wassname/catalyst
1
0
Fork 0
mirror of https://github.com/wassname/catalyst.git synced 2026-07-07 01:54:58 +08:00
Code Issues Packages Projects Releases Wiki Activity

BUG: Capital change deltas rely on cash, not portfolio_value

Browse Source 
The value of holdings is irrelevant when altering the
capital base of the current perf period.
This commit is contained in:
John Ricklefs
2016-09-01 14:32:45 -04:00
parent 615d1535f7
commit 5b1aa5ec55
2 changed files with 11 additions and 10 deletions
Download Patch File Download Diff File Expand all files Collapse all files
tests/test_algorithm.py
+10 -9
View File
@@ -2167,7 +2167,7 @@ class TestCapitalChanges(WithLogger,
)
@parameterized.expand([
('target', 153000.0), ('delta', 50000.0)
('target', 127000.0), ('delta', 50000.0)
])
def test_capital_changes_daily_mode(self, change_type, value):
sim_params = factory.create_simulation_parameters(
@@ -2215,8 +2215,9 @@ def order_stuff(context, data):
capital_change_packets[0],
{'date': pd.Timestamp('2006-01-06', tz='UTC'),
'type': 'cash',
'target': 153000.0 if change_type == 'target' else None,
'delta': 50000.0})
'target': value if change_type == 'target' else None,
'delta': 50000.0
})
# 1/03: price = 10, place orders
# 1/04: orders execute at price = 11, place orders
@@ -2320,10 +2321,10 @@ def order_stuff(context, data):
)
@parameterized.expand([
('interday_target', [('2006-01-04', 2388.0)]),
('interday_target', [('2006-01-04', 1899.0)]),
('interday_delta', [('2006-01-04', 1000.0)]),
('intraday_target', [('2006-01-04 17:00', 2186.0),
('2006-01-04 18:00', 2806.0)]),
('intraday_target', [('2006-01-04 17:00', 908.0),
('2006-01-04 18:00', 1408.0)]),
('intraday_delta', [('2006-01-04 17:00', 500.0),
('2006-01-04 18:00', 500.0)]),
])
@@ -2486,10 +2487,10 @@ def order_stuff(context, data):
)
@parameterized.expand([
('interday_target', [('2006-01-04', 2388.0)]),
('interday_target', [('2006-01-04', 1899.0)]),
('interday_delta', [('2006-01-04', 1000.0)]),
('intraday_target', [('2006-01-04 17:00', 2186.0),
('2006-01-04 18:00', 2806.0)]),
('intraday_target', [('2006-01-04 17:00', 908.0),
('2006-01-04 18:00', 1408.0)]),
('intraday_delta', [('2006-01-04 17:00', 500.0),
('2006-01-04 18:00', 500.0)]),
])