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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_perf_tracking.py
+33 -26
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@@ -347,7 +347,7 @@ class TestSplitPerformance(WithSimParams, WithTmpDir, ZiplineTestCase):
# check the last position to make sure it's been updated
position = latest_positions[0]
self.assertEqual(1, position['sid'])
self.assertEqual(self.asset1, position['sid'])
self.assertEqual(33, position['amount'])
self.assertEqual(60, position['cost_basis'])
self.assertEqual(60, position['last_sale_price'])
@@ -1326,8 +1326,8 @@ class TestPositionPerformance(WithInstanceTmpDir, WithTradingCalendars,
"should be just one position")
self.assertEqual(
pp.positions[1].sid,
txn.sid,
pp.positions[1].asset,
txn.asset,
"position should be in security with id 1")
self.assertEqual(
@@ -1437,8 +1437,8 @@ single short-sale transaction"""
"should be just one position")
self.assertEqual(
pp.positions[1].sid,
txn.sid,
pp.positions[1].asset,
txn.asset,
"position should be in security from the transaction"
)
@@ -1494,8 +1494,8 @@ single short-sale transaction"""
)
self.assertEqual(
pp.positions[1].sid,
txn.sid,
pp.positions[1].asset,
txn.asset,
"position should be in security from the transaction"
)
@@ -1556,8 +1556,8 @@ cost of sole txn in test"
"should be just one position"
)
self.assertEqual(
ppTotal.positions[1].sid,
txn.sid,
ppTotal.positions[1].asset,
txn.asset,
"position should be in security from the transaction"
)
@@ -1834,7 +1834,7 @@ shares in position"
self.create_environment_stuff(num_days=8)
history_args = (
1,
self.asset1,
[10, 9, 11, 8, 9, 12, 13, 14],
[200, -100, -100, 100, -300, 100, 500, 400],
oneday,
@@ -1973,6 +1973,16 @@ class TestPositionTracker(WithTradingEnvironment,
ZiplineTestCase):
ASSET_FINDER_EQUITY_SIDS = 1, 2
@classmethod
def init_class_fixtures(cls):
super(TestPositionTracker, cls).init_class_fixtures()
cls.EQUITY1 = cls.asset_finder.retrieve_asset(1)
cls.EQUITY2 = cls.asset_finder.retrieve_asset(2)
cls.FUTURE3 = cls.asset_finder.retrieve_asset(3)
cls.FUTURE4 = cls.asset_finder.retrieve_asset(4)
cls.FUTURE5 = cls.asset_finder.retrieve_asset(1032201401)
@classmethod
def make_futures_info(cls):
return pd.DataFrame.from_dict(
@@ -2017,13 +2027,13 @@ class TestPositionTracker(WithTradingEnvironment,
def test_position_values_and_exposures(self):
pt = perf.PositionTracker(self.env.asset_finder, None)
dt = pd.Timestamp("1984/03/06 3:00PM")
pos1 = perf.Position(1, amount=np.float64(10.0),
pos1 = perf.Position(self.EQUITY1, amount=np.float64(10.0),
last_sale_date=dt, last_sale_price=10)
pos2 = perf.Position(2, amount=np.float64(-20.0),
pos2 = perf.Position(self.EQUITY2, amount=np.float64(-20.0),
last_sale_date=dt, last_sale_price=10)
pos3 = perf.Position(3, amount=np.float64(30.0),
pos3 = perf.Position(self.FUTURE3, amount=np.float64(30.0),
last_sale_date=dt, last_sale_price=10)
pos4 = perf.Position(4, amount=np.float64(-40.0),
pos4 = perf.Position(self.FUTURE4, amount=np.float64(-40.0),
last_sale_date=dt, last_sale_price=10)
pt.update_positions({1: pos1, 2: pos2, 3: pos3, 4: pos4})
@@ -2049,11 +2059,11 @@ class TestPositionTracker(WithTradingEnvironment,
def test_update_positions(self):
pt = perf.PositionTracker(self.env.asset_finder, None)
dt = pd.Timestamp("2014/01/01 3:00PM")
pos1 = perf.Position(1, amount=np.float64(10.0),
pos1 = perf.Position(self.EQUITY1, amount=np.float64(10.0),
last_sale_date=dt, last_sale_price=10)
pos2 = perf.Position(2, amount=np.float64(-20.0),
pos2 = perf.Position(self.EQUITY2, amount=np.float64(-20.0),
last_sale_date=dt, last_sale_price=10)
pos3 = perf.Position(1032201401, amount=np.float64(30.0),
pos3 = perf.Position(self.FUTURE5, amount=np.float64(30.0),
last_sale_date=dt, last_sale_price=100)
# Call update_positions twice. When the second call is made,
@@ -2063,8 +2073,8 @@ class TestPositionTracker(WithTradingEnvironment,
# were to be stored as a dict, then its order could change in arbitrary
# ways when the second update_positions call is made. Hence we also
# store it as an OrderedDict.
pt.update_positions({1: pos1, 1032201401: pos3})
pt.update_positions({2: pos2})
pt.update_positions({self.EQUITY1: pos1, self.FUTURE5: pos3})
pt.update_positions({self.EQUITY2: pos2})
pos_stats = pt.stats()
# Test long-only methods
@@ -2087,19 +2097,17 @@ class TestPositionTracker(WithTradingEnvironment,
self.assertEqual(100 + 150000 - 200, pos_stats.net_exposure)
def test_close_position(self):
future_sid = 1032201401
equity_sid = 1
pt = perf.PositionTracker(self.env.asset_finder, None)
dt = pd.Timestamp('2017/01/04 3:00PM')
pos1 = perf.Position(
sid=future_sid,
asset=self.FUTURE5,
amount=np.float64(30.0),
last_sale_date=dt,
last_sale_price=100,
)
pos2 = perf.Position(
sid=equity_sid,
asset=self.EQUITY1,
amount=np.float64(10.0),
last_sale_date=dt,
last_sale_price=10,
@@ -2110,10 +2118,9 @@ class TestPositionTracker(WithTradingEnvironment,
# OrderedDicts. If `future_sid` is not removed from the multipliers
# dictionaries, equities will hit the incorrect multiplier when
# computing `pt.stats()`.
pt.update_positions({future_sid: pos1, equity_sid: pos2})
pt.update_positions({self.FUTURE5: pos1, self.EQUITY1: pos2})
asset_to_close = self.env.asset_finder.retrieve_asset(future_sid)
txn = create_txn(asset_to_close, dt, 100, -30)
txn = create_txn(self.FUTURE5, dt, 100, -30)
pt.execute_transaction(txn)
pos_stats = pt.stats()