wassname/catalyst
1
0
Fork 0
mirror of https://github.com/wassname/catalyst.git synced 2026-08-04 12:45:06 +08:00
Code Issues Packages Projects Releases Wiki Activity

Merge pull request #1644 from quantopian/closed-means-closed

Browse Source 
Don't allow ordering assets after their auto close date
This commit is contained in:
David Michalowicz
2017-01-20 10:19:27 -05:00
committed by GitHub
parent a2ea09bff7 6e707f97a7
commit 60e8ea30e5
4 changed files with 77 additions and 25 deletions
Download Patch File Download Diff File Expand all files Collapse all files
tests/test_bar_data.py
+41 -8
View File
@@ -716,9 +716,9 @@ class TestMinuteBarData(WithCreateBarData,
self.assertEqual(bar_data.can_trade(self.ASSET1), info[1])
class TestMinuteBarDataMultipleExchanges(WithCreateBarData,
WithBarDataChecks,
ZiplineTestCase):
class TestMinuteBarDataFuturesCalendar(WithCreateBarData,
WithBarDataChecks,
ZiplineTestCase):
START_DATE = pd.Timestamp('2016-01-05', tz='UTC')
END_DATE = ASSET_FINDER_EQUITY_END_DATE = pd.Timestamp(
@@ -742,20 +742,29 @@ class TestMinuteBarDataMultipleExchanges(WithCreateBarData,
return pd.DataFrame.from_dict(
{
6: {
'symbol': 'CLG06',
'symbol': 'CLH16',
'root_symbol': 'CL',
'start_date': pd.Timestamp('2005-12-01', tz='UTC'),
'notice_date': pd.Timestamp('2005-12-20', tz='UTC'),
'expiration_date': pd.Timestamp('2006-01-20', tz='UTC'),
'start_date': pd.Timestamp('2016-01-04', tz='UTC'),
'notice_date': pd.Timestamp('2016-01-19', tz='UTC'),
'expiration_date': pd.Timestamp('2016-02-19', tz='UTC'),
'exchange': 'ICEUS',
},
7: {
'symbol': 'FVH16',
'root_symbol': 'FV',
'start_date': pd.Timestamp('2016-01-04', tz='UTC'),
'notice_date': pd.Timestamp('2016-01-22', tz='UTC'),
'expiration_date': pd.Timestamp('2016-02-22', tz='UTC'),
'auto_close_date': pd.Timestamp('2016-01-20', tz='UTC'),
'exchange': 'CME',
},
},
orient='index',
)
@classmethod
def init_class_fixtures(cls):
super(TestMinuteBarDataMultipleExchanges, cls).init_class_fixtures()
super(TestMinuteBarDataFuturesCalendar, cls).init_class_fixtures()
cls.trading_calendar = get_calendar('CME')
def test_can_trade_multiple_exchange_closed(self):
@@ -808,6 +817,30 @@ class TestMinuteBarDataMultipleExchanges(WithCreateBarData,
self.assertEqual(info[1], series.loc[nyse_asset])
self.assertEqual(info[2], series.loc[ice_asset])
def test_can_trade_delisted(self):
"""
Test that can_trade returns False for an asset on or after its auto
close date.
"""
auto_closing_asset = self.asset_finder.retrieve_asset(7)
# Our asset's auto close date is 2016-01-20, which means that as of the
# market open for the 2016-01-20 session, `can_trade` should return
# False.
minutes_to_check = [
(pd.Timestamp('2016-01-19 00:00:00', tz='UTC'), True),
(pd.Timestamp('2016-01-19 23:00:00', tz='UTC'), True),
(pd.Timestamp('2016-01-19 23:01:00', tz='UTC'), False),
(pd.Timestamp('2016-01-19 23:59:00', tz='UTC'), False),
(pd.Timestamp('2016-01-20 00:00:00', tz='UTC'), False),
(pd.Timestamp('2016-01-20 00:01:00', tz='UTC'), False),
(pd.Timestamp('2016-01-21 00:00:00', tz='UTC'), False),
]
for info in minutes_to_check:
bar_data = self.create_bardata(simulation_dt_func=lambda: info[0])
self.assertEqual(bar_data.can_trade(auto_closing_asset), info[1])
class TestDailyBarData(WithCreateBarData,
WithBarDataChecks,