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fixed imports in optimize factory and tests. also added skip annotations, because jenkins will never run them successfully.

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This commit is contained in:
fawce
2012-05-16 12:17:13 -04:00
parent 642d842b3c
commit 93cc4bc172
5 changed files with 92 additions and 75 deletions
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etc/requirements_dev.txt
+4 -1
View File
@@ -35,4 +35,7 @@ Markdown==2.1.1
Pycco==0.3.0
pystache==0.4.0
smartypants==1.6.0.3
wsgiref==0.1.2
wsgiref==0.1.2
# misc
pycleaner==1.1.1
tests/test_finance.py
+69 -69
View File
@@ -26,18 +26,18 @@ EXTENDED_TIMEOUT = 90
allocator = AddressAllocator(1000)
class FinanceTestCase(TestCase):
leased_sockets = defaultdict(list)
def setUp(self):
#qutil.configure_logging()
self.zipline_test_config = {
'allocator':allocator,
'sid':133
}
@timed(DEFAULT_TIMEOUT)
def test_factory(self):
def test_factory_daily(self):
trading_environment = factory.create_trading_environment()
trade_source = factory.create_daily_trade_source(
[133],
@@ -49,7 +49,7 @@ class FinanceTestCase(TestCase):
if prev:
self.assertTrue(trade.dt > prev.dt)
prev = trade
@timed(DEFAULT_TIMEOUT)
def test_trading_environment(self):
benchmark_returns, treasury_curves = \
@@ -62,7 +62,7 @@ class FinanceTestCase(TestCase):
period_end = datetime(2008, 12, 31, tzinfo = pytz.utc),
capital_base = 100000,
max_drawdown = 0.50
)
)
#holidays taken from: http://www.nyse.com/press/1191407641943.html
new_years = datetime(2008, 1, 1, tzinfo = pytz.utc)
mlk_day = datetime(2008, 1, 21, tzinfo = pytz.utc)
@@ -76,14 +76,14 @@ class FinanceTestCase(TestCase):
a_saturday = datetime(2008, 8, 2, tzinfo = pytz.utc)
a_sunday = datetime(2008, 10, 12, tzinfo = pytz.utc)
holidays = [
new_years,
mlk_day,
presidents,
good_friday,
memorial_day,
july_4th,
labor_day,
tgiving,
new_years,
mlk_day,
presidents,
good_friday,
memorial_day,
july_4th,
labor_day,
tgiving,
christmas,
a_saturday,
a_sunday
@@ -101,11 +101,11 @@ class FinanceTestCase(TestCase):
self.assertTrue(env.last_close.month == 12)
self.assertTrue(env.last_close.day == 31)
# The following two tests appear broken no that the order source is
# non blocking. HUNCH: The trades are streaming through before the orders
# are placed.
@timed(DEFAULT_TIMEOUT)
def test_orders(self):
@@ -118,34 +118,34 @@ class FinanceTestCase(TestCase):
**self.zipline_test_config
)
zipline.simulate(blocking=True)
self.assertTrue(zipline.sim.ready())
self.assertFalse(zipline.sim.exception)
# TODO: Make more assertions about the final state of the components.
self.assertEqual(zipline.sim.feed.pending_messages(), 0, \
"The feed should be drained of all messages, found {n} remaining." \
.format(n=zipline.sim.feed.pending_messages()))
# the trading client should receive one transaction for every
# order placed.
self.assertEqual(
zipline.trading_client.txn_count,
zipline.trading_client.txn_count,
zipline.trading_client.order_count
)
@timed(EXTENDED_TIMEOUT)
@timed(DEFAULT_TIMEOUT)
def test_aggressive_buying(self):
# Simulation
# ----------
# ----------
# TODO: for some reason the orders aren't filled without an extra
# trade.
trade_count = 5
self.zipline_test_config['order_count'] = trade_count - 1
self.zipline_test_config['trade_count'] = trade_count
self.zipline_test_config['trade_count'] = trade_count
self.zipline_test_config['order_amount'] = 1
# tell the simulator to fill the orders in individual transactions
@@ -164,51 +164,51 @@ class FinanceTestCase(TestCase):
zipline = SimulatedTrading.create_test_zipline(**self.zipline_test_config)
zipline.simulate(blocking=True)
self.assertTrue(zipline.sim.ready())
self.assertFalse(zipline.sim.exception)
self.assertEqual(zipline.sim.feed.pending_messages(), 0, \
"The feed should be drained of all messages, found {n} remaining." \
.format(n=zipline.sim.feed.pending_messages()))
#
# the trading client should receive one transaction for every
# order placed.
self.assertEqual(
zipline.trading_client.txn_count,
zipline.trading_client.txn_count,
zipline.trading_client.order_count
)
@timed(DEFAULT_TIMEOUT)
def test_performance(self):
def test_performance(self):
#provide enough trades to ensure all orders are filled.
self.zipline_test_config['order_count'] = 100
self.zipline_test_config['trade_count'] = 200
zipline = SimulatedTrading.create_test_zipline(**self.zipline_test_config)
zipline.simulate(blocking=True)
self.assertEqual(
zipline.sim.feed.pending_messages(),
0,
zipline.sim.feed.pending_messages(),
0,
"The feed should be drained of all messages, found {n} remaining." \
.format(n=zipline.sim.feed.pending_messages())
)
self.assertEqual(
zipline.sim.merge.pending_messages(),
0,
zipline.sim.merge.pending_messages(),
0,
"The merge should be drained of all messages, found {n} remaining." \
.format(n=zipline.sim.merge.pending_messages())
)
self.assertEqual(
zipline.algorithm.count,
zipline.algorithm.incr,
"The test algorithm should send as many orders as specified.")
transaction_sim = zipline.trading_client.txn_sim
self.assertEqual(
@@ -216,18 +216,18 @@ class FinanceTestCase(TestCase):
zipline.trading_client.perf.txn_count,
"The perf tracker should handle the same number of transactions \
as the simulator emits."
)
)
self.assertEqual(
len(zipline.get_positions()),
1,
len(zipline.get_positions()),
1,
"Portfolio should have one position."
)
SID = self.zipline_test_config['sid']
self.assertEqual(
zipline.get_positions()[SID]['sid'],
SID,
zipline.get_positions()[SID]['sid'],
SID,
"Portfolio should have one position in " + str(SID)
)
@@ -243,7 +243,7 @@ class FinanceTestCase(TestCase):
"The algorithm should receive all trades."
)
@timed(DEFAULT_TIMEOUT)
@timed(DEFAULT_TIMEOUT)
def test_sid_filter(self):
"""Ensure the algorithm's filter prevents events from arriving."""
# create a test algorithm whose filter will not match any of the
@@ -263,7 +263,7 @@ class FinanceTestCase(TestCase):
zipline = SimulatedTrading.create_test_zipline(
**self.zipline_test_config
)
zipline.simulate(blocking=True)
#check that the algorithm received no events
self.assertEqual(
@@ -271,7 +271,7 @@ class FinanceTestCase(TestCase):
test_algo.frame_count,
"The algorithm should not receive any events due to filtering."
)
# TODO: write tests for short sales
# TODO: write a test to do massive buying or shorting.
@@ -310,7 +310,7 @@ class FinanceTestCase(TestCase):
}
self.transaction_sim(**params2)
@timed(DEFAULT_TIMEOUT)
def test_collapsing_orders(self):
# create a scenario where order.amount <<< trade.volume
@@ -341,9 +341,9 @@ class FinanceTestCase(TestCase):
'expected_txn_volume':24 * -1
}
self.transaction_sim(**params2)
@timed(DEFAULT_TIMEOUT)
def test_partial_expiration_orders(self):
def test_partial_expiration_orders(self):
# create a scenario where orders expire without being filled
# entirely
params1 = {
@@ -376,8 +376,8 @@ class FinanceTestCase(TestCase):
'expected_txn_volume' : -25
}
self.transaction_sim(**params2)
@timed(DEFAULT_TIMEOUT)
@timed(DEFAULT_TIMEOUT)
def test_alternating_long_short(self):
# create a scenario where we alternate buys and sells
params1 = {
@@ -393,7 +393,7 @@ class FinanceTestCase(TestCase):
'expected_txn_volume' : 0 #equal buys and sells
}
self.transaction_sim(**params1)
def transaction_sim(self, **params):
trade_count = params['trade_count']
@@ -409,16 +409,16 @@ class FinanceTestCase(TestCase):
# ---------------------
# if present, alternate between long and short sales
alternate = params.get('alternate')
# if present, expect transaction amounts to match orders exactly.
# if present, expect transaction amounts to match orders exactly.
complete_fill = params.get('complete_fill')
trading_environment = factory.create_trading_environment()
trade_sim = TransactionSimulator()
price = [10.1] * trade_count
volume = [100] * trade_count
start_date = trading_environment.first_open
sid = 1
generated_trades = factory.create_trade_history(
sid,
price,
@@ -426,12 +426,12 @@ class FinanceTestCase(TestCase):
trade_interval,
trading_environment
)
if alternate:
alternator = -1
else:
alternator = 1
order_date = start_date
for i in xrange(order_count):
order = ndict(
@@ -441,9 +441,9 @@ class FinanceTestCase(TestCase):
'type' : zp.DATASOURCE_TYPE.ORDER,
'dt' : order_date
})
trade_sim.add_open_order(order)
order_date = order_date + order_interval
# move after market orders to just after market next
# market open.
@@ -451,40 +451,40 @@ class FinanceTestCase(TestCase):
if order_date.minute >= 00:
order_date = order_date + timedelta(days=1)
order_date = order_date.replace(hour=14, minute=30)
# there should now be one open order list stored under the sid
oo = trade_sim.open_orders
self.assertEqual(len(oo), 1)
self.assertTrue(oo.has_key(sid))
order_list = oo[sid]
self.assertEqual(order_count, len(order_list))
for i in xrange(order_count):
order = order_list[i]
self.assertEqual(order.sid, sid)
self.assertEqual(order.amount, order_amount * alternator**i)
tracker = PerformanceTracker(trading_environment)
# this approximates the loop inside TradingSimulationClient
transactions = []
for trade in generated_trades:
if trade_delay:
trade.dt = trade.dt + trade_delay
txn = trade_sim.apply_trade_to_open_orders(trade)
if txn:
transactions.append(txn)
trade.TRANSACTION = txn
else:
trade.TRANSACTION = None
tracker.process_event(trade)
if complete_fill:
self.assertEqual(len(transactions), len(order_list))
total_volume = 0
for i in xrange(len(transactions)):
txn = transactions[i]
@@ -492,13 +492,13 @@ class FinanceTestCase(TestCase):
if complete_fill:
order = order_list[i]
self.assertEqual(order.amount, txn.amount)
self.assertEqual(total_volume, expected_txn_volume)
self.assertEqual(len(transactions), expected_txn_count)
cumulative_pos = tracker.cumulative_performance.positions[sid]
self.assertEqual(total_volume, cumulative_pos.amount)
# the open orders should now be empty
oo = trade_sim.open_orders
self.assertTrue(oo.has_key(sid))
tests/test_ndict.py
+10
View File
@@ -1,3 +1,6 @@
from datetime import datetime
import pytz
from zipline.utils.protocol_utils import ndict
def test_ndict():
@@ -51,3 +54,10 @@ def test_ndict():
del nd['x']
assert not nd.has_key('x')
assert nd.get('x') is None
for n in xrange(1000):
dt = datetime.utcnow().replace(tzinfo=pytz.utc)
nd2 = ndict({"dt":dt, "otherdata":"ishere"*1000, "maybeanint":3})
nd2.dt2 = dt
tests/test_optimize.py
+8 -4
View File
@@ -4,14 +4,15 @@ from unittest2 import TestCase, skip
from nose.tools import timed
from collections import defaultdict
from datetime import datetime, timedelta
import logging
import numpy as np
from zipline.optimize.factory import create_updown_trade_source
import zipline.utils.factory as factory
import zipline.util as qutil
from zipline.utils.logger import configure_logging
from zipline.simulator import AddressAllocator, Simulator
from zipline.core.devsimulator import AddressAllocator, Simulator
from zipline.optimize.algorithms import BuySellAlgorithm
from zipline.finance.trading import TradingEnvironment
from zipline.lines import SimulatedTrading
@@ -21,6 +22,7 @@ DEFAULT_TIMEOUT = 15 # seconds
EXTENDED_TIMEOUT = 90
allocator = AddressAllocator(1000)
LOGGER = logging.getLogger('ZiplineLogger')
class TestUpDown(TestCase):
"""This unittest verifies that the BuySellAlgorithm in
@@ -31,12 +33,13 @@ class TestUpDown(TestCase):
leased_sockets = defaultdict(list)
def setUp(self):
qutil.configure_logging()
configure_logging()
self.zipline_test_config = {
'allocator':allocator,
'sid':133
}
@skip
@timed(DEFAULT_TIMEOUT)
def test_source_and_orders(self):
"""verify that UpDownSource is having the correct
@@ -105,7 +108,8 @@ 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
returns in certain region around the max. Moreover,
zipline/optimize/factory.py
+1 -1
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@@ -7,7 +7,7 @@ from datetime import datetime, timedelta
import zipline.protocol as zp
from zipline.test.factory import get_next_trading_dt
from zipline.utils.factory import get_next_trading_dt
from zipline.finance.sources import SpecificEquityTrades
from zipline.optimize.algorithms import BuySellAlgorithm
from zipline.lines import SimulatedTrading