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REF: Explicitly use Assets in Position, Order, Transaction

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(Instead of `sid`, which were already usually assets)

Perf packets are unchanged and still emit `sid`: int
This commit is contained in:
Jean Bredeche
2017-04-19 11:43:55 -04:00
parent 21976dd651
commit 8d275d8d83
15 changed files with 255 additions and 235 deletions
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tests/test_algorithm.py
+11 -13
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@@ -3802,7 +3802,7 @@ class TestOrderCancelation(WithDataPortal,
np.copysign(389, direction),
daily_positions[0]["amount"],
)
self.assertEqual(1, results.positions[0][0]["sid"].sid)
self.assertEqual(1, results.positions[0][0]["sid"])
# should be an order on day1, but no more orders afterwards
np.testing.assert_array_equal([1, 0, 0],
@@ -4067,7 +4067,6 @@ class TestEquityAutoClose(WithTmpDir, WithTradingCalendars, ZiplineTestCase):
resources = self.make_data(auto_close_delta, 'daily', capital_base)
assets = resources.assets
sids = [asset.sid for asset in assets]
final_prices = resources.final_prices
# Prices at which we expect our orders to be filled.
@@ -4174,14 +4173,14 @@ class TestEquityAutoClose(WithTmpDir, WithTradingCalendars, ZiplineTestCase):
self.test_days[1]
)[1]
for sid, txn in zip(sids, initial_fills):
for asset, txn in zip(assets, initial_fills):
self.assertDictContainsSubset(
{
'amount': order_size,
'commission': None,
'dt': last_minute_of_session,
'price': initial_fill_prices[sid],
'sid': sid,
'price': initial_fill_prices[asset],
'sid': asset,
},
txn,
)
@@ -4203,7 +4202,7 @@ class TestEquityAutoClose(WithTmpDir, WithTradingCalendars, ZiplineTestCase):
'commission': 0.0,
'dt': assets[0].auto_close_date,
'price': fp0,
'sid': sids[0],
'sid': assets[0],
'order_id': None, # Auto-close txns emit Nones for order_id.
},
)
@@ -4218,7 +4217,7 @@ class TestEquityAutoClose(WithTmpDir, WithTradingCalendars, ZiplineTestCase):
'commission': 0.0,
'dt': assets[1].auto_close_date,
'price': fp1,
'sid': sids[1],
'sid': assets[1],
'order_id': None, # Auto-close txns emit Nones for order_id.
},
)
@@ -4313,7 +4312,6 @@ class TestEquityAutoClose(WithTmpDir, WithTradingCalendars, ZiplineTestCase):
env = resources.env
assets = resources.assets
sids = [a.sid for a in assets]
final_prices = resources.final_prices
backtest_minutes = resources.trade_data_by_sid[0].index.tolist()
@@ -4390,14 +4388,14 @@ class TestEquityAutoClose(WithTmpDir, WithTradingCalendars, ZiplineTestCase):
# the backtest, which is still on the first day in minute mode.
initial_fills = transactions.iloc[0]
self.assertEqual(len(initial_fills), len(assets))
for sid, txn in zip(sids, initial_fills):
for asset, txn in zip(assets, initial_fills):
self.assertDictContainsSubset(
{
'amount': order_size,
'commission': None,
'dt': backtest_minutes[1],
'price': initial_fill_prices[sid],
'sid': sid,
'price': initial_fill_prices[asset],
'sid': asset,
},
txn,
)
@@ -4419,7 +4417,7 @@ class TestEquityAutoClose(WithTmpDir, WithTradingCalendars, ZiplineTestCase):
'commission': 0.0,
'dt': assets[0].auto_close_date,
'price': fp0,
'sid': sids[0],
'sid': assets[0],
'order_id': None, # Auto-close txns emit Nones for order_id.
},
)
@@ -4434,7 +4432,7 @@ class TestEquityAutoClose(WithTmpDir, WithTradingCalendars, ZiplineTestCase):
'commission': 0.0,
'dt': assets[1].auto_close_date,
'price': fp1,
'sid': sids[1],
'sid': assets[1],
'order_id': None, # Auto-close txns emit Nones for order_id.
},
)