flattened the finance package. draft test for vwap in a complete zipline.

zipline/finance/movingaverage.py

@@ -13,7 +13,7 @@ class MovingAverageTransform(BaseTransform):
     def transform(self, event):
         cur = self.by_sid(event.sid)
         cur.update(event)
-        self.state['value'] = cur.vwap
+        self.state['value'] = cur.average
         return self.state
 
 class MovingAverage(object):
@@ -37,6 +37,10 @@ class MovingAverage(object):
             self.average = 0.0
 
 class EventWindow(object):
+    """
+    Tracks a window of the event history. Use an instance to track the events
+    inside your window to efficiently calculate rolling statistics.
+    """
     def __init__(self, daycount):
         self.ticks = []
         self.dropped_ticks = []

zipline/finance/vwap.py

@@ -3,7 +3,7 @@ from datetime import timedelta
 from collections import defaultdict
 
 from zipline.messaging import BaseTransform
-from zipline.finance.transforms.moving_average import EventWindow, EventHistory
+from zipline.finance.movingaverage import EventWindow, EventHistory
 
 class VWAPTransform(BaseTransform):
     

zipline/test/test_transforms.py

@@ -1,15 +1,46 @@
 from datetime import timedelta
-
+from collections import defaultdict
 from unittest2 import TestCase
+
 import zipline.test.factory as factory
-from zipline.finance.transforms.vwap import DailyVWAP, DailyVWAP_df
-from zipline.finance.transforms.returns import ReturnsFromPriorClose
-from zipline.finance.transforms.moving_average import MovingAverage
+import zipline.util as qutil
+from zipline.finance.vwap import DailyVWAP, VWAPTransform, DailyVWAP_df
+from zipline.finance.returns import ReturnsFromPriorClose
+from zipline.finance.movingaverage import MovingAverage
+from zipline.lines import SimulatedTrading
+from zipline.simulator import AddressAllocator, Simulator
 
 
-class FinanceTestCase(TestCase):
+allocator = AddressAllocator(1000)
+
+class ZiplineWithTransformsTestCase(TestCase):
+    leased_sockets = defaultdict(list)
+    
+    def setUp(self):
+        qutil.configure_logging()
+        self.trading_environment = factory.create_trading_environment()
+        self.zipline_test_config = {
+            'allocator':allocator,
+            'sid':133
+        }
+        
+    def test_vwap_tnfm(self):
+        zipline = SimulatedTrading.create_test_zipline(
+            **self.zipline_test_config
+        )
+        
+        vwap = VWAPTransform("vwap_10", daycount=10)
+        zipline.add_transform(vwap)
+        
+        zipline.simulate(blocking=True)
+
+        self.assertTrue(zipline.sim.ready())
+        self.assertFalse(zipline.sim.exception)
+        
+class FinanceTransformsTestCase(TestCase):
     def setUp(self):
         self.trading_environment = factory.create_trading_environment()
+        
     def test_vwap(self):
         
         trade_history = factory.create_trade_history(
@@ -58,4 +89,7 @@ class FinanceTestCase(TestCase):
             ma.update(trade)
             
         
-        self.assertEqual(ma.average, 10.5)
+        self.assertEqual(ma.average, 10.5)
+        
+        
+