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restricted list trading control added.

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This commit is contained in:
fawce
2015-02-05 13:56:45 -05:00
parent 4255016747
commit 52f78fcbc7
4 changed files with 61 additions and 0 deletions
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tests/test_algorithm.py
+22
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@@ -55,6 +55,7 @@ from zipline.test_algorithms import (
SetMaxPositionSizeAlgorithm,
SetMaxOrderCountAlgorithm,
SetMaxOrderSizeAlgorithm,
SetDoNotOrderListAlgorithm,
api_algo,
api_get_environment_algo,
api_symbol_algo,
@@ -955,6 +956,27 @@ class TestTradingControls(TestCase):
algo = SetMaxPositionSizeAlgorithm(max_shares=10, max_notional=61.0)
self.check_algo_fails(algo, handle_data, 0)
def test_set_do_not_order_list(self):
# set the restricted list to be the sid, and fail.
algo = SetDoNotOrderListAlgorithm(sid=self.sid,
restricted_list=[self.sid])
def handle_data(algo, data):
algo.order(self.sid, 100)
algo.order_count += 1
self.check_algo_fails(algo, handle_data, 0)
# set the restricted list to exclude the sid, and succeed
algo = SetDoNotOrderListAlgorithm(sid=self.sid,
restricted_list=[134, 135, 136])
def handle_data(algo, data):
algo.order(self.sid, 100)
algo.order_count += 1
self.check_algo_succeeds(algo, handle_data)
def test_set_max_order_size(self):
# Buy one share.