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more test refactoring, this time a factory method to get the trading environment.

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This commit is contained in:
fawce
2012-03-20 10:52:40 -04:00
parent 8a6005140b
commit 7fb86be1ae
4 changed files with 171 additions and 132 deletions
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zipline/lines.py
+12 -3
View File
@@ -205,9 +205,18 @@ class SimulatedTrading(object):
to :py:class:`zipline.test.client.TestAlgorithm`
"""
assert isinstance(config, dict)
trading_environment = config['environment']
allocator = config['allocator']
sid = config['sid']
#--------------------
# Trading Environment
#--------------------
if config.has_key('environment'):
trading_environment = config['environment']
else:
trading_environment = factory.create_trading_environment()
if config.has_key('order_count'):
order_count = config['order_count']
else:
@@ -222,7 +231,7 @@ class SimulatedTrading(object):
simulator_class = config['simulator_class']
else:
simulator_class = Simulator
#-------------------
# Trade Source
#-------------------
@@ -279,7 +288,7 @@ class SimulatedTrading(object):
after the simulation has begun.")
def get_cumulative_performance(self):
self.trading_client.perf.cumulative_performance.to_dict()
return self.trading_client.perf.cumulative_performance.to_dict()
def allocate_sockets(self, n):
"""
zipline/test/factory.py
+27 -9
View File
@@ -1,18 +1,23 @@
import datetime
"""
Factory functions to prepare useful data for tests.
"""
import pytz
import msgpack
import random
from datetime import datetime, timedelta
import zipline.util as qutil
import zipline.finance.risk as risk
import zipline.protocol as zp
from zipline.sources import SpecificEquityTrades
from zipline.finance.trading import TradingEnvironment
def load_market_data():
fp_bm = open("./zipline/test/benchmark.msgpack", "rb")
bm_map = msgpack.loads(fp_bm.read())
bm_returns = []
for epoch, returns in bm_map.iteritems():
event_dt = datetime.datetime.fromtimestamp(epoch)
event_dt = datetime.fromtimestamp(epoch)
event_dt = event_dt.replace(
hour=0,
minute=0,
@@ -27,13 +32,26 @@ def load_market_data():
tr_map = msgpack.loads(fp_tr.read())
tr_curves = {}
for epoch, curve in tr_map.iteritems():
tr_dt = datetime.datetime.fromtimestamp(epoch)
tr_dt = datetime.fromtimestamp(epoch)
tr_dt = tr_dt.replace(hour=0, minute=0, second=0, tzinfo=pytz.utc)
tr_curves[tr_dt] = curve
return bm_returns, tr_curves
def create_trading_environment():
"""Construct a complete environment with reasonable defaults"""
benchmark_returns, treasury_curves = load_market_data()
start = datetime.strptime("01/01/2006","%m/%d/%Y")
start = start.replace(tzinfo=pytz.utc)
trading_environment = TradingEnvironment(
benchmark_returns,
treasury_curves,
period_start = start,
capital_base = 100000.0
)
return trading_environment
def create_trade(sid, price, amount, datetime):
row = zp.namedict({
'source_id' : "test_factory",
@@ -58,7 +76,7 @@ def create_trade_history(sid, prices, amounts, start_time, interval, trading_cal
current = current + interval
else:
current = current + datetime.timedelta(days=1)
current = current + timedelta(days=1)
return trades
@@ -82,7 +100,7 @@ def create_txn_history(sid, priceList, amtList, startTime, interval, trading_cal
current = current + interval
else:
current = current + datetime.timedelta(days=1)
current = current + timedelta(days=1)
return txns
@@ -91,7 +109,7 @@ def create_returns(daycount, start, trading_calendar):
i = 0
test_range = []
current = start.replace(tzinfo=pytz.utc)
one_day = datetime.timedelta(days = 1)
one_day = timedelta(days = 1)
while i < daycount:
i += 1
r = risk.DailyReturn(current, random.random())
@@ -103,7 +121,7 @@ def create_returns(daycount, start, trading_calendar):
def create_returns_from_range(start, end, trading_calendar):
current = start.replace(tzinfo=pytz.utc)
end = end.replace(tzinfo=pytz.utc)
one_day = datetime.timedelta(days = 1)
one_day = timedelta(days = 1)
test_range = []
i = 0
while current <= end:
@@ -118,7 +136,7 @@ def create_returns_from_range(start, end, trading_calendar):
def create_returns_from_list(returns, start, trading_calendar):
current = start.replace(tzinfo=pytz.utc)
one_day = datetime.timedelta(days = 1)
one_day = timedelta(days = 1)
test_range = []
i = 0
while len(test_range) < len(returns):
@@ -144,7 +162,7 @@ def create_daily_trade_source(sids, trade_count, trading_environment):
price = [10.1] * trade_count
volume = [100] * trade_count
start_date = trading_environment.period_start
trade_time_increment = datetime.timedelta(days=1)
trade_time_increment = timedelta(days=1)
generated_trades = create_trade_history(
sid,
zipline/test/test_finance.py
+2 -120
View File
@@ -32,129 +32,11 @@ class FinanceTestCase(TestCase):
def setUp(self):
qutil.configure_logging()
self.benchmark_returns, self.treasury_curves = \
factory.load_market_data()
start = datetime.strptime("01/1/2006","%m/%d/%Y")
start = start.replace(tzinfo=pytz.utc)
self.trading_environment = TradingEnvironment(
self.benchmark_returns,
self.treasury_curves,
period_start = start,
capital_base = 100000.0
)
self.allocator = allocator
self.zipline_test_config = {
'allocator':self.allocator,
'sid':133,
'environment':self.trading_environment
'allocator':allocator,
'sid':133
}
@timed(DEFAULT_TIMEOUT)
def test_trade_feed_protocol(self):
sid = 133
price = [10.0] * 4
volume = [100] * 4
start_date = datetime.strptime("02/15/2012","%m/%d/%Y")
one_day_td = timedelta(days=1)
trades = factory.create_trade_history(
sid,
price,
volume,
start_date,
one_day_td,
self.trading_environment
)
for trade in trades:
#simulate data source sending frame
msg = zp.DATASOURCE_FRAME(zp.namedict(trade))
#feed unpacking frame
recovered_trade = zp.DATASOURCE_UNFRAME(msg)
#feed sending frame
feed_msg = zp.FEED_FRAME(recovered_trade)
#transform unframing
recovered_feed = zp.FEED_UNFRAME(feed_msg)
#do a transform
trans_msg = zp.TRANSFORM_FRAME('helloworld', 2345.6)
#simulate passthrough transform -- passthrough shouldn't even
# unpack the msg, just resend.
passthrough_msg = zp.TRANSFORM_FRAME(zp.TRANSFORM_TYPE.PASSTHROUGH,\
feed_msg)
#merge unframes transform and passthrough
trans_recovered = zp.TRANSFORM_UNFRAME(trans_msg)
pt_recovered = zp.TRANSFORM_UNFRAME(passthrough_msg)
#simulated merge
pt_recovered.PASSTHROUGH.merge(trans_recovered)
#frame the merged event
merged_msg = zp.MERGE_FRAME(pt_recovered.PASSTHROUGH)
#unframe the merge and validate values
event = zp.MERGE_UNFRAME(merged_msg)
#check the transformed value, should only be in event, not trade.
self.assertTrue(event.helloworld == 2345.6)
event.delete('helloworld')
self.assertEqual(zp.namedict(trade), event)
@timed(DEFAULT_TIMEOUT)
def test_order_protocol(self):
#client places an order
now = datetime.utcnow().replace(tzinfo=pytz.utc)
order = zp.namedict({
'dt':now,
'sid':133,
'amount':100
})
order_msg = zp.ORDER_FRAME(order)
#order datasource receives
order = zp.ORDER_UNFRAME(order_msg)
self.assertEqual(order.sid, 133)
self.assertEqual(order.amount, 100)
self.assertEqual(order.dt, now)
#order datasource datasource frames the order
order_event = zp.namedict({
"sid" : order.sid,
"amount" : order.amount,
"dt" : order.dt,
"source_id" : zp.FINANCE_COMPONENT.ORDER_SOURCE,
"type" : zp.DATASOURCE_TYPE.ORDER
})
order_ds_msg = zp.DATASOURCE_FRAME(order_event)
#transaction transform unframes
recovered_order = zp.DATASOURCE_UNFRAME(order_ds_msg)
self.assertEqual(now, recovered_order.dt)
#create a transaction from the order
txn = zp.namedict({
'sid' : recovered_order.sid,
'amount' : recovered_order.amount,
'dt' : recovered_order.dt,
'price' : 10.0,
'commission' : 0.50
})
#frame that transaction
txn_msg = zp.TRANSFORM_FRAME(zp.TRANSFORM_TYPE.TRANSACTION, txn)
#unframe
recovered_tx = zp.TRANSFORM_UNFRAME(txn_msg).TRANSACTION
self.assertEqual(recovered_tx.sid, 133)
self.assertEqual(recovered_tx.amount, 100)
@timed(DEFAULT_TIMEOUT)
def test_orders(self):
# Simulation
zipline/test/test_protocol.py
+130
View File
@@ -0,0 +1,130 @@
"""
Test the FRAME/UNFRAME functions in the sequence expected from ziplines.
"""
import pytz
from unittest2 import TestCase
from datetime import datetime, timedelta
from collections import defaultdict
from nose.tools import timed
import zipline.test.factory as factory
import zipline.util as qutil
import zipline.protocol as zp
from zipline.sources import SpecificEquityTrades
DEFAULT_TIMEOUT = 5 # seconds
class ProtocolTestCase(TestCase):
leased_sockets = defaultdict(list)
def setUp(self):
qutil.configure_logging()
self.trading_environment = factory.create_trading_environment()
@timed(DEFAULT_TIMEOUT)
def test_trade_feed_protocol(self):
sid = 133
price = [10.0] * 4
volume = [100] * 4
start_date = datetime.strptime("02/15/2012","%m/%d/%Y")
one_day_td = timedelta(days=1)
trades = factory.create_trade_history(
sid,
price,
volume,
start_date,
one_day_td,
self.trading_environment
)
for trade in trades:
#simulate data source sending frame
msg = zp.DATASOURCE_FRAME(zp.namedict(trade))
#feed unpacking frame
recovered_trade = zp.DATASOURCE_UNFRAME(msg)
#feed sending frame
feed_msg = zp.FEED_FRAME(recovered_trade)
#transform unframing
recovered_feed = zp.FEED_UNFRAME(feed_msg)
#do a transform
trans_msg = zp.TRANSFORM_FRAME('helloworld', 2345.6)
#simulate passthrough transform -- passthrough shouldn't even
# unpack the msg, just resend.
passthrough_msg = zp.TRANSFORM_FRAME(zp.TRANSFORM_TYPE.PASSTHROUGH,\
feed_msg)
#merge unframes transform and passthrough
trans_recovered = zp.TRANSFORM_UNFRAME(trans_msg)
pt_recovered = zp.TRANSFORM_UNFRAME(passthrough_msg)
#simulated merge
pt_recovered.PASSTHROUGH.merge(trans_recovered)
#frame the merged event
merged_msg = zp.MERGE_FRAME(pt_recovered.PASSTHROUGH)
#unframe the merge and validate values
event = zp.MERGE_UNFRAME(merged_msg)
#check the transformed value, should only be in event, not trade.
self.assertTrue(event.helloworld == 2345.6)
event.delete('helloworld')
self.assertEqual(zp.namedict(trade), event)
@timed(DEFAULT_TIMEOUT)
def test_order_protocol(self):
#client places an order
now = datetime.utcnow().replace(tzinfo=pytz.utc)
order = zp.namedict({
'dt':now,
'sid':133,
'amount':100
})
order_msg = zp.ORDER_FRAME(order)
#order datasource receives
order = zp.ORDER_UNFRAME(order_msg)
self.assertEqual(order.sid, 133)
self.assertEqual(order.amount, 100)
self.assertEqual(order.dt, now)
#order datasource datasource frames the order
order_event = zp.namedict({
"sid" : order.sid,
"amount" : order.amount,
"dt" : order.dt,
"source_id" : zp.FINANCE_COMPONENT.ORDER_SOURCE,
"type" : zp.DATASOURCE_TYPE.ORDER
})
order_ds_msg = zp.DATASOURCE_FRAME(order_event)
#transaction transform unframes
recovered_order = zp.DATASOURCE_UNFRAME(order_ds_msg)
self.assertEqual(now, recovered_order.dt)
#create a transaction from the order
txn = zp.namedict({
'sid' : recovered_order.sid,
'amount' : recovered_order.amount,
'dt' : recovered_order.dt,
'price' : 10.0,
'commission' : 0.50
})
#frame that transaction
txn_msg = zp.TRANSFORM_FRAME(zp.TRANSFORM_TYPE.TRANSACTION, txn)
#unframe
recovered_tx = zp.TRANSFORM_UNFRAME(txn_msg).TRANSACTION
self.assertEqual(recovered_tx.sid, 133)
self.assertEqual(recovered_tx.amount, 100)