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added test for initialization of max_date in TradingEnvironment and removed trading_day from max_date if statement.

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This commit is contained in:
warren-oneill
2015-03-31 09:24:42 +02:00
committed by jfkirk
parent b62fadc76f
commit 61571601ac
2 changed files with 15 additions and 9 deletions
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tests/test_finance.py
+8
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@@ -526,3 +526,11 @@ class TradingEnvironmentTestCase(TestCase):
self.assertTrue(all(today == minutes[:31]))
self.assertTrue(all(friday == minutes[31:421]))
self.assertTrue(all(thursday == minutes[421:]))
def test_max_date(self):
max_date = datetime(2008, 8, 1, tzinfo=pytz.utc)
env = TradingEnvironment(max_date=max_date)
self.assertLessEqual(env.last_trading_day, max_date)
self.assertLessEqual(env.treasury_curves.index[-1],
max_date)
zipline/finance/trading.py
+7 -9
View File
@@ -92,17 +92,15 @@ class TradingEnvironment(object):
max_date=None,
env_trading_calendar=tradingcalendar
):
# `tc_tdays` is short for "trading calendar trading days"
# `tc_tday` is short for "trading calendar trading day"
tc_tdays = env_trading_calendar.trading_days
tc_tday = env_trading_calendar.trading_day
self.trading_day = env_trading_calendar.trading_day.copy()
# `tc_td` is short for "trading calendar trading days"
tc_td = env_trading_calendar.trading_days
if max_date:
self.trading_days = tc_tdays[tc_tdays <= max_date].copy()
self.trading_day = tc_tday[tc_tday <= max_date].copy()
self.trading_days = tc_td[tc_td <= max_date].copy()
else:
self.trading_days = tc_tdays.copy()
self.trading_day = tc_tday.copy()
self.trading_days = tc_td.copy()
self.first_trading_day = self.trading_days[0]
self.last_trading_day = self.trading_days[-1]
@@ -124,7 +122,7 @@ class TradingEnvironment(object):
self.treasury_curves = pd.DataFrame(treasury_curves_map).T
if max_date:
tr_c = self.treasury_curves
# Mask the treasury curvers down to the current date.
# Mask the treasury curves down to the current date.
# In the case of live trading, the last date in the treasury
# curves would be the day before the date considered to be
# 'today'.