ix + 6]},
1: {'symbol': 'Y',
'expiration_date': env.trading_days[ix + 7],
'end_date': env.trading_days[ix + 8]}}
env.write_data(futures_data=metadata)
index_x = env.trading_days[ix:ix + 5]
data_x = pd.DataFrame([[1, 100], [2, 100], [3, 100], [4, 100],
[5, 100]],
index=index_x, columns=['price', 'volume'])
index_y = env.trading_days[ix:ix + 5].shift(2)
data_y = pd.DataFrame([[6, 100], [7, 100], [8, 100], [9, 100],
[10, 100]],
index=index_y, columns=['price', 'volume'])
pan = pd.Panel({0: data_x, 1: data_y})
self.source = DataPanelSource(pan)
self.algo = TestRemoveDataAlgo(env=env)
def test_remove_data(self):
self.algo.run(self.source)
expected_lengths = [1, 1, 2, 2, 2, 2, 1]
# initially only data for X should be sent and on the last day only
# data for Y should be sent since X is expired
np.testing.assert_array_equal(self.algo.data, expected_lengths)