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DEP: Removes use of 'count'-defined test sources

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Test sources are now defined by the sim_params period_start and period_end, rather than by the period_start and a defined 'count' of bars. This allows us to consider the sim_params.period_end as the canonical definition of the end of a simulation.
This commit is contained in:
jfkirk
2015-05-28 12:29:33 -04:00
parent b24bd561e7
commit 9996502573
7 changed files with 41 additions and 73 deletions
Download Patch File Download Diff File Expand all files Collapse all files
tests/test_algorithm.py
-1
View File
@@ -135,7 +135,6 @@ class TestMiscellaneousAPI(TestCase):
)
self.source = factory.create_minutely_trade_source(
sids,
trade_count=100,
sim_params=self.sim_params,
concurrent=True,
)
tests/test_algorithm_gen.py
-2
View File
@@ -134,7 +134,6 @@ class AlgorithmGeneratorTestCase(TestCase):
algo = TestAlgo(self, sim_params=sim_params)
trade_source = factory.create_daily_trade_source(
[8229],
200,
sim_params
)
algo.set_sources([trade_source])
@@ -205,7 +204,6 @@ class AlgorithmGeneratorTestCase(TestCase):
algo = TestAlgo(self, sim_params=sim_params)
trade_source = factory.create_daily_trade_source(
[8229],
3,
sim_params
)
algo.set_sources([trade_source])
tests/test_finance.py
-1
View File
@@ -72,7 +72,6 @@ class FinanceTestCase(TestCase):
sim_params = factory.create_simulation_parameters()
trade_source = factory.create_daily_trade_source(
[133],
200,
sim_params
)
prev = None
tests/test_transforms.py
+3 -3
View File
@@ -41,6 +41,7 @@ def handle_data_wrapper(f):
else:
context.mins_for_days[-1] += 1
hist = context.history(2, '1d', 'close_price')
for n in (1, 2, 3):
if n in data:
if data[n].dt == dt:
@@ -53,7 +54,7 @@ def handle_data_wrapper(f):
context.price_bars[n].append(np.nan)
context.vol_bars[n].append(0)
context.last_close_prices[n] = context.price_bars[n][-2]
context.last_close_prices[n] = hist[n][0]
if context.warmup < 0:
return f(context, data)
@@ -101,6 +102,7 @@ def with_algo(f):
initialize=initialize_with(self, tfm_name, days),
handle_data=handle_data_wrapper(f),
sim_params=sim_params,
identifiers=[1, 2, 3]
)
algo.run(source)
@@ -131,12 +133,10 @@ class TransformTestCase(TestCase):
cls.sim_and_source = {
'minute': (minute_sim_ps, factory.create_minutely_trade_source(
cls.sids,
trade_count=45,
sim_params=minute_sim_ps,
)),
'daily': (daily_sim_ps, factory.create_trade_source(
cls.sids,
trade_count=90,
trade_time_increment=timedelta(days=1),
sim_params=daily_sim_ps,
)),
zipline/sources/test_source.py
+25 -39
View File
@@ -19,9 +19,9 @@ A source to be used in testing.
import pytz
from itertools import cycle
from six.moves import filter, zip
from six.moves import filter
from datetime import datetime, timedelta
import itertools
import numpy as np
from six.moves import range
@@ -53,9 +53,9 @@ def create_trade(sid, price, amount, datetime, source_id="test_factory"):
@with_environment()
def date_gen(start=datetime(2006, 6, 6, 12, tzinfo=pytz.utc),
def date_gen(start,
end,
delta=timedelta(minutes=1),
count=100,
repeats=None,
env=None):
"""
@@ -88,7 +88,7 @@ def date_gen(start=datetime(2006, 6, 6, 12, tzinfo=pytz.utc),
# yield count trade events, all on trading days, and
# during trading hours.
for i in range(count):
while cur < end:
if repeats:
for j in range(repeats):
yield cur
@@ -98,22 +98,6 @@ def date_gen(start=datetime(2006, 6, 6, 12, tzinfo=pytz.utc),
cur = advance_current(cur)
def mock_prices(count):
"""
Utility to generate a stream of mock prices. By default
cycles through values from 0.0 to 10.0, n times.
"""
return (float(i % 10) + 1.0 for i in range(count))
def mock_volumes(count):
"""
Utility to generate a set of volumes. By default cycles
through values from 100 to 1000, incrementing by 50.
"""
return ((i * 50) % 900 + 100 for i in range(count))
class SpecificEquityTrades(object):
"""
Yields all events in event_list that match the given sid_filter.
@@ -136,18 +120,16 @@ class SpecificEquityTrades(object):
# Default to None for event_list and filter.
self.event_list = kwargs.get('event_list')
self.filter = kwargs.get('filter')
if self.event_list is not None:
# If event_list is provided, extract parameters from there
# This isn't really clean and ultimately I think this
# class should serve a single purpose (either take an
# event_list or autocreate events).
self.count = kwargs.get('count', len(self.event_list))
self.sids = kwargs.get(
'sids',
np.unique([event.sid for event in self.event_list]).tolist())
self.start = kwargs.get('start', self.event_list[0].dt)
self.end = kwargs.get('start', self.event_list[-1].dt)
self.end = kwargs.get('end', self.event_list[-1].dt)
self.delta = kwargs.get(
'delta',
self.event_list[1].dt - self.event_list[0].dt)
@@ -155,11 +137,13 @@ class SpecificEquityTrades(object):
else:
# Unpack config dictionary with default values.
self.count = kwargs.get('count', 500)
self.sids = kwargs.get('sids', [1, 2])
self.start = kwargs.get(
'start',
datetime(2008, 6, 6, 15, tzinfo=pytz.utc))
self.end = kwargs.get(
'end',
datetime(2008, 6, 6, 15, tzinfo=pytz.utc))
self.delta = kwargs.get(
'delta',
timedelta(minutes=1))
@@ -201,30 +185,32 @@ class SpecificEquityTrades(object):
if self.concurrent:
# in this context the count is the number of
# trades per sid, not the total.
dates = date_gen(
count=self.count,
date_generator = date_gen(
start=self.start,
end=self.end,
delta=self.delta,
repeats=len(self.sids),
)
else:
dates = date_gen(
count=self.count,
date_generator = date_gen(
start=self.start,
end=self.end,
delta=self.delta
)
prices = mock_prices(self.count)
volumes = mock_volumes(self.count)
source_id = self.get_hash()
sids = cycle(self.sids)
# Combine the iterators into a single iterator of arguments
arg_gen = zip(sids, prices, volumes, dates)
# Convert argument packages into events.
unfiltered = (create_trade(*args, source_id=self.get_hash())
for args in arg_gen)
unfiltered = (
create_trade(
sid=sid,
price=float(i % 10) + 1.0,
amount=(i * 50) % 900 + 100,
datetime=date,
source_id=source_id,
) for (i, date), sid in itertools.product(
enumerate(date_generator), self.sids
)
)
# If we specified a sid filter, filter out elements that don't
# match the filter.
zipline/utils/factory.py
+13 -19
View File
@@ -224,65 +224,59 @@ def create_returns_from_list(returns, sim_params):
data=returns)
def create_daily_trade_source(sids, trade_count, sim_params,
concurrent=False):
def create_daily_trade_source(sids, sim_params, concurrent=False):
"""
creates trade_count trades for each sid in sids list.
first trade will be on sim_params.period_start, and daily
thereafter for each sid. Thus, two sids should result in two trades per
day.
Important side-effect: sim_params.period_end will be modified
to match the day of the final trade.
"""
return create_trade_source(
sids,
trade_count,
timedelta(days=1),
sim_params,
concurrent=concurrent
)
def create_minutely_trade_source(sids, trade_count, sim_params,
concurrent=False):
def create_minutely_trade_source(sids, sim_params, concurrent=False):
"""
creates trade_count trades for each sid in sids list.
first trade will be on sim_params.period_start, and every minute
thereafter for each sid. Thus, two sids should result in two trades per
minute.
Important side-effect: sim_params.period_end will be modified
to match the day of the final trade.
"""
return create_trade_source(
sids,
trade_count,
timedelta(minutes=1),
sim_params,
concurrent=concurrent
)
def create_trade_source(sids, trade_count,
trade_time_increment, sim_params,
def create_trade_source(sids, trade_time_increment, sim_params,
concurrent=False):
# If the sim_params define an end that is during market hours, that will be
# used as the end of the data source
if trading.environment.is_market_hours(sim_params.period_end):
end = sim_params.period_end
# Otherwise, the last_close after the period_end is used as the end of the
# data source
else:
end = sim_params.last_close
args = tuple()
kwargs = {
'count': trade_count,
'sids': sids,
'start': sim_params.first_open,
'end': end,
'delta': trade_time_increment,
'filter': sids,
'concurrent': concurrent
}
source = SpecificEquityTrades(*args, **kwargs)
# TODO: do we need to set the trading environment's end to same dt as
# the last trade in the history?
# sim_params.period_end = trade_history[-1].dt
return source
zipline/utils/simfactory.py
-8
View File
@@ -42,13 +42,6 @@ def create_test_zipline(**config):
else:
order_amount = 100
if 'trade_count' in config:
trade_count = config['trade_count']
else:
# to ensure all orders are filled, we provide one more
# trade than order
trade_count = 101
# -------------------
# Create the Algo
# -------------------
@@ -72,7 +65,6 @@ def create_test_zipline(**config):
else:
trade_source = factory.create_daily_trade_source(
sid_list,
trade_count,
test_algo.sim_params,
concurrent=concurrent_trades
)