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TST: Refactors more tests to use WithTradingSchedule

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This commit is contained in:
jfkirk
2016-05-06 14:24:12 -04:00
committed by Jean Bredeche
parent d9fc514fa8
commit 75e0e4723d
22 changed files with 216 additions and 242 deletions
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tests/data/test_minute_bars.py
+16 -13
View File
@@ -15,8 +15,6 @@
from datetime import timedelta
import os
from unittest import TestCase
from numpy import (
arange,
array,
@@ -45,7 +43,9 @@ from zipline.data.minute_bars import (
US_EQUITIES_MINUTES_PER_DAY,
BcolzMinuteWriterColumnMismatch
)
from zipline.utils.calendars import get_calendar, default_nyse_schedule
from zipline.utils.calendars import get_calendar
from zipline.testing.fixtures import WithTradingSchedule, ZiplineTestCase
# Calendar is set to cover several half days, to check a case where half
# days would be read out of order in cases of windows which spanned over
@@ -54,10 +54,11 @@ TEST_CALENDAR_START = Timestamp('2014-06-02', tz='UTC')
TEST_CALENDAR_STOP = Timestamp('2015-12-31', tz='UTC')
class BcolzMinuteBarTestCase(TestCase):
class BcolzMinuteBarTestCase(WithTradingSchedule, ZiplineTestCase):
@classmethod
def setUpClass(cls):
def init_class_fixtures(cls):
super(BcolzMinuteBarTestCase, cls).init_class_fixtures()
trading_days = get_calendar('NYSE').trading_days(
TEST_CALENDAR_START, TEST_CALENDAR_STOP
)
@@ -66,10 +67,15 @@ class BcolzMinuteBarTestCase(TestCase):
cls.test_calendar_start = cls.market_opens.index[0]
cls.test_calendar_stop = cls.market_opens.index[-1]
def setUp(self):
def dir_cleanup(self):
self.dir_.cleanup()
def init_instance_fixtures(self):
super(BcolzMinuteBarTestCase, self).init_instance_fixtures()
self.dir_ = TempDirectory()
self.dir_.create()
self.add_instance_callback(callback=self.dir_cleanup)
self.dest = self.dir_.getpath('minute_bars')
os.makedirs(self.dest)
self.writer = BcolzMinuteBarWriter(
@@ -81,9 +87,6 @@ class BcolzMinuteBarTestCase(TestCase):
)
self.reader = BcolzMinuteBarReader(self.dest)
def tearDown(self):
self.dir_.cleanup()
def test_write_one_ohlcv(self):
minute = self.market_opens[self.test_calendar_start]
sid = 1
@@ -798,9 +801,9 @@ class BcolzMinuteBarTestCase(TestCase):
data = {sids[0]: data_1, sids[1]: data_2}
start_minute_loc = \
default_nyse_schedule.all_execution_minutes.get_loc(minutes[0])
self.trading_schedule.all_execution_minutes.get_loc(minutes[0])
minute_locs = [
default_nyse_schedule.all_execution_minutes.get_loc(minute)
self.trading_schedule.all_execution_minutes.get_loc(minute)
- start_minute_loc
for minute in minutes
]
@@ -822,7 +825,7 @@ class BcolzMinuteBarTestCase(TestCase):
'close': arange(1, 781),
'volume': arange(1, 781)
}
dts = array(default_nyse_schedule.execution_minutes_for_days_in_range(
dts = array(self.trading_schedule.execution_minutes_for_days_in_range(
start_day, end_day
))
self.writer.write_cols(sid, dts, cols)
@@ -866,7 +869,7 @@ class BcolzMinuteBarTestCase(TestCase):
'close': arange(1, 601),
'volume': arange(1, 601)
}
dts = array(default_nyse_schedule.execution_minutes_for_days_in_range(
dts = array(self.trading_schedule.execution_minutes_for_days_in_range(
start_day, end_day
))
self.writer.write_cols(sid, dts, cols)
tests/pipeline/base.py
+6 -9
View File
@@ -2,7 +2,6 @@
Base class for Pipeline API unittests.
"""
from functools import wraps
from unittest import TestCase
import numpy as np
from numpy import arange, prod
@@ -18,10 +17,10 @@ from zipline.testing import (
ExplodingObject,
tmp_asset_finder,
)
from zipline.testing.fixtures import ZiplineTestCase, WithTradingSchedule
from zipline.utils.functional import dzip_exact
from zipline.utils.pandas_utils import explode
from zipline.utils.calendars import default_nyse_schedule
def with_defaults(**default_funcs):
@@ -51,12 +50,14 @@ def with_defaults(**default_funcs):
with_default_shape = with_defaults(shape=lambda self: self.default_shape)
class BasePipelineTestCase(TestCase):
class BasePipelineTestCase(WithTradingSchedule, ZiplineTestCase):
@classmethod
def setUpClass(cls):
def init_class_fixtures(cls):
super(BasePipelineTestCase, cls).init_class_fixtures()
cls.__calendar = date_range('2014', '2015',
freq=default_nyse_schedule.day)
freq=cls.trading_schedule.day)
cls.__assets = assets = Int64Index(arange(1, 20))
cls.__tmp_finder_ctx = tmp_asset_finder(
equities=make_simple_equity_info(
@@ -71,10 +72,6 @@ class BasePipelineTestCase(TestCase):
include_start_date=False,
)
@classmethod
def tearDownClass(cls):
cls.__tmp_finder_ctx.__exit__()
@property
def default_shape(self):
"""Default shape for methods that build test data."""
tests/pipeline/test_engine.py
+4 -5
View File
@@ -85,7 +85,6 @@ from zipline.testing.fixtures import (
ZiplineTestCase,
)
from zipline.utils.memoize import lazyval
from zipline.utils.calendars import default_nyse_schedule
class RollingSumDifference(CustomFactor):
@@ -827,7 +826,7 @@ class FrameInputTestCase(WithTradingEnvironment, ZiplineTestCase):
cls.dates = date_range(
cls.start,
cls.end,
freq=default_nyse_schedule.day,
freq=cls.trading_schedule.day,
tz='UTC',
)
cls.assets = cls.asset_finder.retrieve_all(cls.asset_ids)
@@ -986,7 +985,7 @@ class SyntheticBcolzTestCase(WithAdjustmentReader,
def test_SMA(self):
engine = SimplePipelineEngine(
lambda column: self.pipeline_loader,
default_nyse_schedule.all_execution_days,
self.trading_schedule.all_execution_days,
self.asset_finder,
)
window_length = 5
@@ -1040,7 +1039,7 @@ class SyntheticBcolzTestCase(WithAdjustmentReader,
# valuable.
engine = SimplePipelineEngine(
lambda column: self.pipeline_loader,
default_nyse_schedule.all_execution_days,
self.trading_schedule.all_execution_days,
self.asset_finder,
)
window_length = 5
@@ -1084,7 +1083,7 @@ class ParameterizedFactorTestCase(WithTradingEnvironment, ZiplineTestCase):
@classmethod
def init_class_fixtures(cls):
super(ParameterizedFactorTestCase, cls).init_class_fixtures()
day = default_nyse_schedule.day
day = cls.trading_schedule.day
cls.dates = dates = date_range(
'2015-02-01',
tests/pipeline/test_factor.py
+2 -2
View File
@@ -89,8 +89,8 @@ for_each_factor_dtype = parameterized.expand([
class FactorTestCase(BasePipelineTestCase):
def setUp(self):
super(FactorTestCase, self).setUp()
def init_instance_fixtures(self):
super(FactorTestCase, self).init_instance_fixtures()
self.f = F()
def test_bad_input(self):
tests/pipeline/test_filter.py
+2 -2
View File
@@ -75,8 +75,8 @@ class Mask(Filter):
class FilterTestCase(BasePipelineTestCase):
def setUp(self):
super(FilterTestCase, self).setUp()
def init_instance_fixtures(self):
super(FilterTestCase, self).init_instance_fixtures()
self.f = SomeFactor()
self.g = SomeOtherFactor()
tests/risk/test_risk_cumulative.py
+8 -15
View File
@@ -13,31 +13,24 @@
# See the License for the specific language governing permissions and
# limitations under the License.
import unittest
import datetime
import numpy as np
import pytz
import zipline.finance.risk as risk
from zipline.utils import factory
from zipline.finance.trading import SimulationParameters, TradingEnvironment
from zipline.utils.calendars import default_nyse_schedule
from zipline.testing.fixtures import WithTradingEnvironment, ZiplineTestCase
from zipline.finance.trading import SimulationParameters
from . import answer_key
ANSWER_KEY = answer_key.ANSWER_KEY
class TestRisk(unittest.TestCase):
class TestRisk(WithTradingEnvironment, ZiplineTestCase):
@classmethod
def setUpClass(cls):
cls.env = TradingEnvironment()
def init_instance_fixtures(self):
super(TestRisk, self).init_instance_fixtures()
@classmethod
def tearDownClass(cls):
del cls.env
def setUp(self):
start_date = datetime.datetime(
year=2006,
month=1,
@@ -51,7 +44,7 @@ class TestRisk(unittest.TestCase):
self.sim_params = SimulationParameters(
period_start=start_date,
period_end=end_date,
trading_schedule=default_nyse_schedule,
trading_schedule=self.trading_schedule,
)
self.algo_returns_06 = factory.create_returns_from_list(
@@ -62,7 +55,7 @@ class TestRisk(unittest.TestCase):
self.cumulative_metrics_06 = risk.RiskMetricsCumulative(
self.sim_params,
treasury_curves=self.env.treasury_curves,
trading_schedule=default_nyse_schedule,
trading_schedule=self.trading_schedule,
)
for dt, returns in answer_key.RETURNS_DATA.iterrows():
tests/risk/test_risk_period.py
+19 -30
View File
@@ -13,7 +13,6 @@
# See the License for the specific language governing permissions and
# limitations under the License.
import unittest
import datetime
import calendar
import numpy as np
@@ -25,8 +24,8 @@ from six import itervalues
import zipline.finance.risk as risk
from zipline.utils import factory
from zipline.finance.trading import SimulationParameters, TradingEnvironment
from zipline.utils.calendars import default_nyse_schedule
from zipline.finance.trading import SimulationParameters
from zipline.testing.fixtures import WithTradingEnvironment, ZiplineTestCase
from . import answer_key
from . answer_key import AnswerKey
@@ -35,17 +34,10 @@ ANSWER_KEY = AnswerKey()
RETURNS = ANSWER_KEY.RETURNS
class TestRisk(unittest.TestCase):
class TestRisk(WithTradingEnvironment, ZiplineTestCase):
@classmethod
def setUpClass(cls):
cls.env = TradingEnvironment()
@classmethod
def tearDownClass(cls):
del cls.env
def setUp(self):
def init_instance_fixtures(self):
super(TestRisk, self).init_instance_fixtures()
start_date = datetime.datetime(
year=2006,
@@ -60,7 +52,7 @@ class TestRisk(unittest.TestCase):
self.sim_params = SimulationParameters(
period_start=start_date,
period_end=end_date,
trading_schedule=default_nyse_schedule,
trading_schedule=self.trading_schedule,
)
self.algo_returns_06 = factory.create_returns_from_list(
@@ -75,7 +67,7 @@ class TestRisk(unittest.TestCase):
self.algo_returns_06,
self.sim_params,
benchmark_returns=self.benchmark_returns_06,
trading_schedule=default_nyse_schedule,
trading_schedule=self.trading_schedule,
treasury_curves=self.env.treasury_curves,
)
@@ -96,12 +88,9 @@ class TestRisk(unittest.TestCase):
self.sim_params08 = SimulationParameters(
period_start=start_08,
period_end=end_08,
trading_schedule=default_nyse_schedule,
trading_schedule=self.trading_schedule,
)
def tearDown(self):
return
def test_factory(self):
returns = [0.1] * 100
r_objects = factory.create_returns_from_list(returns, self.sim_params)
@@ -117,7 +106,7 @@ class TestRisk(unittest.TestCase):
returns.index[0],
returns.index[-1],
returns,
trading_schedule=default_nyse_schedule,
trading_schedule=self.trading_schedule,
benchmark_returns=self.env.benchmark_returns,
treasury_curves=self.env.treasury_curves,
)
@@ -145,7 +134,7 @@ class TestRisk(unittest.TestCase):
def test_trading_days_06(self):
returns = factory.create_returns_from_range(self.sim_params)
metrics = risk.RiskReport(returns, self.sim_params,
trading_schedule=default_nyse_schedule,
trading_schedule=self.trading_schedule,
treasury_curves=self.env.treasury_curves,
benchmark_returns=self.env.benchmark_returns)
self.assertEqual([x.num_trading_days for x in metrics.year_periods],
@@ -372,7 +361,7 @@ class TestRisk(unittest.TestCase):
def test_benchmark_returns_08(self):
returns = factory.create_returns_from_range(self.sim_params08)
metrics = risk.RiskReport(returns, self.sim_params08,
trading_schedule=default_nyse_schedule,
trading_schedule=self.trading_schedule,
treasury_curves=self.env.treasury_curves,
benchmark_returns=self.env.benchmark_returns)
@@ -421,7 +410,7 @@ class TestRisk(unittest.TestCase):
def test_trading_days_08(self):
returns = factory.create_returns_from_range(self.sim_params08)
metrics = risk.RiskReport(returns, self.sim_params08,
trading_schedule=default_nyse_schedule,
trading_schedule=self.trading_schedule,
treasury_curves=self.env.treasury_curves,
benchmark_returns=self.env.benchmark_returns)
self.assertEqual([x.num_trading_days for x in metrics.year_periods],
@@ -433,7 +422,7 @@ class TestRisk(unittest.TestCase):
def test_benchmark_volatility_08(self):
returns = factory.create_returns_from_range(self.sim_params08)
metrics = risk.RiskReport(returns, self.sim_params08,
trading_schedule=default_nyse_schedule,
trading_schedule=self.trading_schedule,
treasury_curves=self.env.treasury_curves,
benchmark_returns=self.env.benchmark_returns)
@@ -484,7 +473,7 @@ class TestRisk(unittest.TestCase):
def test_treasury_returns_06(self):
returns = factory.create_returns_from_range(self.sim_params)
metrics = risk.RiskReport(returns, self.sim_params,
trading_schedule=default_nyse_schedule,
trading_schedule=self.trading_schedule,
treasury_curves=self.env.treasury_curves,
benchmark_returns=self.env.benchmark_returns)
self.assertEqual([round(x.treasury_period_return, 4)
@@ -550,13 +539,13 @@ class TestRisk(unittest.TestCase):
sim_params90s = SimulationParameters(
period_start=start,
period_end=end,
trading_schedule=default_nyse_schedule,
trading_schedule=self.trading_schedule,
)
returns = factory.create_returns_from_range(sim_params90s)
returns = returns[:-10] # truncate the returns series to end mid-month
metrics = risk.RiskReport(returns, sim_params90s,
trading_schedule=default_nyse_schedule,
trading_schedule=self.trading_schedule,
treasury_curves=self.env.treasury_curves,
benchmark_returns=self.env.benchmark_returns)
total_months = 60
@@ -566,11 +555,11 @@ class TestRisk(unittest.TestCase):
sim_params = SimulationParameters(
period_start=start_date,
period_end=start_date.replace(year=(start_date.year + years)),
trading_schedule=default_nyse_schedule,
trading_schedule=self.trading_schedule,
)
returns = factory.create_returns_from_range(sim_params)
metrics = risk.RiskReport(returns, self.sim_params,
trading_schedule=default_nyse_schedule,
trading_schedule=self.trading_schedule,
treasury_curves=self.env.treasury_curves,
benchmark_returns=self.env.benchmark_returns)
total_months = years * 12
@@ -659,7 +648,7 @@ class TestRisk(unittest.TestCase):
self.algo_returns_06,
self.sim_params,
benchmark_returns=benchmark_returns,
trading_schedule=default_nyse_schedule,
trading_schedule=self.trading_schedule,
treasury_curves=self.env.treasury_curves,
)
for risk_period in chain.from_iterable(itervalues(report.to_dict())):
tests/test_algorithm.py
+27 -27
View File
@@ -97,6 +97,7 @@ from zipline.testing.fixtures import (
WithSimParams,
WithTradingEnvironment,
WithTmpDir,
WithTradingSchedule,
ZiplineTestCase,
)
from zipline.test_algorithms import (
@@ -166,7 +167,6 @@ from zipline.utils.control_flow import nullctx
import zipline.utils.events
from zipline.utils.events import date_rules, time_rules, Always
import zipline.utils.factory as factory
from zipline.utils.calendars import default_nyse_schedule
# Because test cases appear to reuse some resources.
@@ -953,7 +953,7 @@ def before_trading_start(context, data):
period_end=period_end,
capital_base=float("1.0e5"),
data_frequency='minute',
trading_schedule=default_nyse_schedule,
trading_schedule=self.trading_schedule,
)
data_portal = create_data_portal(
@@ -961,7 +961,7 @@ def before_trading_start(context, data):
tempdir,
sim_params,
equities.index,
default_nyse_schedule,
self.trading_schedule,
)
algo = algo_class(sim_params=sim_params, env=env)
algo.run(data_portal)
@@ -1554,9 +1554,9 @@ def handle_data(context, data):
env=self.env,
)
trades = factory.create_daily_trade_source(
[0], self.sim_params, self.env, default_nyse_schedule)
[0], self.sim_params, self.env, self.trading_schedule)
data_portal = create_data_portal_from_trade_history(
self.env, default_nyse_schedule, tempdir, self.sim_params,
self.env, self.trading_schedule, tempdir, self.sim_params,
{0: trades})
results = test_algo.run(data_portal)
@@ -1644,7 +1644,7 @@ def handle_data(context, data):
params = SimulationParameters(
period_start=pd.Timestamp("2007-01-03", tz='UTC'),
period_end=pd.Timestamp("2007-01-05", tz='UTC'),
trading_schedule=default_nyse_schedule,
trading_schedule=self.trading_schedule,
)
# order method shouldn't blow up
@@ -2731,7 +2731,7 @@ class TestTradingControls(WithSimParams, WithDataPortal, ZiplineTestCase):
tempdir,
sim_params,
[1],
default_nyse_schedule,
self.trading_schedule,
)
def handle_data(algo, data):
@@ -2853,7 +2853,7 @@ class TestTradingControls(WithSimParams, WithDataPortal, ZiplineTestCase):
tempdir,
self.sim_params,
[0],
default_nyse_schedule,
self.trading_schedule,
)
algo.run(data_portal)
@@ -2868,7 +2868,7 @@ class TestTradingControls(WithSimParams, WithDataPortal, ZiplineTestCase):
tempdir,
self.sim_params,
[0],
default_nyse_schedule,
self.trading_schedule,
)
algo = SetAssetDateBoundsAlgorithm(
sim_params=self.sim_params,
@@ -2888,7 +2888,7 @@ class TestTradingControls(WithSimParams, WithDataPortal, ZiplineTestCase):
tempdir,
self.sim_params,
[0],
default_nyse_schedule,
self.trading_schedule,
)
algo = SetAssetDateBoundsAlgorithm(
sim_params=self.sim_params,
@@ -2914,7 +2914,7 @@ class TestAccountControls(WithDataPortal, WithSimParams, ZiplineTestCase):
[100, 100, 100, 300],
timedelta(days=1),
cls.sim_params,
default_nyse_schedule,
cls.trading_schedule,
),
},
index=cls.sim_params.trading_days,
@@ -3061,7 +3061,7 @@ class TestFutureFlip(WithSimParams, WithDataPortal, ZiplineTestCase):
[1e9, 1e9, 1e9],
timedelta(days=1),
cls.sim_params,
default_nyse_schedule,
cls.trading_schedule,
),
},
index=cls.sim_params.trading_days,
@@ -3071,7 +3071,7 @@ class TestFutureFlip(WithSimParams, WithDataPortal, ZiplineTestCase):
def test_flip_algo(self):
metadata = {1: {'symbol': 'TEST',
'start_date': self.sim_params.trading_days[0],
'end_date': default_nyse_schedule.next_execution_day(
'end_date': self.trading_schedule.next_execution_day(
self.sim_params.trading_days[-1]),
'multiplier': 5}}
@@ -3214,7 +3214,7 @@ class TestOrderCancelation(WithDataPortal,
sim_params=SimulationParameters(
period_start=self.sim_params.period_start,
period_end=self.sim_params.period_end,
trading_schedule=default_nyse_schedule,
trading_schedule=self.trading_schedule,
data_frequency=data_frequency,
emission_rate='minute' if minute_emission else 'daily'
)
@@ -3396,7 +3396,7 @@ class TestRemoveData(TestCase):
self.assertEqual(algo.data_lengths, self.live_asset_counts)
class TestEquityAutoClose(WithTmpDir, ZiplineTestCase):
class TestEquityAutoClose(WithTmpDir, WithTradingSchedule, ZiplineTestCase):
"""
Tests if delisted equities are properly removed from a portfolio holding
positions in said equities.
@@ -3404,7 +3404,7 @@ class TestEquityAutoClose(WithTmpDir, ZiplineTestCase):
@classmethod
def init_class_fixtures(cls):
super(TestEquityAutoClose, cls).init_class_fixtures()
trading_days = default_nyse_schedule.all_execution_days
trading_days = cls.trading_schedule.all_execution_days
start_date = pd.Timestamp('2015-01-05', tz='UTC')
start_date_loc = trading_days.get_loc(start_date)
test_duration = 7
@@ -3420,7 +3420,7 @@ class TestEquityAutoClose(WithTmpDir, ZiplineTestCase):
num_assets=3,
start_date=self.test_days[0],
first_end=self.first_asset_expiration,
frequency=default_nyse_schedule.day,
frequency=self.trading_schedule.day,
periods_between_ends=2,
auto_close_delta=auto_close_delta,
)
@@ -3428,10 +3428,10 @@ class TestEquityAutoClose(WithTmpDir, ZiplineTestCase):
sids = asset_info.index
env = self.enter_instance_context(tmp_trading_env(equities=asset_info))
market_opens = default_nyse_schedule.schedule.market_open.loc[
market_opens = self.trading_schedule.schedule.market_open.loc[
self.test_days
]
market_closes = default_nyse_schedule.schedule.market_close.loc[
market_closes = self.trading_schedule.schedule.market_close.loc[
self.test_days
]
@@ -3454,12 +3454,12 @@ class TestEquityAutoClose(WithTmpDir, ZiplineTestCase):
)
reader = BcolzDailyBarReader(path)
data_portal = DataPortal(
env, default_nyse_schedule,
env, self.trading_schedule,
first_trading_day=reader.first_trading_day,
equity_daily_reader=reader,
)
elif frequency == 'minute':
dates = default_nyse_schedule.execution_minutes_for_days_in_range(
dates = self.trading_schedule.execution_minutes_for_days_in_range(
self.test_days[0],
self.test_days[-1],
)
@@ -3484,7 +3484,7 @@ class TestEquityAutoClose(WithTmpDir, ZiplineTestCase):
)
reader = BcolzMinuteBarReader(self.tmpdir.path)
data_portal = DataPortal(
env, default_nyse_schedule,
env, self.trading_schedule,
first_trading_day=reader.first_trading_day,
equity_minute_reader=reader,
)
@@ -3510,7 +3510,7 @@ class TestEquityAutoClose(WithTmpDir, ZiplineTestCase):
else:
final_prices = {
asset.sid: trade_data_by_sid[asset.sid].loc[
default_nyse_schedule.start_and_end(asset.end_date)[1]
self.trading_schedule.start_and_end(asset.end_date)[1]
].close
for asset in assets
}
@@ -3582,7 +3582,7 @@ class TestEquityAutoClose(WithTmpDir, ZiplineTestCase):
Make sure that after an equity gets delisted, our portfolio holds the
correct number of equities and correct amount of cash.
"""
auto_close_delta = default_nyse_schedule.day * auto_close_lag
auto_close_delta = self.trading_schedule.day * auto_close_lag
resources = self.make_data(auto_close_delta, 'daily', capital_base)
assets = resources.assets
@@ -3742,7 +3742,7 @@ class TestEquityAutoClose(WithTmpDir, ZiplineTestCase):
canceled. Unless an equity is auto closed, any open orders for that
equity will persist indefinitely.
"""
auto_close_delta = default_nyse_schedule.day
auto_close_delta = self.trading_schedule.day
resources = self.make_data(auto_close_delta, 'daily')
env = resources.env
assets = resources.assets
@@ -3814,7 +3814,7 @@ class TestEquityAutoClose(WithTmpDir, ZiplineTestCase):
)
def test_minutely_delisted_equities(self):
resources = self.make_data(default_nyse_schedule.day, 'minute')
resources = self.make_data(self.trading_schedule.day, 'minute')
env = resources.env
assets = resources.assets
@@ -4002,7 +4002,7 @@ class TestOrderAfterDelist(WithTradingEnvironment, ZiplineTestCase):
sim_params=SimulationParameters(
period_start=pd.Timestamp("2016-01-06", tz='UTC'),
period_end=pd.Timestamp("2016-01-07", tz='UTC'),
trading_schedule=default_nyse_schedule,
trading_schedule=self.trading_schedule,
data_frequency="minute"
)
)
tests/test_api_shim.py
+7 -8
View File
@@ -19,7 +19,6 @@ from zipline.testing.fixtures import (
ZiplineTestCase,
)
from zipline.zipline_warnings import ZiplineDeprecationWarning
from zipline.utils.calendars import default_nyse_schedule
simple_algo = """
from zipline.api import sid, order
@@ -125,7 +124,7 @@ class TestAPIShim(WithDataPortal, WithSimParams, ZiplineTestCase):
def make_minute_bar_data(cls):
for sid in cls.sids:
yield sid, create_minute_df_for_asset(
default_nyse_schedule,
cls.trading_schedule,
cls.SIM_PARAMS_START,
cls.SIM_PARAMS_END,
)
@@ -134,7 +133,7 @@ class TestAPIShim(WithDataPortal, WithSimParams, ZiplineTestCase):
def make_daily_bar_data(cls):
for sid in cls.sids:
yield sid, create_daily_df_for_asset(
default_nyse_schedule,
cls.trading_schedule,
cls.SIM_PARAMS_START,
cls.SIM_PARAMS_END,
)
@@ -180,10 +179,10 @@ class TestAPIShim(WithDataPortal, WithSimParams, ZiplineTestCase):
similar) and the new data API(data.current(sid(N), field) and
similar) hit the same code paths on the DataPortal.
"""
test_start_minute = default_nyse_schedule.execution_minutes_for_day(
test_start_minute = self.trading_schedule.execution_minutes_for_day(
self.sim_params.trading_days[0]
)[1]
test_end_minute = default_nyse_schedule.execution_minutes_for_day(
test_end_minute = self.trading_schedule.execution_minutes_for_day(
self.sim_params.trading_days[0]
)[-1]
bar_data = BarData(
@@ -261,7 +260,7 @@ class TestAPIShim(WithDataPortal, WithSimParams, ZiplineTestCase):
period_start=test_start_minute,
period_end=test_end_minute,
data_frequency="minute",
trading_schedule=default_nyse_schedule,
trading_schedule=self.trading_schedule,
)
history_algorithm = self.create_algo(
@@ -382,7 +381,7 @@ class TestAPIShim(WithDataPortal, WithSimParams, ZiplineTestCase):
capital_base=self.sim_params.capital_base,
data_frequency=self.sim_params.data_frequency,
emission_rate=self.sim_params.emission_rate,
trading_schedule=default_nyse_schedule,
trading_schedule=self.trading_schedule,
)
algo = self.create_algo(history_algo,
@@ -425,7 +424,7 @@ class TestAPIShim(WithDataPortal, WithSimParams, ZiplineTestCase):
period_start=self.sim_params.trading_days[8],
period_end=self.sim_params.trading_days[-1],
data_frequency="minute",
trading_schedule=default_nyse_schedule,
trading_schedule=self.trading_schedule,
)
algo = self.create_algo(simple_transforms_algo,
tests/test_assets.py
+3 -3
View File
@@ -82,8 +82,8 @@ from zipline.testing.predicates import assert_equal
from zipline.testing.fixtures import (
WithAssetFinder,
ZiplineTestCase,
WithTradingSchedule,
)
from zipline.utils.calendars import default_nyse_schedule
@contextmanager
@@ -396,7 +396,7 @@ class TestFuture(WithAssetFinder, ZiplineTestCase):
TestFuture.asset_finder.lookup_future_symbol('XXX99')
class AssetFinderTestCase(ZiplineTestCase):
class AssetFinderTestCase(WithTradingSchedule, ZiplineTestCase):
asset_finder_type = AssetFinder
def write_assets(self, **kwargs):
@@ -776,7 +776,7 @@ class AssetFinderTestCase(ZiplineTestCase):
def test_compute_lifetimes(self):
num_assets = 4
trading_day = default_nyse_schedule.day
trading_day = self.trading_schedule.day
first_start = pd.Timestamp('2015-04-01', tz='UTC')
frame = make_rotating_equity_info(
tests/test_bar_data.py
+1 -2
View File
@@ -28,7 +28,6 @@ from zipline.testing.fixtures import (
WithDataPortal,
ZiplineTestCase,
)
from zipline.utils.calendars import default_nyse_schedule
OHLC = ["open", "high", "low", "close"]
OHLCP = OHLC + ["price"]
@@ -610,7 +609,7 @@ class TestDailyBarData(WithBarDataChecks,
def make_daily_bar_data(cls):
for sid in cls.sids:
yield sid, create_daily_df_for_asset(
default_nyse_schedule,
cls.trading_schedule,
cls.bcolz_daily_bar_days[0],
cls.bcolz_daily_bar_days[-1],
interval=2 - sid % 2
tests/test_benchmark.py
+8 -7
View File
@@ -30,12 +30,13 @@ from zipline.testing import (
from zipline.testing.fixtures import (
WithDataPortal,
WithSimParams,
WithTradingSchedule,
ZiplineTestCase,
)
from zipline.utils.calendars import default_nyse_schedule
class TestBenchmark(WithDataPortal, WithSimParams, ZiplineTestCase):
class TestBenchmark(WithDataPortal, WithSimParams, WithTradingSchedule,
ZiplineTestCase):
START_DATE = pd.Timestamp('2006-01-03', tz='utc')
END_DATE = pd.Timestamp('2006-12-29', tz='utc')
@@ -86,7 +87,7 @@ class TestBenchmark(WithDataPortal, WithSimParams, ZiplineTestCase):
days_to_use = self.sim_params.trading_days[1:]
source = BenchmarkSource(
1, self.env, default_nyse_schedule, days_to_use, self.data_portal
1, self.env, self.trading_schedule, days_to_use, self.data_portal
)
# should be the equivalent of getting the price history, then doing
@@ -112,7 +113,7 @@ class TestBenchmark(WithDataPortal, WithSimParams, ZiplineTestCase):
BenchmarkSource(
3,
self.env,
default_nyse_schedule,
self.trading_schedule,
self.sim_params.trading_days[1:],
self.data_portal
)
@@ -127,7 +128,7 @@ class TestBenchmark(WithDataPortal, WithSimParams, ZiplineTestCase):
BenchmarkSource(
3,
self.env,
default_nyse_schedule,
self.trading_schedule,
self.sim_params.trading_days[120:],
self.data_portal
)
@@ -141,7 +142,7 @@ class TestBenchmark(WithDataPortal, WithSimParams, ZiplineTestCase):
def test_asset_IPOed_same_day(self):
# gotta get some minute data up in here.
# add sid 4 for a couple of days
minutes = default_nyse_schedule.execution_minutes_for_days_in_range(
minutes = self.trading_schedule.execution_minutes_for_days_in_range(
self.sim_params.trading_days[0],
self.sim_params.trading_days[5]
)
@@ -192,7 +193,7 @@ class TestBenchmark(WithDataPortal, WithSimParams, ZiplineTestCase):
with self.assertRaises(InvalidBenchmarkAsset) as exc:
BenchmarkSource(
4, self.env, default_nyse_schedule,
4, self.env, self.trading_schedule,
self.sim_params.trading_days, self.data_portal
)
tests/test_data_portal.py
+3 -4
View File
@@ -16,7 +16,6 @@ from pandas.tslib import Timedelta
from zipline.data.data_portal import DataPortal
from zipline.testing.fixtures import WithTradingEnvironment, ZiplineTestCase
from zipline.utils.calendars import default_nyse_schedule
import pandas as pd
@@ -27,7 +26,7 @@ class TestDataPortal(WithTradingEnvironment, ZiplineTestCase):
def init_instance_fixtures(self):
super(TestDataPortal, self).init_instance_fixtures()
self.data_portal = DataPortal(self.env, default_nyse_schedule,
self.data_portal = DataPortal(self.env, self.trading_schedule,
first_trading_day=None)
def test_bar_count_for_simple_transforms(self):
@@ -42,7 +41,7 @@ class TestDataPortal(WithTradingEnvironment, ZiplineTestCase):
# half an hour into july 9, getting a 4-"day" window should get us
# all the minutes of 7/6, 7/7, 7/8, and 31 minutes of 7/9
july_9_dt = default_nyse_schedule.start_and_end(
july_9_dt = self.trading_schedule.start_and_end(
pd.Timestamp("2015-07-09")
)[0] + Timedelta("30 minutes")
@@ -65,7 +64,7 @@ class TestDataPortal(WithTradingEnvironment, ZiplineTestCase):
# half an hour into nov 30, getting a 4-"day" window should get us
# all the minutes of 11/24, 11/25, 11/27 (half day!), and 31 minutes
# of 11/30
nov_30_dt = default_nyse_schedule.start_and_end(
nov_30_dt = self.trading_schedule.start_and_end(
pd.Timestamp("2015-11-30")
)[0] + Timedelta("30 minutes")
tests/test_fetcher.py
+2 -3
View File
@@ -28,7 +28,6 @@ from zipline.testing.fixtures import (
WithSimParams,
ZiplineTestCase,
)
from zipline.utils.calendars import default_nyse_schedule
from .resources.fetcher_inputs.fetcher_test_data import (
AAPL_CSV_DATA,
AAPL_IBM_CSV_DATA,
@@ -110,7 +109,7 @@ class FetcherTestCase(WithResponses,
)
results = test_algo.run(FetcherDataPortal(self.env,
default_nyse_schedule))
self.trading_schedule))
return results
@@ -144,7 +143,7 @@ def handle_data(context, data):
# the minutely emission packets here. TradingAlgorithm.run() only
# returns daily packets.
test_algo.data_portal = FetcherDataPortal(self.env,
default_nyse_schedule)
self.trading_schedule)
gen = test_algo.get_generator()
perf_packets = list(gen)
tests/test_finance.py
+8 -13
View File
@@ -30,7 +30,6 @@ from testfixtures import TempDirectory
from zipline.assets.synthetic import make_simple_equity_info
from zipline.finance.blotter import Blotter
from zipline.finance.execution import MarketOrder, LimitOrder
from zipline.finance.trading import TradingEnvironment
from zipline.finance.performance import PerformanceTracker
from zipline.finance.trading import SimulationParameters
from zipline.data.us_equity_pricing import BcolzDailyBarReader
@@ -50,10 +49,6 @@ from zipline.testing.fixtures import (
)
import zipline.utils.factory as factory
from zipline.utils.calendars import (
default_nyse_schedule,
get_calendar,
)
DEFAULT_TIMEOUT = 15 # seconds
EXTENDED_TIMEOUT = 90
@@ -203,7 +198,7 @@ class FinanceTestCase(WithLogger,
data_frequency="minute"
)
minutes = default_nyse_schedule.execution_minute_window(
minutes = self.trading_schedule.execution_minute_window(
sim_params.first_open,
int((trade_interval.total_seconds() / 60) * trade_count)
+ 100)
@@ -221,8 +216,8 @@ class FinanceTestCase(WithLogger,
}
write_bcolz_minute_data(
default_nyse_schedule,
default_nyse_schedule.execution_days_in_range(minutes[0],
self.trading_schedule,
self.trading_schedule.execution_days_in_range(minutes[0],
minutes[-1]),
tempdir.path,
iteritems(assets),
@@ -231,7 +226,7 @@ class FinanceTestCase(WithLogger,
equity_minute_reader = BcolzMinuteBarReader(tempdir.path)
data_portal = DataPortal(
env, default_nyse_schedule,
env, self.trading_schedule,
first_trading_day=equity_minute_reader.first_trading_day,
equity_minute_reader=equity_minute_reader,
)
@@ -259,7 +254,7 @@ class FinanceTestCase(WithLogger,
equity_daily_reader = BcolzDailyBarReader(path)
data_portal = DataPortal(
env, default_nyse_schedule,
env, self.trading_schedule,
first_trading_day=equity_daily_reader.first_trading_day,
equity_daily_reader=equity_daily_reader,
)
@@ -280,7 +275,7 @@ class FinanceTestCase(WithLogger,
else:
alternator = 1
tracker = PerformanceTracker(sim_params, default_nyse_schedule,
tracker = PerformanceTracker(sim_params, self.trading_schedule,
self.env)
# replicate what tradesim does by going through every minute or day
@@ -399,7 +394,7 @@ class TradingEnvironmentTestCase(WithLogger,
period_start=datetime(2008, 1, 1, tzinfo=pytz.utc),
period_end=datetime(2008, 12, 31, tzinfo=pytz.utc),
capital_base=100000,
trading_schedule=default_nyse_schedule,
trading_schedule=self.trading_schedule,
)
self.assertTrue(sp.last_close.month == 12)
@@ -420,7 +415,7 @@ class TradingEnvironmentTestCase(WithLogger,
period_start=datetime(2007, 12, 31, tzinfo=pytz.utc),
period_end=datetime(2008, 1, 7, tzinfo=pytz.utc),
capital_base=100000,
trading_schedule=default_nyse_schedule,
trading_schedule=self.trading_schedule,
)
expected_trading_days = (
tests/test_history.py
+28 -29
View File
@@ -24,7 +24,6 @@ from zipline.testing import (
str_to_seconds,
MockDailyBarReader,
)
from zipline.utils.calendars import default_nyse_schedule
from zipline.testing.fixtures import (
WithBcolzMinuteBarReader,
WithDataPortal,
@@ -79,7 +78,7 @@ class WithHistory(WithDataPortal):
@classmethod
def init_class_fixtures(cls):
super(WithHistory, cls).init_class_fixtures()
cls.trading_days = default_nyse_schedule.execution_days_in_range(
cls.trading_days = cls.trading_schedule.execution_days_in_range(
start=cls.TRADING_START_DT,
end=cls.TRADING_END_DT
)
@@ -456,14 +455,14 @@ class MinuteEquityHistoryTestCase(WithHistory, ZiplineTestCase):
for sid in sids:
asset = cls.asset_finder.retrieve_asset(sid)
data[sid] = create_minute_df_for_asset(
default_nyse_schedule,
cls.trading_schedule,
asset.start_date,
asset.end_date,
start_val=2,
)
data[1] = create_minute_df_for_asset(
default_nyse_schedule,
cls.trading_schedule,
pd.Timestamp('2014-01-03', tz='utc'),
pd.Timestamp('2016-01-30', tz='utc'),
start_val=2,
@@ -510,7 +509,7 @@ class MinuteEquityHistoryTestCase(WithHistory, ZiplineTestCase):
))
asset3 = cls.asset_finder.retrieve_asset(3)
data[3] = create_minute_df_for_asset(
default_nyse_schedule,
cls.trading_schedule,
asset3.start_date,
asset3.end_date,
start_val=2,
@@ -540,7 +539,7 @@ class MinuteEquityHistoryTestCase(WithHistory, ZiplineTestCase):
capital_base=float('1.0e5'),
data_frequency='minute',
emission_rate='daily',
trading_schedule=default_nyse_schedule,
trading_schedule=self.trading_schedule,
)
test_algo = TradingAlgorithm(
@@ -679,8 +678,8 @@ class MinuteEquityHistoryTestCase(WithHistory, ZiplineTestCase):
def test_minute_before_assets_trading(self):
# since asset2 and asset3 both started trading on 1/5/2015, let's do
# some history windows that are completely before that
minutes = default_nyse_schedule.execution_minutes_for_day(
default_nyse_schedule.previous_execution_day(pd.Timestamp(
minutes = self.trading_schedule.execution_minutes_for_day(
self.trading_schedule.previous_execution_day(pd.Timestamp(
'2015-01-05', tz='UTC'
))
)[0:60]
@@ -729,7 +728,7 @@ class MinuteEquityHistoryTestCase(WithHistory, ZiplineTestCase):
# 10 minutes
asset = self.env.asset_finder.retrieve_asset(sid)
minutes = default_nyse_schedule.execution_minutes_for_day(
minutes = self.trading_schedule.execution_minutes_for_day(
pd.Timestamp('2015-01-05', tz='UTC')
)[0:60]
@@ -740,8 +739,8 @@ class MinuteEquityHistoryTestCase(WithHistory, ZiplineTestCase):
def test_minute_midnight(self):
midnight = pd.Timestamp('2015-01-06', tz='UTC')
last_minute = default_nyse_schedule.start_and_end(
default_nyse_schedule.previous_execution_day(midnight)
last_minute = self.trading_schedule.start_and_end(
self.trading_schedule.previous_execution_day(midnight)
)[1]
midnight_bar_data = \
@@ -760,7 +759,7 @@ class MinuteEquityHistoryTestCase(WithHistory, ZiplineTestCase):
def test_minute_after_asset_stopped(self):
# SHORT_ASSET's last day was 2015-01-06
# get some history windows that straddle the end
minutes = default_nyse_schedule.execution_minutes_for_day(
minutes = self.trading_schedule.execution_minutes_for_day(
pd.Timestamp('2015-01-07', tz='UTC')
)[0:60]
@@ -855,7 +854,7 @@ class MinuteEquityHistoryTestCase(WithHistory, ZiplineTestCase):
# before any of the adjustments, last 10 minutes of jan 5
window1 = self.data_portal.get_history_window(
[asset],
default_nyse_schedule.start_and_end(jan5)[1],
self.trading_schedule.start_and_end(jan5)[1],
10,
'1m',
'close'
@@ -1104,21 +1103,21 @@ class MinuteEquityHistoryTestCase(WithHistory, ZiplineTestCase):
def test_minute_different_lifetimes(self):
# at trading start, only asset1 existed
day = default_nyse_schedule.next_execution_day(self.TRADING_START_DT)
day = self.trading_schedule.next_execution_day(self.TRADING_START_DT)
asset1_minutes = \
default_nyse_schedule.execution_minutes_for_days_in_range(
self.trading_schedule.execution_minutes_for_days_in_range(
start=self.ASSET1.start_date,
end=self.ASSET1.end_date
)
asset1_idx = asset1_minutes.searchsorted(
default_nyse_schedule.start_and_end(day)[0]
self.trading_schedule.start_and_end(day)[0]
)
window = self.data_portal.get_history_window(
[self.ASSET1, self.ASSET2],
default_nyse_schedule.start_and_end(day)[0],
self.trading_schedule.start_and_end(day)[0],
100,
'1m',
'close'
@@ -1137,7 +1136,7 @@ class MinuteEquityHistoryTestCase(WithHistory, ZiplineTestCase):
# trading_start is 2/3/2014
# get a history window that starts before that, and ends after that
self.data_portal.set_first_trading_day(self.TRADING_START_DT)
first_day_minutes = default_nyse_schedule.execution_minutes_for_day(
first_day_minutes = self.trading_schedule.execution_minutes_for_day(
self.TRADING_START_DT
)
exp_msg = (
@@ -1157,7 +1156,7 @@ class MinuteEquityHistoryTestCase(WithHistory, ZiplineTestCase):
# January 2015 has both daily and minute data for ASSET2
day = pd.Timestamp('2015-01-07', tz='UTC')
minutes = default_nyse_schedule.execution_minutes_for_day(day)
minutes = self.trading_schedule.execution_minutes_for_day(day)
# minute data, baseline:
# Jan 5: 2 to 391
@@ -1221,7 +1220,7 @@ class MinuteEquityHistoryTestCase(WithHistory, ZiplineTestCase):
# January 2015 has both daily and minute data for ASSET2
day = pd.Timestamp('2015-01-08', tz='UTC')
minutes = default_nyse_schedule.execution_minutes_for_day(day)
minutes = self.trading_schedule.execution_minutes_for_day(day)
# minute data, baseline:
# Jan 5: 2 to 391
@@ -1340,8 +1339,8 @@ class DailyEquityHistoryTestCase(WithHistory, ZiplineTestCase):
@classmethod
def create_df_for_asset(cls, start_day, end_day, interval=1,
force_zeroes=False):
days = default_nyse_schedule.execution_days_in_range(start_day,
end_day)
days = cls.trading_schedule.execution_days_in_range(start_day,
end_day)
days_count = len(days)
# default to 2 because the low array subtracts 1, and we don't
@@ -1370,7 +1369,7 @@ class DailyEquityHistoryTestCase(WithHistory, ZiplineTestCase):
def test_daily_before_assets_trading(self):
# asset2 and asset3 both started trading in 2015
days = default_nyse_schedule.execution_days_in_range(
days = self.trading_schedule.execution_days_in_range(
start=pd.Timestamp('2014-12-15', tz='UTC'),
end=pd.Timestamp('2014-12-18', tz='UTC'),
)
@@ -1408,9 +1407,9 @@ class DailyEquityHistoryTestCase(WithHistory, ZiplineTestCase):
# get the first 30 days of 2015
jan5 = pd.Timestamp('2015-01-04')
days = default_nyse_schedule.execution_days_in_range(
days = self.trading_schedule.execution_days_in_range(
start=jan5,
end=default_nyse_schedule.add_execution_days(30, jan5)
end=self.trading_schedule.add_execution_days(30, jan5)
)
for idx, day in enumerate(days):
@@ -1453,7 +1452,7 @@ class DailyEquityHistoryTestCase(WithHistory, ZiplineTestCase):
def test_daily_after_asset_stopped(self):
# SHORT_ASSET trades on 1/5, 1/6, that's it.
days = default_nyse_schedule.execution_days_in_range(
days = self.trading_schedule.execution_days_in_range(
start=pd.Timestamp('2015-01-07', tz='UTC'),
end=pd.Timestamp('2015-01-08', tz='UTC')
)
@@ -1646,7 +1645,7 @@ class DailyEquityHistoryTestCase(WithHistory, ZiplineTestCase):
# get a history window that starts before that, and ends after that
self.data_portal.set_first_trading_day(self.TRADING_START_DT)
second_day = default_nyse_schedule.next_execution_day(
second_day = self.trading_schedule.next_execution_day(
self.TRADING_START_DT
)
@@ -1675,7 +1674,7 @@ class DailyEquityHistoryTestCase(WithHistory, ZiplineTestCase):
# Use a minute to force minute mode.
first_minute = \
default_nyse_schedule.schedule.market_open[self.TRADING_START_DT]
self.trading_schedule.schedule.market_open[self.TRADING_START_DT]
with self.assertRaisesRegexp(HistoryWindowStartsBeforeData, exp_msg):
self.data_portal.get_history_window(
@@ -1805,7 +1804,7 @@ class MinuteToDailyAggregationTestCase(WithBcolzMinuteBarReader,
# Set up a fresh data portal for each test, since order of calling
# needs to be tested.
self.equity_daily_aggregator = DailyHistoryAggregator(
default_nyse_schedule.schedule.market_open,
self.trading_schedule.schedule.market_open,
self.bcolz_minute_bar_reader,
)
tests/test_perf_tracking.py
+55 -53
View File
@@ -57,6 +57,7 @@ from zipline.testing.fixtures import (
WithSimParams,
WithTmpDir,
WithTradingEnvironment,
WithTradingSchedule,
ZiplineTestCase,
)
from zipline.utils.calendars import default_nyse_schedule
@@ -279,7 +280,7 @@ class TestSplitPerformance(WithSimParams, WithTmpDir, ZiplineTestCase):
# if multiple positions all have splits at the same time, verify that
# the total leftover cash is correct
perf_tracker = perf.PerformanceTracker(self.sim_params,
default_nyse_schedule,
self.trading_schedule,
self.env)
asset1 = self.asset_finder.retrieve_asset(1)
@@ -309,14 +310,14 @@ class TestSplitPerformance(WithSimParams, WithTmpDir, ZiplineTestCase):
[100, 100],
oneday,
self.sim_params,
trading_schedule=default_nyse_schedule,
trading_schedule=self.trading_schedule,
)
# set up a long position in sid 1
# 100 shares at $20 apiece = $2000 position
data_portal = create_data_portal_from_trade_history(
self.env,
default_nyse_schedule,
self.trading_schedule,
self.tmpdir,
self.sim_params,
{1: events},
@@ -421,7 +422,7 @@ class TestDividendPerformance(WithSimParams,
after = factory.get_next_trading_dt(
before,
timedelta(days=1),
default_nyse_schedule,
self.trading_schedule,
)
self.assertEqual(after.hour, 13)
@@ -433,7 +434,7 @@ class TestDividendPerformance(WithSimParams,
[100, 100, 100, 100, 100, 100],
oneday,
self.sim_params,
trading_schedule=default_nyse_schedule,
trading_schedule=self.trading_schedule,
)
dbpath = self.instance_tmpdir.getpath('adjustments.sqlite')
@@ -441,7 +442,7 @@ class TestDividendPerformance(WithSimParams,
writer = SQLiteAdjustmentWriter(
dbpath,
MockDailyBarReader(),
default_nyse_schedule.all_execution_days,
self.trading_schedule.all_execution_days,
)
splits = mergers = create_empty_splits_mergers_frame()
dividends = pd.DataFrame({
@@ -456,7 +457,7 @@ class TestDividendPerformance(WithSimParams,
adjustment_reader = SQLiteAdjustmentReader(dbpath)
data_portal = create_data_portal_from_trade_history(
self.env,
default_nyse_schedule,
self.trading_schedule,
self.instance_tmpdir,
self.sim_params,
{1: events},
@@ -499,7 +500,7 @@ class TestDividendPerformance(WithSimParams,
[100, 100, 100, 100, 100, 100],
oneday,
self.sim_params,
trading_schedule=default_nyse_schedule,
trading_schedule=self.trading_schedule,
)
dbpath = self.instance_tmpdir.getpath('adjustments.sqlite')
@@ -507,7 +508,7 @@ class TestDividendPerformance(WithSimParams,
writer = SQLiteAdjustmentWriter(
dbpath,
MockDailyBarReader(),
default_nyse_schedule.all_execution_days,
self.trading_schedule.all_execution_days,
)
splits = mergers = create_empty_splits_mergers_frame()
dividends = pd.DataFrame({
@@ -533,7 +534,7 @@ class TestDividendPerformance(WithSimParams,
data_portal = create_data_portal_from_trade_history(
self.env,
default_nyse_schedule,
self.trading_schedule,
self.instance_tmpdir,
self.sim_params,
events,
@@ -574,7 +575,7 @@ class TestDividendPerformance(WithSimParams,
[100, 100, 100, 100, 100, 100],
oneday,
self.sim_params,
trading_schedule=default_nyse_schedule,
trading_schedule=self.trading_schedule,
)
dbpath = self.instance_tmpdir.getpath('adjustments.sqlite')
@@ -582,7 +583,7 @@ class TestDividendPerformance(WithSimParams,
writer = SQLiteAdjustmentWriter(
dbpath,
MockDailyBarReader(),
default_nyse_schedule.all_execution_days,
self.trading_schedule.all_execution_days,
)
splits = mergers = create_empty_splits_mergers_frame()
dividends = pd.DataFrame({
@@ -598,7 +599,7 @@ class TestDividendPerformance(WithSimParams,
data_portal = create_data_portal_from_trade_history(
self.env,
default_nyse_schedule,
self.trading_schedule,
self.instance_tmpdir,
self.sim_params,
{1: events},
@@ -636,7 +637,7 @@ class TestDividendPerformance(WithSimParams,
[100, 100, 100, 100, 100, 100],
oneday,
self.sim_params,
trading_schedule=default_nyse_schedule,
trading_schedule=self.trading_schedule,
)
dbpath = self.instance_tmpdir.getpath('adjustments.sqlite')
@@ -644,7 +645,7 @@ class TestDividendPerformance(WithSimParams,
writer = SQLiteAdjustmentWriter(
dbpath,
MockDailyBarReader(),
default_nyse_schedule.all_execution_days,
self.trading_schedule.all_execution_days,
)
splits = mergers = create_empty_splits_mergers_frame()
dividends = pd.DataFrame({
@@ -660,7 +661,7 @@ class TestDividendPerformance(WithSimParams,
data_portal = create_data_portal_from_trade_history(
self.env,
default_nyse_schedule,
self.trading_schedule,
self.instance_tmpdir,
self.sim_params,
{1: events},
@@ -699,14 +700,14 @@ class TestDividendPerformance(WithSimParams,
[100, 100, 100, 100, 100, 100],
oneday,
self.sim_params,
trading_schedule=default_nyse_schedule,
trading_schedule=self.trading_schedule,
)
dbpath = self.instance_tmpdir.getpath('adjustments.sqlite')
writer = SQLiteAdjustmentWriter(
dbpath,
MockDailyBarReader(),
default_nyse_schedule.all_execution_days,
self.trading_schedule.all_execution_days,
)
splits = mergers = create_empty_splits_mergers_frame()
@@ -723,7 +724,7 @@ class TestDividendPerformance(WithSimParams,
data_portal = create_data_portal_from_trade_history(
self.env,
default_nyse_schedule,
self.trading_schedule,
self.instance_tmpdir,
self.sim_params,
{1: events},
@@ -760,21 +761,21 @@ class TestDividendPerformance(WithSimParams,
[100, 100, 100, 100, 100, 100],
oneday,
self.sim_params,
trading_schedule=default_nyse_schedule,
trading_schedule=self.trading_schedule,
)
pay_date = self.sim_params.first_open
# find pay date that is much later.
for i in range(30):
pay_date = factory.get_next_trading_dt(pay_date, oneday,
default_nyse_schedule)
self.trading_schedule)
dbpath = self.instance_tmpdir.getpath('adjustments.sqlite')
writer = SQLiteAdjustmentWriter(
dbpath,
MockDailyBarReader(),
default_nyse_schedule.all_execution_days,
self.trading_schedule.all_execution_days,
)
splits = mergers = create_empty_splits_mergers_frame()
dividends = pd.DataFrame({
@@ -790,7 +791,7 @@ class TestDividendPerformance(WithSimParams,
data_portal = create_data_portal_from_trade_history(
self.env,
default_nyse_schedule,
self.trading_schedule,
self.instance_tmpdir,
self.sim_params,
{1: events},
@@ -828,7 +829,7 @@ class TestDividendPerformance(WithSimParams,
[100, 100, 100, 100, 100, 100],
oneday,
self.sim_params,
trading_schedule=default_nyse_schedule,
trading_schedule=self.trading_schedule,
)
dbpath = self.instance_tmpdir.getpath('adjustments.sqlite')
@@ -836,7 +837,7 @@ class TestDividendPerformance(WithSimParams,
writer = SQLiteAdjustmentWriter(
dbpath,
MockDailyBarReader(),
default_nyse_schedule.all_execution_days,
self.trading_schedule.all_execution_days,
)
splits = mergers = create_empty_splits_mergers_frame()
dividends = pd.DataFrame({
@@ -852,7 +853,7 @@ class TestDividendPerformance(WithSimParams,
data_portal = create_data_portal_from_trade_history(
self.env,
default_nyse_schedule,
self.trading_schedule,
self.instance_tmpdir,
self.sim_params,
{1: events},
@@ -887,7 +888,7 @@ class TestDividendPerformance(WithSimParams,
[100, 100, 100, 100, 100, 100],
oneday,
self.sim_params,
trading_schedule=default_nyse_schedule,
trading_schedule=self.trading_schedule,
)
dbpath = self.instance_tmpdir.getpath('adjustments.sqlite')
@@ -895,7 +896,7 @@ class TestDividendPerformance(WithSimParams,
writer = SQLiteAdjustmentWriter(
dbpath,
MockDailyBarReader(),
default_nyse_schedule.all_execution_days,
self.trading_schedule.all_execution_days,
)
splits = mergers = create_empty_splits_mergers_frame()
dividends = pd.DataFrame({
@@ -911,7 +912,7 @@ class TestDividendPerformance(WithSimParams,
data_portal = create_data_portal_from_trade_history(
self.env,
default_nyse_schedule,
self.trading_schedule,
self.instance_tmpdir,
self.sim_params,
{1: events},
@@ -944,7 +945,7 @@ class TestDividendPerformance(WithSimParams,
[100, 100, 100, 100, 100],
oneday,
self.sim_params,
trading_schedule=default_nyse_schedule,
trading_schedule=self.trading_schedule,
)
dbpath = self.instance_tmpdir.getpath('adjustments.sqlite')
@@ -952,7 +953,7 @@ class TestDividendPerformance(WithSimParams,
writer = SQLiteAdjustmentWriter(
dbpath,
MockDailyBarReader(),
default_nyse_schedule.all_execution_days,
self.trading_schedule.all_execution_days,
)
splits = mergers = create_empty_splits_mergers_frame()
dividends = pd.DataFrame({
@@ -962,7 +963,7 @@ class TestDividendPerformance(WithSimParams,
'ex_date': np.array([events[-2].dt], dtype='datetime64[ns]'),
'record_date': np.array([events[0].dt], dtype='datetime64[ns]'),
'pay_date': np.array(
[default_nyse_schedule.next_execution_day(events[-1].dt)],
[self.trading_schedule.next_execution_day(events[-1].dt)],
dtype='datetime64[ns]'),
})
writer.write(splits, mergers, dividends)
@@ -977,11 +978,11 @@ class TestDividendPerformance(WithSimParams,
)
sim_params.period_end = events[-1].dt
sim_params.update_internal_from_trading_schedule(default_nyse_schedule)
sim_params.update_internal_from_trading_schedule(self.trading_schedule)
data_portal = create_data_portal_from_trade_history(
self.env,
default_nyse_schedule,
self.trading_schedule,
self.instance_tmpdir,
sim_params,
{1: events},
@@ -1021,7 +1022,8 @@ class TestDividendPerformanceHolidayStyle(TestDividendPerformance):
END_DATE = pd.Timestamp('2003-12-08', tz='utc')
class TestPositionPerformance(WithInstanceTmpDir, ZiplineTestCase):
class TestPositionPerformance(WithInstanceTmpDir, WithTradingSchedule,
ZiplineTestCase):
def create_environment_stuff(self,
num_days=4,
sids=[1, 2],
@@ -1070,7 +1072,7 @@ class TestPositionPerformance(WithInstanceTmpDir, ZiplineTestCase):
[100, 100, 100, 100],
oneday,
self.sim_params,
trading_schedule=default_nyse_schedule,
trading_schedule=self.trading_schedule,
)
trades_2 = factory.create_trade_history(
@@ -1079,12 +1081,12 @@ class TestPositionPerformance(WithInstanceTmpDir, ZiplineTestCase):
[100, 100, 100, 100],
oneday,
self.sim_params,
trading_schedule=default_nyse_schedule,
trading_schedule=self.trading_schedule,
)
data_portal = create_data_portal_from_trade_history(
self.env,
default_nyse_schedule,
self.trading_schedule,
self.instance_tmpdir,
self.sim_params,
{1: trades_1, 2: trades_2}
@@ -1176,12 +1178,12 @@ class TestPositionPerformance(WithInstanceTmpDir, ZiplineTestCase):
[100, 100, 100, 100],
oneday,
self.sim_params,
trading_schedule=default_nyse_schedule,
trading_schedule=self.trading_schedule,
)
data_portal = create_data_portal_from_trade_history(
self.env,
default_nyse_schedule,
self.trading_schedule,
self.instance_tmpdir,
self.sim_params,
{1: trades})
@@ -1268,12 +1270,12 @@ class TestPositionPerformance(WithInstanceTmpDir, ZiplineTestCase):
[100, 100, 100, 100],
oneday,
self.sim_params,
trading_schedule=default_nyse_schedule,
trading_schedule=self.trading_schedule,
)
data_portal = create_data_portal_from_trade_history(
self.env,
default_nyse_schedule,
self.trading_schedule,
self.instance_tmpdir,
self.sim_params,
{1: trades})
@@ -1384,14 +1386,14 @@ single short-sale transaction"""
[100, 100, 100, 100, 100, 100],
oneday,
self.sim_params,
trading_schedule=default_nyse_schedule,
trading_schedule=self.trading_schedule,
)
trades_1 = trades[:-2]
data_portal = create_data_portal_from_trade_history(
self.env,
default_nyse_schedule,
self.trading_schedule,
self.instance_tmpdir,
self.sim_params,
{1: trades})
@@ -1618,12 +1620,12 @@ cost of sole txn in test"
[100, 100, 100, 100],
oneday,
sim_params,
trading_schedule=default_nyse_schedule,
trading_schedule=self.trading_schedule,
)
data_portal = create_data_portal_from_trade_history(
self.env,
default_nyse_schedule,
self.trading_schedule,
self.instance_tmpdir,
self.sim_params,
{3: trades}
@@ -1738,12 +1740,12 @@ single short-sale transaction"""
[100, 100, 100, 100, 100, 100],
oneday,
self.sim_params,
trading_schedule=default_nyse_schedule,
trading_schedule=self.trading_schedule,
)
data_portal = create_data_portal_from_trade_history(
self.env,
default_nyse_schedule,
self.trading_schedule,
self.instance_tmpdir,
self.sim_params,
{3: trades}
@@ -1983,12 +1985,12 @@ trade after cover"""
[100, 100, 100, 100, 100, 100, 100, 100, 100, 100],
oneday,
self.sim_params,
trading_schedule=default_nyse_schedule,
trading_schedule=self.trading_schedule,
)
data_portal = create_data_portal_from_trade_history(
self.env,
default_nyse_schedule,
self.trading_schedule,
self.instance_tmpdir,
self.sim_params,
{1: trades})
@@ -2070,14 +2072,14 @@ shares in position"
[100, 100, 100, 100, 100],
oneday,
self.sim_params,
default_nyse_schedule,
self.trading_schedule,
)
trades = factory.create_trade_history(*history_args)
transactions = factory.create_txn_history(*history_args)[:4]
data_portal = create_data_portal_from_trade_history(
self.env,
default_nyse_schedule,
self.trading_schedule,
self.instance_tmpdir,
self.sim_params,
{1: trades})
@@ -2196,7 +2198,7 @@ shares in position"
[200, -100, -100, 100, -300, 100, 500, 400],
oneday,
self.sim_params,
default_nyse_schedule,
self.trading_schedule,
)
cost_bases = [10, 10, 0, 8, 9, 9, 13, 13.5]
tests/test_security_list.py
+11 -8
View File
@@ -12,13 +12,16 @@ from zipline.testing import (
tmp_trading_env,
tmp_dir,
)
from zipline.testing.fixtures import WithLogger, ZiplineTestCase
from zipline.testing.fixtures import (
WithLogger,
WithTradingSchedule,
ZiplineTestCase,
)
from zipline.utils import factory
from zipline.utils.security_list import (
SecurityListSet,
load_from_directory,
)
from zipline.utils.calendars import default_nyse_schedule
LEVERAGED_ETFS = load_from_directory('leveraged_etf_list')
@@ -64,7 +67,7 @@ class IterateRLAlgo(TradingAlgorithm):
self.found = True
class SecurityListTestCase(WithLogger, ZiplineTestCase):
class SecurityListTestCase(WithLogger, WithTradingSchedule, ZiplineTestCase):
@classmethod
def init_class_fixtures(cls):
@@ -88,7 +91,7 @@ class SecurityListTestCase(WithLogger, ZiplineTestCase):
cls.sim_params = factory.create_simulation_parameters(
start=start,
num_days=4,
trading_schedule=default_nyse_schedule
trading_schedule=cls.trading_schedule
)
cls.sim_params2 = sp2 = factory.create_simulation_parameters(
@@ -111,7 +114,7 @@ class SecurityListTestCase(WithLogger, ZiplineTestCase):
tempdir=cls.tempdir,
sim_params=cls.sim_params,
sids=range(0, 5),
trading_schedule=default_nyse_schedule,
trading_schedule=cls.trading_schedule,
)
cls.data_portal2 = create_data_portal(
@@ -119,7 +122,7 @@ class SecurityListTestCase(WithLogger, ZiplineTestCase):
tempdir=cls.tempdir2,
sim_params=cls.sim_params2,
sids=range(0, 5),
trading_schedule=default_nyse_schedule,
trading_schedule=cls.trading_schedule,
)
def test_iterate_over_restricted_list(self):
@@ -222,7 +225,7 @@ class SecurityListTestCase(WithLogger, ZiplineTestCase):
self.tempdir,
sim_params=sim_params,
sids=range(0, 5),
trading_schedule=default_nyse_schedule,
trading_schedule=self.trading_schedule,
)
algo = RestrictedAlgoWithoutCheck(symbol='BZQ',
@@ -274,7 +277,7 @@ class SecurityListTestCase(WithLogger, ZiplineTestCase):
new_tempdir,
sim_params,
range(0, 5),
trading_schedule=default_nyse_schedule,
trading_schedule=self.trading_schedule,
)
algo = RestrictedAlgoWithoutCheck(
zipline/data/us_equity_loader.py
+2 -1
View File
@@ -82,7 +82,8 @@ class USEquityHistoryLoader(with_metaclass(ABCMeta)):
"""
FIELDS = ('open', 'high', 'low', 'close', 'volume')
def __init__(self, trading_schedule, reader, adjustment_reader, sid_cache_size=1000):
def __init__(self, trading_schedule, reader, adjustment_reader,
sid_cache_size=1000):
self.trading_schedule = trading_schedule
self._reader = reader
self._adjustments_reader = adjustment_reader
zipline/finance/performance/tracker.py
+4 -4
View File
@@ -306,10 +306,10 @@ class PerformanceTracker(object):
)
stock_dividends = adjustment_reader.\
get_stock_dividends_with_ex_date(
held_sids,
next_trading_day,
self.asset_finder
)
held_sids,
next_trading_day,
self.asset_finder
)
position_tracker.earn_dividends(
cash_dividends,
zipline/finance/trading.py
-2
View File
@@ -26,7 +26,6 @@ from zipline.utils.calendars import default_nyse_schedule
log = logbook.Logger('Trading')
class TradingEnvironment(object):
"""
The financial simulations in zipline depend on information
@@ -107,7 +106,6 @@ class TradingEnvironment(object):
else:
self.asset_finder = None
def write_data(self, **kwargs):
"""Write data into the asset_db.
zipline/utils/calendars/trading_schedule.py
-2
View File
@@ -20,8 +20,6 @@ from abc import (
)
from six import with_metaclass
from zipline.utils.memoize import remember_last
from .exchange_calendar import get_calendar
from .calendar_helpers import (
next_scheduled_day,