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ENH: Adds auto-closing feature and implements for Futures

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jfkirk
2015-07-31 10:38:44 -04:00
parent f13e9fd125
commit 67c56f768b
4 changed files with 149 additions and 25 deletions
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tests/test_algorithm.py
+27 -2
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@@ -1392,6 +1392,13 @@ class TestClosePosAlgo(TestCase):
DATASOURCE_TYPE.CLOSE_POSITION]},
index=self.index)
})
self.no_close_panel = pd.Panel({1: pd.DataFrame({
'price': [1, 2, 4], 'volume': [1e9, 0, 0],
'type': [DATASOURCE_TYPE.TRADE,
DATASOURCE_TYPE.TRADE,
DATASOURCE_TYPE.TRADE]},
index=self.index)
})
def test_close_position_equity(self):
metadata = {1: {'symbol': 'TEST',
@@ -1412,8 +1419,7 @@ class TestClosePosAlgo(TestCase):
def test_close_position_future(self):
metadata = {1: {'symbol': 'TEST',
'asset_type': 'future',
'notice_date': self.days[2],
'expiration_date': self.days[3]}}
}}
self.algo = TestAlgorithm(sid=1, amount=1, order_count=1,
instant_fill=True, commission=PerShare(0),
asset_metadata=metadata)
@@ -1426,6 +1432,25 @@ class TestClosePosAlgo(TestCase):
self.check_algo_pnl(results, expected_pnl)
self.check_algo_positions(results, expected_positions)
def test_auto_close_future(self):
metadata = {1: {'symbol': 'TEST',
'asset_type': 'future',
'notice_date': self.days[3],
'expiration_date': self.days[4]}}
self.algo = TestAlgorithm(sid=1, amount=1, order_count=1,
instant_fill=True, commission=PerShare(0),
asset_metadata=metadata)
self.data = DataPanelSource(self.no_close_panel)
# Check results
results = self.run_algo()
expected_pnl = [0, 1, 2]
self.check_algo_pnl(results, expected_pnl)
expected_positions = [1, 1, 0]
self.check_algo_positions(results, expected_positions)
def run_algo(self):
results = self.algo.run(self.data)
return results