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TST: Make test dates aligned with test data.

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Move dates queried near beginning of test data so that the range of data
covered does not extend beyond the beginning of the range.
i.e. the windows were covering 2016-01-25, which had no test data generated.
(Does not matter for the calendar based rolls, but is needed for volume
based rolls.)

Also, make room for having the first roll to be a day before the first auto
close by moving the first contracts auto close date back a day.

In preparation for testing volume rolls.
This commit is contained in:
Eddie Hebert
2016-10-25 10:21:23 -04:00
parent fe90cd3177
commit 3c7df3e997
1 changed files with 22 additions and 22 deletions
Download Patch File Download Diff File Expand all files Collapse all files
tests/test_continuous_futures.py
+22 -22
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@@ -46,8 +46,8 @@ class ContinuousFuturesTestCase(WithCreateBarData,
START_DATE = pd.Timestamp('2015-01-05', tz='UTC')
END_DATE = pd.Timestamp('2016-10-19', tz='UTC')
SIM_PARAMS_START = pd.Timestamp('2016-01-25', tz='UTC')
SIM_PARAMS_END = pd.Timestamp('2016-01-27', tz='UTC')
SIM_PARAMS_START = pd.Timestamp('2016-01-26', tz='UTC')
SIM_PARAMS_END = pd.Timestamp('2016-01-28', tz='UTC')
SIM_PARAMS_DATA_FREQUENCY = 'minute'
TRADING_CALENDAR_STRS = ('us_futures',)
TRADING_CALENDAR_PRIMARY_CAL = 'us_futures'
@@ -75,17 +75,17 @@ class ContinuousFuturesTestCase(WithCreateBarData,
Timestamp('2016-10-19', tz='UTC'),
Timestamp('2016-11-19', tz='UTC'),
Timestamp('2022-08-19', tz='UTC')],
'notice_date': [Timestamp('2016-01-26', tz='UTC'),
'notice_date': [Timestamp('2016-01-27', tz='UTC'),
Timestamp('2016-02-26', tz='UTC'),
Timestamp('2016-03-24', tz='UTC'),
Timestamp('2016-04-26', tz='UTC'),
Timestamp('2022-01-26', tz='UTC')],
'expiration_date': [Timestamp('2016-01-26', tz='UTC'),
'expiration_date': [Timestamp('2016-01-27', tz='UTC'),
Timestamp('2016-02-26', tz='UTC'),
Timestamp('2016-03-24', tz='UTC'),
Timestamp('2016-04-26', tz='UTC'),
Timestamp('2022-01-26', tz='UTC')],
'auto_close_date': [Timestamp('2016-01-26', tz='UTC'),
'auto_close_date': [Timestamp('2016-01-27', tz='UTC'),
Timestamp('2016-02-26', tz='UTC'),
Timestamp('2016-03-24', tz='UTC'),
Timestamp('2016-04-26', tz='UTC'),
@@ -172,13 +172,13 @@ class ContinuousFuturesTestCase(WithCreateBarData,
cf_primary = self.asset_finder.create_continuous_future(
'FO', 0, 'calendar')
bar_data = self.create_bardata(
lambda: pd.Timestamp('2016-01-25', tz='UTC'))
lambda: pd.Timestamp('2016-01-26', tz='UTC'))
contract = bar_data.current(cf_primary, 'contract')
self.assertEqual(contract.symbol, 'FOF16')
bar_data = self.create_bardata(
lambda: pd.Timestamp('2016-01-26', tz='UTC'))
lambda: pd.Timestamp('2016-01-27', tz='UTC'))
contract = bar_data.current(cf_primary, 'contract')
self.assertEqual(contract.symbol, 'FOG16',
@@ -349,20 +349,20 @@ def record_current_contract(algo, data):
'FO', 0, 'calendar')
window = self.data_portal.get_history_window(
[cf],
Timestamp('2016-03-03 18:01', tz='US/Eastern').tz_convert('UTC'),
Timestamp('2016-03-04 18:01', tz='US/Eastern').tz_convert('UTC'),
30, '1d', 'sid')
self.assertEqual(window.loc['2016-01-25', cf],
self.assertEqual(window.loc['2016-01-26', cf],
0,
"Should be FOF16 at beginning of window.")
self.assertEqual(window.loc['2016-01-26', cf],
self.assertEqual(window.loc['2016-01-27', cf],
1,
"Should be FOG16 after first roll.")
self.assertEqual(window.loc['2016-02-25', cf],
1,
"Should be FOF16 on session before roll.")
"Should be FOG16 on session before roll.")
self.assertEqual(window.loc['2016-02-26', cf],
2,
@@ -403,33 +403,33 @@ def record_current_contract(algo, data):
'FO', 0, 'calendar')
window = self.data_portal.get_history_window(
[cf.sid],
Timestamp('2016-01-25 18:01', tz='US/Eastern').tz_convert('UTC'),
Timestamp('2016-01-26 18:01', tz='US/Eastern').tz_convert('UTC'),
30, '1m', 'sid')
self.assertEqual(window.loc['2016-01-25 22:32', cf],
self.assertEqual(window.loc['2016-01-26 22:32', cf],
0,
"Should be FOF16 at beginning of window. A minute "
"which is in the 01-25 session, before the roll.")
"which is in the 01-26 session, before the roll.")
self.assertEqual(window.loc['2016-01-25 23:00', cf],
self.assertEqual(window.loc['2016-01-26 23:00', cf],
0,
"Should be FOF16 on on minute before roll minute.")
self.assertEqual(window.loc['2016-01-25 23:01', cf],
self.assertEqual(window.loc['2016-01-26 23:01', cf],
1,
"Should be FOG16 on minute after roll.")
# Advance the window a day.
window = self.data_portal.get_history_window(
[cf],
Timestamp('2016-01-26 18:01', tz='US/Eastern').tz_convert('UTC'),
Timestamp('2016-01-27 18:01', tz='US/Eastern').tz_convert('UTC'),
30, '1m', 'sid')
self.assertEqual(window.loc['2016-01-26 22:32', cf],
self.assertEqual(window.loc['2016-01-27 22:32', cf],
1,
"Should be FOG16 at beginning of window.")
self.assertEqual(window.loc['2016-01-26 23:01', cf],
self.assertEqual(window.loc['2016-01-27 23:01', cf],
1,
"Should remain FOG16 on next session.")
@@ -441,7 +441,7 @@ def record_current_contract(algo, data):
assert_almost_equal(
window.loc['2016-01-26', cf],
115011.440,
105011.440,
err_msg="At beginning of window, should be FOG16's first value.")
assert_almost_equal(
@@ -499,14 +499,14 @@ def record_current_contract(algo, data):
# a ratio of ~1.06
assert_almost_equal(
window.loc['2016-01-26', cf_mul],
122006.62,
118833.237,
err_msg="At beginning of window, should be FOG16's first value, "
"adjusted.")
# Difference of 7008.561
assert_almost_equal(
window.loc['2016-01-26', cf_add],
122020.001,
119028.562,
err_msg="At beginning of window, should be FOG16's first value, "
"adjusted.")