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BUG: can_trade was true for assets after their auto close date

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This commit is contained in:
dmichalowicz
2017-01-09 19:17:54 -05:00
parent 8cbad56d79
commit 6e707f97a7
4 changed files with 77 additions and 25 deletions
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tests/test_algorithm.py
+29 -13
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@@ -4294,6 +4294,7 @@ class TestOrderAfterDelist(WithTradingEnvironment, ZiplineTestCase):
def make_equity_info(cls):
return pd.DataFrame.from_dict(
{
# Asset whose auto close date is after its end date.
1: {
'start_date': cls.start,
'end_date': cls.day_1,
@@ -4301,6 +4302,14 @@ class TestOrderAfterDelist(WithTradingEnvironment, ZiplineTestCase):
'symbol': "ASSET1",
'exchange': "TEST",
},
# Asset whose auto close date is before its end date.
2: {
'start_date': cls.start,
'end_date': cls.day_4,
'auto_close_date': cls.day_1,
'symbol': 'ASSET2',
'exchange': 'TEST',
},
},
orient='index',
)
@@ -4310,7 +4319,13 @@ class TestOrderAfterDelist(WithTradingEnvironment, ZiplineTestCase):
super(TestOrderAfterDelist, cls).init_class_fixtures()
cls.data_portal = FakeDataPortal(cls.env)
def test_order_in_quiet_period(self):
@parameterized.expand([
('auto_close_after_end_date', 1),
('auto_close_before_end_date', 2),
])
def test_order_in_quiet_period(self, name, sid):
asset = self.asset_finder.retrieve_asset(sid)
algo_code = dedent("""
from zipline.api import (
sid,
@@ -4326,13 +4341,13 @@ class TestOrderAfterDelist(WithTradingEnvironment, ZiplineTestCase):
pass
def handle_data(context, data):
order(sid(1), 1)
order_value(sid(1), 100)
order_percent(sid(1), 0.5)
order_target(sid(1), 50)
order_target_percent(sid(1), 0.5)
order_target_value(sid(1), 50)
""")
order(sid({sid}), 1)
order_value(sid({sid}), 100)
order_percent(sid({sid}), 0.5)
order_target(sid({sid}), 50)
order_target_percent(sid({sid}), 0.5)
order_target_value(sid({sid}), 50)
""").format(sid=sid)
# run algo from 1/6 to 1/7
algo = TradingAlgorithm(
@@ -4356,11 +4371,12 @@ class TestOrderAfterDelist(WithTradingEnvironment, ZiplineTestCase):
self.assertEqual(6 * 390, len(warnings))
for w in warnings:
self.assertEqual("Cannot place order for ASSET1, as it has "
"de-listed. Any existing positions for this "
"asset will be liquidated on "
"2016-01-11 00:00:00+00:00.",
w.message)
expected_message = (
'Cannot place order for ASSET{sid}, as it has de-listed. '
'Any existing positions for this asset will be liquidated '
'on {date}.'.format(sid=sid, date=asset.auto_close_date)
)
self.assertEqual(expected_message, w.message)
class AlgoInputValidationTestCase(ZiplineTestCase):