From 700cf64324701623396c1e5ca768f63ac3deb1b9 Mon Sep 17 00:00:00 2001
From: fawce <fawce@quantopian.com>
Date: Fri, 18 May 2012 23:47:41 -0400
Subject: [PATCH] tests for transforms

---
 tests/test_transforms.py | 90 ++++++++++++++++++++++++++++++++++++++++
 1 file changed, 90 insertions(+)
 create mode 100644 tests/test_transforms.py

diff --git a/tests/test_transforms.py b/tests/test_transforms.py
new file mode 100644
index 00000000..0d267e60
--- /dev/null
+++ b/tests/test_transforms.py
@@ -0,0 +1,90 @@
+from datetime import timedelta
+from collections import defaultdict
+from unittest2 import TestCase
+
+import zipline.utils.factory as factory
+from zipline.finance.vwap import DailyVWAP, VWAPTransform
+from zipline.finance.returns import ReturnsFromPriorClose
+from zipline.finance.movingaverage import MovingAverage
+from zipline.lines import SimulatedTrading
+from zipline.core.devsimulator import AddressAllocator
+
+allocator = AddressAllocator(1000)
+
+class ZiplineWithTransformsTestCase(TestCase):
+    leased_sockets = defaultdict(list)
+
+    def setUp(self):
+        # skip ahead 100 spots
+        allocator.lease(100)
+        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(
+            133,
+            [10.0, 10.0, 10.0, 11.0],
+            [100, 100, 100, 300],
+            timedelta(days=1),
+            self.trading_environment
+        )
+
+        vwap = DailyVWAP(days=2)
+        for trade in trade_history:
+            vwap.update(trade)
+
+        self.assertEqual(vwap.vwap, 10.75)
+
+
+    def test_returns(self):
+        trade_history = factory.create_trade_history(
+            133,
+            [10.0, 10.0, 10.0, 11.0],
+            [100, 100, 100, 300],
+            timedelta(days=1),
+            self.trading_environment
+        )
+
+        returns = ReturnsFromPriorClose()
+        for trade in trade_history:
+            returns.update(trade)
+
+
+        self.assertEqual(returns.returns, .1)
+
+
+    def test_moving_average(self):
+        trade_history = factory.create_trade_history(
+            133,
+            [10.0, 10.0, 10.0, 11.0],
+            [100, 100, 100, 300],
+            timedelta(days=1),
+            self.trading_environment
+        )
+
+        ma = MovingAverage(days=2)
+        for trade in trade_history:
+            ma.update(trade)
+
+
+        self.assertEqual(ma.average, 10.5)