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Merge pull request #726 from quantopian/explicit-position-value-calcs

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MAINT: Only calc position values once per packet.
This commit is contained in:
Eddie Hebert
2015-09-25 17:33:53 -04:00
parent 136eb8aa0d 20c64b591f
commit 5d2217b0eb
3 changed files with 215 additions and 145 deletions
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tests/test_perf_tracking.py
+25 -23
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@@ -35,6 +35,7 @@ from six.moves import range, zip
import zipline.utils.factory as factory
import zipline.finance.performance as perf
from zipline.finance.performance import position_tracker
from zipline.finance.slippage import Transaction, create_transaction
import zipline.utils.math_utils as zp_math
@@ -2181,22 +2182,22 @@ class TestPositionTracker(unittest.TestCase):
np.bool_(False)
"""
pt = perf.PositionTracker(self.env.asset_finder)
pos_stats = position_tracker.calc_position_stats(pt)
stats = [
'calculate_positions_value',
'_net_exposure',
'_gross_value',
'_gross_exposure',
'_short_value',
'_short_exposure',
'_shorts_count',
'_long_value',
'_long_exposure',
'_longs_count',
'net_value',
'net_exposure',
'gross_value',
'gross_exposure',
'short_value',
'short_exposure',
'shorts_count',
'long_value',
'long_exposure',
'longs_count',
]
for name in stats:
meth = getattr(pt, name)
val = meth()
val = getattr(pos_stats, name)
self.assertEquals(val, 0)
self.assertNotIsInstance(val, (bool, np.bool_))
@@ -2234,20 +2235,24 @@ class TestPositionTracker(unittest.TestCase):
pt.update_positions({1: pos1, 2: pos2, 3: pos3, 4: pos4})
# Test long-only methods
self.assertEqual(100, pt._long_value())
self.assertEqual(100 + 300000, pt._long_exposure())
pos_stats = position_tracker.calc_position_stats(pt)
self.assertEqual(100, pos_stats.long_value)
self.assertEqual(100 + 300000, pos_stats.long_exposure)
self.assertEqual(2, pos_stats.longs_count)
# Test short-only methods
self.assertEqual(-200, pt._short_value())
self.assertEqual(-200 - 400000, pt._short_exposure())
self.assertEqual(-200, pos_stats.short_value)
self.assertEqual(-200 - 400000, pos_stats.short_exposure)
self.assertEqual(2, pos_stats.shorts_count)
# Test gross and net values
self.assertEqual(100 + 200, pt._gross_value())
self.assertEqual(100 - 200, pt._net_value())
self.assertEqual(100 + 200, pos_stats.gross_value)
self.assertEqual(100 - 200, pos_stats.net_value)
# Test gross and net exposures
self.assertEqual(100 + 200 + 300000 + 400000, pt._gross_exposure())
self.assertEqual(100 - 200 + 300000 - 400000, pt._net_exposure())
self.assertEqual(100 + 200 + 300000 + 400000, pos_stats.gross_exposure)
self.assertEqual(100 - 200 + 300000 - 400000, pos_stats.net_exposure)
def test_serialization(self):
pt = perf.PositionTracker(self.env.asset_finder)
@@ -2260,9 +2265,6 @@ class TestPositionTracker(unittest.TestCase):
pt.update_positions({1: pos1, 3: pos3})
p_string = dumps_with_persistent_ids(pt)
test = loads_with_persistent_ids(p_string, env=self.env)
nt.assert_dict_equal(test._position_amounts, pt._position_amounts)
nt.assert_dict_equal(test._position_last_sale_prices,
pt._position_last_sale_prices)
nt.assert_count_equal(test.positions.keys(), pt.positions.keys())
for sid in pt.positions:
nt.assert_dict_equal(test.positions[sid].__dict__,