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TST: adds future flip test

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warren-oneill
2015-10-30 10:07:46 -04:00
committed by jfkirk
parent cb29f39688
commit 3f66e6c66a
2 changed files with 60 additions and 0 deletions
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zipline/test_algorithms.py
+10
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@@ -442,6 +442,16 @@ class TestTargetValueAlgorithm(TradingAlgorithm):
20 / (data[0].price * self.sid(0).contract_multiplier))
class FutureFlipAlgo(TestAlgorithm):
def handle_data(self, data):
if len(self.portfolio.positions) > 0:
if self.portfolio.positions[self.asset.sid]["amount"] > 0:
self.order_target(self.asset, -self.amount)
else:
self.order_target(self.asset, 0)
else:
self.order_target(self.asset, self.amount)
############################
# AccountControl Test Algos#
############################