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ENH: Update can_trade to check exchange time

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BarData now takes the trading calendar as a parameter.

can_trade now checks if the asset’s exchange is open at the current or
next market minute (defined by the given trading calendar).
This commit is contained in:
Jean Bredeche
2016-08-31 21:22:06 -04:00
parent af75a1f67c
commit 46c0c064fe
8 changed files with 289 additions and 143 deletions
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tests/test_bar_data.py
+175 -91
View File
@@ -13,6 +13,8 @@
# See the License for the specific language governing permissions and
# limitations under the License.
from datetime import timedelta
from itertools import chain
from nose_parameterized import parameterized
import numpy as np
from numpy import nan
@@ -31,6 +33,7 @@ from zipline.testing.fixtures import (
WithDataPortal,
ZiplineTestCase,
)
from zipline.utils.calendars import get_calendar
OHLC = ["open", "high", "low", "close"]
OHLCP = OHLC + ["price"]
@@ -200,7 +203,8 @@ class TestMinuteBarData(WithBarDataChecks,
# this entire day is before either asset has started trading
for idx, minute in enumerate(minutes):
bar_data = BarData(self.data_portal, lambda: minute, "minute")
bar_data = BarData(self.data_portal, lambda: minute, "minute",
self.trading_calendar)
self.check_internal_consistency(bar_data)
self.assertFalse(bar_data.can_trade(self.ASSET1))
@@ -242,7 +246,8 @@ class TestMinuteBarData(WithBarDataChecks,
# this test covers the "IPO morning" case, because asset2 only
# has data starting on the 10th minute.
bar_data = BarData(self.data_portal, lambda: minute, "minute")
bar_data = BarData(self.data_portal, lambda: minute, "minute",
self.trading_calendar)
self.check_internal_consistency(bar_data)
asset2_has_data = (((idx + 1) % 10) == 0)
@@ -321,7 +326,8 @@ class TestMinuteBarData(WithBarDataChecks,
# this is the last day the assets exist
for idx, minute in enumerate(minutes):
bar_data = BarData(self.data_portal, lambda: minute, "minute")
bar_data = BarData(self.data_portal, lambda: minute, "minute",
self.trading_calendar)
self.assertTrue(bar_data.can_trade(self.ASSET1))
self.assertTrue(bar_data.can_trade(self.ASSET2))
@@ -339,7 +345,8 @@ class TestMinuteBarData(WithBarDataChecks,
# this entire day is after both assets have stopped trading
for idx, minute in enumerate(minutes):
bar_data = BarData(self.data_portal, lambda: minute, "minute")
bar_data = BarData(self.data_portal, lambda: minute, "minute",
self.trading_calendar)
self.assertFalse(bar_data.can_trade(self.ASSET1))
self.assertFalse(bar_data.can_trade(self.ASSET2))
@@ -381,7 +388,8 @@ class TestMinuteBarData(WithBarDataChecks,
)
for idx, minute in enumerate(minutes):
bar_data = BarData(self.data_portal, lambda: minute, "minute")
bar_data = BarData(self.data_portal, lambda: minute, "minute",
self.trading_calendar)
self.assertEqual(
idx + 1,
bar_data.current(self.SPLIT_ASSET, "price")
@@ -398,14 +406,16 @@ class TestMinuteBarData(WithBarDataChecks,
)
for idx, minute in enumerate(day0_minutes[-10:-1]):
bar_data = BarData(self.data_portal, lambda: minute, "minute")
bar_data = BarData(self.data_portal, lambda: minute, "minute",
self.trading_calendar)
self.assertEqual(
380,
bar_data.current(self.ILLIQUID_SPLIT_ASSET, "price")
)
bar_data = BarData(
self.data_portal, lambda: day0_minutes[-1], "minute"
self.data_portal, lambda: day0_minutes[-1], "minute",
self.trading_calendar
)
self.assertEqual(
@@ -414,7 +424,8 @@ class TestMinuteBarData(WithBarDataChecks,
)
for idx, minute in enumerate(day1_minutes[0:9]):
bar_data = BarData(self.data_portal, lambda: minute, "minute")
bar_data = BarData(self.data_portal, lambda: minute, "minute",
self.trading_calendar)
# should be half of 390, due to the split
self.assertEqual(
@@ -433,10 +444,12 @@ class TestMinuteBarData(WithBarDataChecks,
tz='US/Eastern'
)
bar_data = BarData(self.data_portal, lambda: day, "minute")
bar_data = BarData(self.data_portal, lambda: day, "minute",
self.trading_calendar)
bar_data2 = BarData(self.data_portal,
lambda: eight_fortyfive_am_eastern,
"minute")
"minute",
self.trading_calendar)
with handle_non_market_minutes(bar_data), \
handle_non_market_minutes(bar_data2):
@@ -464,91 +477,152 @@ class TestMinuteBarData(WithBarDataChecks,
bd.current(self.HILARIOUSLY_ILLIQUID_ASSET, "volume")
)
# FIXME temporarily commenting out until we restore the new can_trade
# functionality that checks exchange status
# def test_can_trade_during_non_market_hours(self):
# # make sure that if we use `can_trade` at midnight, we don't pretend
# # we're in the previous day's last minute
# the_day_after = self.trading_calendar.next_session_label(
# self.equity_minute_bar_days[-1]
# )
#
# bar_data = BarData(self.data_portal, lambda: the_day_after, "minute")
#
# for asset in [self.ASSET1, self.HILARIOUSLY_ILLIQUID_ASSET]:
# self.assertFalse(bar_data.can_trade(asset))
#
# with handle_non_market_minutes(bar_data):
# self.assertFalse(bar_data.can_trade(asset))
#
# # NYSE is closed at midnight, so even if the asset is alive,
# # can_trade should return False
# bar_data2 = BarData(
# self.data_portal,
# lambda: self.equity_minute_bar_days[1],
# "minute",
# )
# for asset in [self.ASSET1, self.HILARIOUSLY_ILLIQUID_ASSET]:
# self.assertFalse(bar_data2.can_trade(asset))
#
# with handle_non_market_minutes(bar_data2):
# self.assertFalse(bar_data2.can_trade(asset))
def test_can_trade_equity_same_cal_outside_lifetime(self):
cal = get_calendar(self.ASSET1.exchange)
# FIXME temporarily commenting out until we restore the new can_trade
# functionality that checks exchange status
# def test_can_trade_exchange_closed(self):
# nyse_asset = self.asset_finder.retrieve_asset(1)
# ice_asset = self.asset_finder.retrieve_asset(6)
#
# # minutes we're going to check (to verify that that the same bardata
# # can check multiple exchange calendars, all times Eastern):
# # 2016-01-05:
# # 20:00 (minute before ICE opens)
# # 20:01 (first minute of ICE session)
# # 20:02 (second minute of ICE session)
# # 00:00 (Cinderella's ride becomes a pumpkin)
# # 2016-01-06:
# # 9:30 (minute before NYSE opens)
# # 9:31 (first minute of NYSE session)
# # 9:32 (second minute of NYSE session)
# # 15:59 (second-to-last minute of NYSE session)
# # 16:00 (last minute of NYSE session)
# # 16:01 (minute after NYSE closed)
# # 17:59 (second-to-last minute of ICE session)
# # 18:00 (last minute of ICE session)
# # 18:01 (minute after ICE closed)
#
# # each row is dt, whether-nyse-is-open, whether-ice-is-open
# minutes_to_check = [
# (pd.Timestamp("2016-01-05 20:00", tz="US/Eastern"), False,
# False),
# (pd.Timestamp("2016-01-05 20:01", tz="US/Eastern"), False, True),
# (pd.Timestamp("2016-01-05 20:02", tz="US/Eastern"), False, True),
# (pd.Timestamp("2016-01-06 00:00", tz="US/Eastern"), False, True),
# (pd.Timestamp("2016-01-06 9:30", tz="US/Eastern"), False, True),
# (pd.Timestamp("2016-01-06 9:31", tz="US/Eastern"), True, True),
# (pd.Timestamp("2016-01-06 9:32", tz="US/Eastern"), True, True),
# (pd.Timestamp("2016-01-06 15:59", tz="US/Eastern"), True, True),
# (pd.Timestamp("2016-01-06 16:00", tz="US/Eastern"), True, True),
# (pd.Timestamp("2016-01-06 16:01", tz="US/Eastern"), False, True),
# (pd.Timestamp("2016-01-06 17:59", tz="US/Eastern"), False, True),
# (pd.Timestamp("2016-01-06 18:00", tz="US/Eastern"), False, True),
# (pd.Timestamp("2016-01-06 18:01", tz="US/Eastern"), False,
# False),
# ]
#
# for info in minutes_to_check:
# bar_data = BarData(self.data_portal, lambda: info[0], "minute")
# series = bar_data.can_trade([nyse_asset, ice_asset])
#
# self.assertEqual(info[1], series.loc[nyse_asset])
# self.assertEqual(info[2], series.loc[ice_asset])
# verify that can_trade returns False for the session before the
# asset's first session
session_before_asset1_start = cal.previous_session_label(
self.ASSET1.start_date
)
minutes_for_session = cal.minutes_for_session(
session_before_asset1_start
)
# for good measure, check the minute before the session too
minutes_to_check = chain(
[minutes_for_session[0] - pd.Timedelta(minutes=1)],
minutes_for_session
)
for minute in minutes_to_check:
bar_data = BarData(
self.data_portal, lambda: minute, "minute", cal
)
self.assertFalse(bar_data.can_trade(self.ASSET1))
# after asset lifetime
session_after_asset1_end = cal.next_session_label(
self.ASSET1.end_date
)
bts_after_asset1_end = session_after_asset1_end.replace(
hour=8, minute=45
).tz_convert(None).tz_localize("US/Eastern")
minutes_to_check = chain(
cal.minutes_for_session(session_after_asset1_end),
[bts_after_asset1_end]
)
for minute in minutes_to_check:
bar_data = BarData(
self.data_portal, lambda: minute, "minute", cal
)
self.assertFalse(bar_data.can_trade(self.ASSET1))
def test_can_trade_equity_same_cal_exchange_closed(self):
cal = get_calendar(self.ASSET1.exchange)
# verify that can_trade returns true for minutes that are
# outside the asset's calendar (assuming the asset is alive and
# there is a last price), because the asset is alive on the
# next market minute.
minutes = cal.minutes_for_sessions_in_range(
self.ASSET1.start_date,
self.ASSET1.end_date
)
for minute in minutes:
bar_data = BarData(
self.data_portal, lambda: minute, "minute", cal
)
self.assertTrue(bar_data.can_trade(self.ASSET1))
def test_can_trade_equity_same_cal_no_last_price(self):
# self.HILARIOUSLY_ILLIQUID_ASSET's first trade is at
# 2016-01-05 15:20:00+00:00. Make sure that can_trade returns false
# for all minutes in that session before the first trade, and true
# for all minutes afterwards.
cal = get_calendar(self.ASSET1.exchange)
minutes_in_session = cal.minutes_for_session(self.ASSET1.start_date)
for minute in minutes_in_session[0:49]:
bar_data = BarData(
self.data_portal, lambda: minute, "minute", cal
)
self.assertFalse(bar_data.can_trade(
self.HILARIOUSLY_ILLIQUID_ASSET)
)
for minute in minutes_in_session[50:]:
bar_data = BarData(
self.data_portal, lambda: minute, "minute", cal
)
self.assertTrue(bar_data.can_trade(
self.HILARIOUSLY_ILLIQUID_ASSET)
)
def test_can_trade_multiple_exchange_closed(self):
nyse_asset = self.asset_finder.retrieve_asset(1)
ice_asset = self.asset_finder.retrieve_asset(6)
# minutes we're going to check (to verify that that the same bardata
# can check multiple exchange calendars, all times Eastern):
# 2016-01-05:
# 20:00 (minute before ICE opens)
# 20:01 (first minute of ICE session)
# 20:02 (second minute of ICE session)
# 00:00 (Cinderella's ride becomes a pumpkin)
# 2016-01-06:
# 9:30 (minute before NYSE opens)
# 9:31 (first minute of NYSE session)
# 9:32 (second minute of NYSE session)
# 15:59 (second-to-last minute of NYSE session)
# 16:00 (last minute of NYSE session)
# 16:01 (minute after NYSE closed)
# 17:59 (second-to-last minute of ICE session)
# 18:00 (last minute of ICE session)
# 18:01 (minute after ICE closed)
# each row is dt, whether-nyse-is-open, whether-ice-is-open
minutes_to_check = [
(pd.Timestamp("2016-01-05 20:00", tz="US/Eastern"), False, False),
(pd.Timestamp("2016-01-05 20:01", tz="US/Eastern"), False, True),
(pd.Timestamp("2016-01-05 20:02", tz="US/Eastern"), False, True),
(pd.Timestamp("2016-01-06 00:00", tz="US/Eastern"), False, True),
(pd.Timestamp("2016-01-06 9:30", tz="US/Eastern"), False, True),
(pd.Timestamp("2016-01-06 9:31", tz="US/Eastern"), True, True),
(pd.Timestamp("2016-01-06 9:32", tz="US/Eastern"), True, True),
(pd.Timestamp("2016-01-06 15:59", tz="US/Eastern"), True, True),
(pd.Timestamp("2016-01-06 16:00", tz="US/Eastern"), True, True),
(pd.Timestamp("2016-01-06 16:01", tz="US/Eastern"), False, True),
(pd.Timestamp("2016-01-06 17:59", tz="US/Eastern"), False, True),
(pd.Timestamp("2016-01-06 18:00", tz="US/Eastern"), False, True),
(pd.Timestamp("2016-01-06 18:01", tz="US/Eastern"), False, False),
]
for info in minutes_to_check:
# use the CME calendar, which covers 24 hours
bar_data = BarData(self.data_portal, lambda: info[0], "minute",
trading_calendar=get_calendar("CME"))
series = bar_data.can_trade([nyse_asset, ice_asset])
self.assertEqual(info[1], series.loc[nyse_asset])
self.assertEqual(info[2], series.loc[ice_asset])
def test_is_stale_during_non_market_hours(self):
bar_data = BarData(
self.data_portal,
lambda: self.equity_minute_bar_days[1],
"minute",
self.trading_calendar
)
with handle_non_market_minutes(bar_data):
@@ -578,7 +652,8 @@ class TestMinuteBarData(WithBarDataChecks,
bar_data = BarData(self.data_portal,
lambda: eight_fortyfive_am_eastern,
"minute")
"minute",
self.trading_calendar)
expected = {
'open': 391 / 2.0,
@@ -743,7 +818,8 @@ class TestDailyBarData(WithBarDataChecks,
)
)
bar_data = BarData(self.data_portal, lambda: minute, "daily")
bar_data = BarData(self.data_portal, lambda: minute, "daily",
self.trading_calendar)
self.check_internal_consistency(bar_data)
self.assertFalse(bar_data.can_trade(self.ASSET1))
@@ -771,6 +847,7 @@ class TestDailyBarData(WithBarDataChecks,
self.equity_daily_bar_days[0]
),
"daily",
self.trading_calendar
)
self.check_internal_consistency(bar_data)
@@ -808,6 +885,7 @@ class TestDailyBarData(WithBarDataChecks,
self.equity_daily_bar_days[1]
),
"daily",
self.trading_calendar
)
self.check_internal_consistency(bar_data)
@@ -834,6 +912,7 @@ class TestDailyBarData(WithBarDataChecks,
self.equity_daily_bar_days[-1]
),
"daily",
self.trading_calendar
)
self.check_internal_consistency(bar_data)
@@ -862,7 +941,8 @@ class TestDailyBarData(WithBarDataChecks,
def test_after_assets_dead(self):
session = self.END_DATE
bar_data = BarData(self.data_portal, lambda: session, "daily")
bar_data = BarData(self.data_portal, lambda: session, "daily",
self.trading_calendar)
self.check_internal_consistency(bar_data)
for asset in self.ASSETS:
@@ -916,6 +996,7 @@ class TestDailyBarData(WithBarDataChecks,
self.data_portal,
lambda: self.equity_daily_bar_days[0],
"daily",
self.trading_calendar
)
self.assertEqual(
liquid_day_0_price,
@@ -925,6 +1006,7 @@ class TestDailyBarData(WithBarDataChecks,
self.data_portal,
lambda: self.equity_daily_bar_days[1],
"daily",
self.trading_calendar
)
self.assertEqual(
liquid_day_1_price,
@@ -937,6 +1019,7 @@ class TestDailyBarData(WithBarDataChecks,
self.data_portal,
lambda: self.equity_daily_bar_days[1],
"daily",
self.trading_calendar
)
self.assertEqual(
illiquid_day_0_price, bar_data.current(illiquid_asset, "price")
@@ -946,6 +1029,7 @@ class TestDailyBarData(WithBarDataChecks,
self.data_portal,
lambda: self.equity_daily_bar_days[2],
"daily",
self.trading_calendar
)
# 3 (price from previous day) * 0.5 (split ratio)