Merge pull request #54 from quantopian/optimize_qexec

Small fixes to optimize tests to work with refactored zipline.

tests/test_optimize.py

@@ -39,7 +39,6 @@ class TestUpDown(TestCase):
             'sid':133
         }
 
-    @skip
     @timed(DEFAULT_TIMEOUT)
     def test_source_and_orders(self):
         """verify that UpDownSource is having the correct
@@ -108,10 +107,10 @@ class TestUpDown(TestCase):
         self.assertTrue(np.all(min_order_idx == min_price_idx),
             "Algorithm did not sell when price was going to increase."
         )
-    
-    @skip
+
+
     def test_concavity_of_returns(self):
-        """verify concave relationship between of free parameter and
+        """verify concave relationship between free parameter and
         returns in certain region around the max. Moreover,
         establishes that the max returns is at the correct value
         (i.e. 0).
@@ -170,7 +169,7 @@ class TestUpDown(TestCase):
             idx[0] -= 1
             idx[1] += 1
 
-    @skip
+    #@skip
     def test_optimize(self):
         """verify that gradient descent (Powell's method) can find
         the optimal free parameter under which the BuySellAlgorithm produces
@@ -201,7 +200,6 @@ class TestUpDown(TestCase):
             self.zipline_test_config['environment'] = trading_environment
             zipline = SimulatedTrading.create_test_zipline(**self.zipline_test_config)
             zipline.simulate(blocking=True)
-            zipline.shutdown()
             #function is getting minimized, so have to return negative cum returns.
             return -zipline.get_cumulative_performance()['returns']
 

zipline/optimize/factory.py

@@ -7,13 +7,14 @@ from datetime import datetime, timedelta
 
 import zipline.protocol as zp
 
-from zipline.utils.factory import get_next_trading_dt
+from zipline.utils.factory import get_next_trading_dt, create_trading_environment
 from zipline.finance.sources import SpecificEquityTrades
 from zipline.optimize.algorithms import BuySellAlgorithm
 from zipline.lines import SimulatedTrading
+from copy import deepcopy
+from itertools import cycle
 
 def create_updown_trade_source(sid, trade_count, trading_environment, start_price, amplitude):
-    from itertools import cycle
     volume = 1000
     events = []
     price = start_price-amplitude/2.
@@ -41,7 +42,7 @@ def create_updown_trade_source(sid, trade_count, trading_environment, start_pric
 
     trading_environment.period_end = cur
 
-    source = SpecificEquityTrades(sid, events)
+    source = SpecificEquityTrades("updown_" + str(sid), events)
 
     return source
 
@@ -55,7 +56,7 @@ def create_predictable_zipline(config, sid=133, amplitude=10, base_price=50, off
                                         base_price,
                                         amplitude)
 
-    algo = RegularIntervalBuySellAlgorithm(sid, 100, offset)
+    algo = BuySellAlgorithm(sid, 100, offset)
     config['algorithm'] = algo
     config['trade_source'] = source
     config['environment'] = trading_environment