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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/test_algorithm.py
+27 -27
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@@ -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"
)
)