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https://github.com/wassname/catalyst.git
synced 2026-06-28 22:02:05 +08:00
Attempt to fix protocol assertion error.
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+40
-23
@@ -5,23 +5,28 @@ import datetime
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import random
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import pytz
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import zipline.util as qutil
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import zipline.messaging as zm
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import zipline.protocol as zp
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class TradeDataSource(zm.DataSource):
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def send(self, event):
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""" :param dict event: is a trade event with data as per :py:func: `zipline.protocol.TRADE_FRAME`
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:rtype: None
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"""
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:param dict event: is a trade event with data as per
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:py:func: `zipline.protocol.TRADE_FRAME`
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:rtype: None
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"""
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event.source_id = self.get_id
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message = zp.DATASOURCE_FRAME(event)
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self.data_socket.send(message)
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class RandomEquityTrades(TradeDataSource):
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"""Generates a random stream of trades for testing."""
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"""
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Generates a random stream of trades for testing.
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"""
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def __init__(self, sid, source_id, count):
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zm.DataSource.__init__(self, source_id)
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self.count = count
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@@ -30,32 +35,44 @@ class RandomEquityTrades(TradeDataSource):
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self.trade_start = datetime.datetime.now().replace(tzinfo=pytz.utc)
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self.minute = datetime.timedelta(minutes=1)
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self.price = random.uniform(5.0, 50.0)
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def get_type(self):
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return 'EQUITY_TRADE'
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zp.COMPONENT_TYPE.SOURCE
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def do_work(self):
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if(self.incr == self.count):
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self.signal_done()
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return
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self.price = self.price + random.uniform(-0.05, 0.05)
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self._send(self.sid, self.price, random.randrange(100,10000,100), self.trade_start + (self.minute * self.incr))
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self.incr += 1
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def _send(self, sid, price, volume, dt):
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event = zp.namedict({'source_id': self.get_id, "type" : "TRADE", "sid":sid, "price":price, "volume":volume, "dt":dt})
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self.send(event)
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self.price = self.price + random.uniform(-0.05, 0.05)
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volume = random.randrange(100,10000,100)
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event = zp.namedict({
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'source_id' : self.get_id,
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"type" : zp.DATASOURCE_TYPE.ORDER,
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"sid" : self.sid,
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"price" : self.price,
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"volume" : volume,
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"dt" : self.trade_start + (self.minute * self.incr),
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})
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message = zp.DATASOURCE_FRAME(event)
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self.send(message)
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self.incr += 1
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class SpecificEquityTrades(TradeDataSource):
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"""Generates a random stream of trades for testing."""
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"""
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Generates a random stream of trades for testing.
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"""
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def __init__(self, source_id, event_list):
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"""
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:event_list: should be a chronologically ordered list of dictionaries in the following form:
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:event_list: should be a chronologically ordered list of dictionaries
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in the following form:
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event = {
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'sid' : an integer for security id,
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'dt' : datetime object,
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@@ -67,14 +84,14 @@ class SpecificEquityTrades(TradeDataSource):
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self.event_list = event_list
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def get_type(self):
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return 'EQUITY_TRADE'
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zp.COMPONENT_TYPE.SOURCE
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def do_work(self):
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if(len(self.event_list) == 0):
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self.signal_done()
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return
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event = self.event_list.pop(0)
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self.send(zp.namedict(event))
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@@ -11,6 +11,7 @@ from zipline.sources import RandomEquityTrades
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from zipline.test.client import TestClient
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from zipline.test.transform import DivideByZeroTransform
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from nose.tools import timed
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# Should not inherit form TestCase since test runners will pick
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# it up as a test. Its a Mixin of sorts at this point.
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@@ -73,6 +74,7 @@ class SimulatorTestCase(object):
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# Cases
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# -------
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@timed(2)
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def test_simple(self):
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# Simple test just to make sure that the archiecture is
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@@ -100,7 +102,7 @@ class SimulatorTestCase(object):
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ret1 = RandomEquityTrades(133, "ret1", 1)
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ret2 = RandomEquityTrades(134, "ret2", 1)
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client = TestClient(expected_msg_count=(ret1.count + ret2.count))
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client = TestClient()
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sim.register_controller( con )
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sim.register_components([ret1, ret2, client])
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@@ -149,7 +151,7 @@ class SimulatorTestCase(object):
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ret1 = RandomEquityTrades(133, "ret1", 1)
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ret2 = RandomEquityTrades(134, "ret2", 1)
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fail_transform = DivideByZeroTransform("fail")
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client = TestClient(self, expected_msg_count=ret1.count + ret2.count)
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client = TestClient()
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sim.register_controller( con )
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sim.register_components([ret1, ret2, fail_transform, client])
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@@ -194,7 +196,7 @@ class SimulatorTestCase(object):
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ret1 = RandomEquityTrades(133, "ret1", 400)
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ret2 = RandomEquityTrades(134, "ret2", 400)
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client = TestClient(expected_msg_count=ret1.count + ret2.count)
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client = TestClient()
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sim.register_controller( con )
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sim.register_components([ret1, ret2, client])
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@@ -240,7 +242,7 @@ class SimulatorTestCase(object):
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ret2 = RandomEquityTrades(134, "ret2", 5000)
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mavg1 = MovingAverage("mavg1", 30)
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mavg2 = MovingAverage("mavg2", 60)
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client = TestClient(expected_msg_count=10000)
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client = TestClient()
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sim.register_components([ret1, ret2, mavg1, mavg2, client])
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sim.register_controller( con )
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