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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
2017-04-24 15:41:13 -04:00
parent 21976dd651
commit 8d275d8d83
15 changed files with 255 additions and 235 deletions
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tests/test_finance.py
+22 -17
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@@ -187,8 +187,8 @@ class FinanceTestCase(WithLogger,
# if present, expect transaction amounts to match orders exactly.
complete_fill = params.get('complete_fill')
sid = 1
metadata = make_simple_equity_info([sid], self.start, self.end)
asset1 = self.asset_finder.retrieve_asset(1)
metadata = make_simple_equity_info([asset1.sid], self.start, self.end)
with TempDirectory() as tempdir, \
tmp_trading_env(equities=metadata) as env:
@@ -206,7 +206,7 @@ class FinanceTestCase(WithLogger,
price_data = np.array([10.1] * len(minutes))
assets = {
sid: pd.DataFrame({
asset1.sid: pd.DataFrame({
"open": price_data,
"high": price_data,
"low": price_data,
@@ -305,7 +305,7 @@ class FinanceTestCase(WithLogger,
# place an order
direction = alternator ** len(order_list)
order_id = blotter.order(
blotter.asset_finder.retrieve_asset(sid),
asset1,
order_amount * direction,
MarketOrder())
order_list.append(blotter.orders[order_id])
@@ -333,7 +333,7 @@ class FinanceTestCase(WithLogger,
for i in range(order_count):
order = order_list[i]
self.assertEqual(order.sid, sid)
self.assertEqual(order.asset, asset1)
self.assertEqual(order.amount, order_amount * alternator ** i)
if complete_fill:
@@ -351,15 +351,19 @@ class FinanceTestCase(WithLogger,
self.assertEqual(len(transactions), expected_txn_count)
cumulative_pos = tracker.position_tracker.positions[sid]
cumulative_pos = tracker.position_tracker.positions[asset1]
if total_volume == 0:
self.assertIsNone(cumulative_pos)
else:
self.assertEqual(total_volume, cumulative_pos.amount)
# the open orders should not contain sid.
# the open orders should not contain the asset.
oo = blotter.open_orders
self.assertNotIn(sid, oo, "Entry is removed when no open orders")
self.assertNotIn(
asset1,
oo,
"Entry is removed when no open orders"
)
def test_blotter_processes_splits(self):
blotter = Blotter('daily', self.env.asset_finder,
@@ -376,23 +380,24 @@ class FinanceTestCase(WithLogger,
blotter.process_splits([(2, 0.3333)])
for sid in [1, 2]:
order_lists = blotter.open_orders[sid]
order_lists = \
blotter.open_orders[blotter.asset_finder.retrieve_asset(sid)]
self.assertIsNotNone(order_lists)
self.assertEqual(1, len(order_lists))
aapl_order = blotter.open_orders[1][0].to_dict()
fls_order = blotter.open_orders[2][0].to_dict()
aapl_order = blotter.open_orders[1][0]
fls_order = blotter.open_orders[2][0]
# make sure the aapl order didn't change
self.assertEqual(100, aapl_order['amount'])
self.assertEqual(10, aapl_order['limit'])
self.assertEqual(1, aapl_order['sid'])
self.assertEqual(100, aapl_order.amount)
self.assertEqual(10, aapl_order.limit)
self.assertEqual(1, aapl_order.asset)
# make sure the fls order did change
# to 300 shares at 3.33
self.assertEqual(300, fls_order['amount'])
self.assertEqual(3.33, fls_order['limit'])
self.assertEqual(2, fls_order['sid'])
self.assertEqual(300, fls_order.amount)
self.assertEqual(3.33, fls_order.limit)
self.assertEqual(2, fls_order.asset)
class TradingEnvironmentTestCase(WithLogger,