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Merge pull request #1390 from quantopian/revert-can-trade-behavior-for-now
BUG: Temporarily commenting out new can_trade functionality until we sort out downstream dependencies.
This commit is contained in:
Jean Bredeche
+78
-72
@@ -462,79 +462,85 @@ class TestMinuteBarData(WithBarDataChecks,
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bd.current(self.HILARIOUSLY_ILLIQUID_ASSET, "volume")
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)
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def test_can_trade_during_non_market_hours(self):
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# make sure that if we use `can_trade` at midnight, we don't pretend
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# we're in the previous day's last minute
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the_day_after = self.trading_calendar.next_session_label(
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self.equity_minute_bar_days[-1]
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)
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# FIXME temporarily commenting out until we restore the new can_trade
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# functionality that checks exchange status
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# def test_can_trade_during_non_market_hours(self):
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# # make sure that if we use `can_trade` at midnight, we don't pretend
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# # we're in the previous day's last minute
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# the_day_after = self.trading_calendar.next_session_label(
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# self.equity_minute_bar_days[-1]
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# )
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#
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# bar_data = BarData(self.data_portal, lambda: the_day_after, "minute")
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#
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# for asset in [self.ASSET1, self.HILARIOUSLY_ILLIQUID_ASSET]:
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# self.assertFalse(bar_data.can_trade(asset))
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#
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# with handle_non_market_minutes(bar_data):
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# self.assertFalse(bar_data.can_trade(asset))
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#
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# # NYSE is closed at midnight, so even if the asset is alive,
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# # can_trade should return False
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# bar_data2 = BarData(
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# self.data_portal,
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# lambda: self.equity_minute_bar_days[1],
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# "minute",
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# )
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# for asset in [self.ASSET1, self.HILARIOUSLY_ILLIQUID_ASSET]:
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# self.assertFalse(bar_data2.can_trade(asset))
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#
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# with handle_non_market_minutes(bar_data2):
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# self.assertFalse(bar_data2.can_trade(asset))
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bar_data = BarData(self.data_portal, lambda: the_day_after, "minute")
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for asset in [self.ASSET1, self.HILARIOUSLY_ILLIQUID_ASSET]:
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self.assertFalse(bar_data.can_trade(asset))
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with handle_non_market_minutes(bar_data):
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self.assertFalse(bar_data.can_trade(asset))
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# NYSE is closed at midnight, so even if the asset is alive, can_trade
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# should return False
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bar_data2 = BarData(
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self.data_portal,
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lambda: self.equity_minute_bar_days[1],
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"minute",
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)
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for asset in [self.ASSET1, self.HILARIOUSLY_ILLIQUID_ASSET]:
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self.assertFalse(bar_data2.can_trade(asset))
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with handle_non_market_minutes(bar_data2):
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self.assertFalse(bar_data2.can_trade(asset))
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def test_can_trade_exchange_closed(self):
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nyse_asset = self.asset_finder.retrieve_asset(1)
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ice_asset = self.asset_finder.retrieve_asset(6)
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# minutes we're going to check (to verify that that the same bardata
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# can check multiple exchange calendars, all times Eastern):
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# 2016-01-05:
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# 20:00 (minute before ICE opens)
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# 20:01 (first minute of ICE session)
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# 20:02 (second minute of ICE session)
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# 00:00 (Cinderella's ride becomes a pumpkin)
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# 2016-01-06:
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# 9:30 (minute before NYSE opens)
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# 9:31 (first minute of NYSE session)
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# 9:32 (second minute of NYSE session)
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# 15:59 (second-to-last minute of NYSE session)
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# 16:00 (last minute of NYSE session)
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# 16:01 (minute after NYSE closed)
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# 17:59 (second-to-last minute of ICE session)
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# 18:00 (last minute of ICE session)
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# 18:01 (minute after ICE closed)
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# each row is dt, whether-nyse-is-open, whether-ice-is-open
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minutes_to_check = [
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(pd.Timestamp("2016-01-05 20:00", tz="US/Eastern"), False, False),
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(pd.Timestamp("2016-01-05 20:01", tz="US/Eastern"), False, True),
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(pd.Timestamp("2016-01-05 20:02", tz="US/Eastern"), False, True),
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(pd.Timestamp("2016-01-06 00:00", tz="US/Eastern"), False, True),
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(pd.Timestamp("2016-01-06 9:30", tz="US/Eastern"), False, True),
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(pd.Timestamp("2016-01-06 9:31", tz="US/Eastern"), True, True),
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(pd.Timestamp("2016-01-06 9:32", tz="US/Eastern"), True, True),
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(pd.Timestamp("2016-01-06 15:59", tz="US/Eastern"), True, True),
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(pd.Timestamp("2016-01-06 16:00", tz="US/Eastern"), True, True),
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(pd.Timestamp("2016-01-06 16:01", tz="US/Eastern"), False, True),
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(pd.Timestamp("2016-01-06 17:59", tz="US/Eastern"), False, True),
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(pd.Timestamp("2016-01-06 18:00", tz="US/Eastern"), False, True),
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(pd.Timestamp("2016-01-06 18:01", tz="US/Eastern"), False, False),
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]
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for info in minutes_to_check:
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bar_data = BarData(self.data_portal, lambda: info[0], "minute")
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series = bar_data.can_trade([nyse_asset, ice_asset])
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self.assertEqual(info[1], series.loc[nyse_asset])
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self.assertEqual(info[2], series.loc[ice_asset])
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# FIXME temporarily commenting out until we restore the new can_trade
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# functionality that checks exchange status
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# def test_can_trade_exchange_closed(self):
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# nyse_asset = self.asset_finder.retrieve_asset(1)
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# ice_asset = self.asset_finder.retrieve_asset(6)
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#
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# # minutes we're going to check (to verify that that the same bardata
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# # can check multiple exchange calendars, all times Eastern):
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# # 2016-01-05:
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# # 20:00 (minute before ICE opens)
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# # 20:01 (first minute of ICE session)
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# # 20:02 (second minute of ICE session)
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# # 00:00 (Cinderella's ride becomes a pumpkin)
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# # 2016-01-06:
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# # 9:30 (minute before NYSE opens)
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# # 9:31 (first minute of NYSE session)
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# # 9:32 (second minute of NYSE session)
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# # 15:59 (second-to-last minute of NYSE session)
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# # 16:00 (last minute of NYSE session)
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# # 16:01 (minute after NYSE closed)
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# # 17:59 (second-to-last minute of ICE session)
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# # 18:00 (last minute of ICE session)
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# # 18:01 (minute after ICE closed)
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#
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# # each row is dt, whether-nyse-is-open, whether-ice-is-open
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# minutes_to_check = [
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# (pd.Timestamp("2016-01-05 20:00", tz="US/Eastern"), False,
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# False),
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# (pd.Timestamp("2016-01-05 20:01", tz="US/Eastern"), False, True),
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# (pd.Timestamp("2016-01-05 20:02", tz="US/Eastern"), False, True),
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# (pd.Timestamp("2016-01-06 00:00", tz="US/Eastern"), False, True),
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# (pd.Timestamp("2016-01-06 9:30", tz="US/Eastern"), False, True),
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# (pd.Timestamp("2016-01-06 9:31", tz="US/Eastern"), True, True),
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# (pd.Timestamp("2016-01-06 9:32", tz="US/Eastern"), True, True),
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# (pd.Timestamp("2016-01-06 15:59", tz="US/Eastern"), True, True),
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# (pd.Timestamp("2016-01-06 16:00", tz="US/Eastern"), True, True),
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# (pd.Timestamp("2016-01-06 16:01", tz="US/Eastern"), False, True),
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# (pd.Timestamp("2016-01-06 17:59", tz="US/Eastern"), False, True),
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# (pd.Timestamp("2016-01-06 18:00", tz="US/Eastern"), False, True),
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# (pd.Timestamp("2016-01-06 18:01", tz="US/Eastern"), False,
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# False),
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# ]
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#
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# for info in minutes_to_check:
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# bar_data = BarData(self.data_portal, lambda: info[0], "minute")
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# series = bar_data.can_trade([nyse_asset, ice_asset])
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#
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# self.assertEqual(info[1], series.loc[nyse_asset])
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# self.assertEqual(info[2], series.loc[ice_asset])
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def test_is_stale_during_non_market_hours(self):
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bar_data = BarData(
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@@ -467,9 +467,11 @@ cdef class BarData:
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# asset isn't alive
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return False
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if not asset.is_exchange_open(dt):
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# exchange isn't open
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return False
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# FIXME temporarily commenting out while we sort out some downstream
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# dependencies
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# if not asset.is_exchange_open(dt):
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# # exchange isn't open
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# return False
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if isinstance(asset, Future):
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# FIXME: this will get removed once we can get prices for futures
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