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MAINT: Deprecate set_do_not_order_list

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In favor of a new method `set_restrictions` which takes a Restrictions
object. Calls to `set_do_not_order_list` should raise a deprecation
warning and create an equivalent Restrictions object, with which
`set_restrictions` will be called. For convenience, create a
RestrictionsSet from which the "restrictions" version of a security
list can be accessed
This commit is contained in:
Andrew Liang
2016-09-28 15:21:36 -04:00
parent a30f48e218
commit 99f6ecab3f
5 changed files with 103 additions and 24 deletions
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tests/test_algorithm.py
+32 -12
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@@ -79,6 +79,7 @@ from zipline.finance.trading import SimulationParameters
from zipline.finance.restrictions import (
Restriction,
HistoricalRestrictions,
StaticRestrictions,
RESTRICTION_STATES,
)
from zipline.testing import (
@@ -127,6 +128,7 @@ from zipline.test_algorithms import (
SetMaxOrderCountAlgorithm,
SetMaxOrderSizeAlgorithm,
SetDoNotOrderListAlgorithm,
SetAssetRestrictionsAlgorithm,
SetMaxLeverageAlgorithm,
api_algo,
api_get_environment_algo,
@@ -2793,14 +2795,14 @@ class TestTradingControls(WithSimParams, WithDataPortal, ZiplineTestCase):
env=self.env)
self.check_algo_fails(algo, handle_data, 0)
def test_set_do_not_order_list(self):
def test_set_asset_restrictions(self):
def handle_data(algo, data):
algo.could_trade = data.can_trade(algo.sid(self.sid))
algo.order(algo.sid(self.sid), 100)
algo.order_count += 1
# set the restricted list to be one sid for the entire simulation,
# Set HistoricalRestrictions for one sid for the entire simulation,
# and fail.
rlm = HistoricalRestrictions([
Restriction(
@@ -2808,20 +2810,20 @@ class TestTradingControls(WithSimParams, WithDataPortal, ZiplineTestCase):
self.sim_params.start_session,
RESTRICTION_STATES.FROZEN)
])
algo = SetDoNotOrderListAlgorithm(
algo = SetAssetRestrictionsAlgorithm(
sid=self.sid,
restricted_list=rlm,
restrictions=rlm,
sim_params=self.sim_params,
env=self.env,
)
self.check_algo_fails(algo, handle_data, 0)
self.assertFalse(algo.could_trade)
# if the restricted list is a static list, then use a shim.
rlm = [self.sid]
algo = SetDoNotOrderListAlgorithm(
# Set StaticRestrictions for one sid and fail.
rlm = StaticRestrictions([self.sid])
algo = SetAssetRestrictionsAlgorithm(
sid=self.sid,
restricted_list=rlm,
restrictions=rlm,
sim_params=self.sim_params,
env=self.env,
)
@@ -2829,9 +2831,9 @@ class TestTradingControls(WithSimParams, WithDataPortal, ZiplineTestCase):
self.assertFalse(algo.could_trade)
# just log an error on the violation if we choose not to fail.
algo = SetDoNotOrderListAlgorithm(
algo = SetAssetRestrictionsAlgorithm(
sid=self.sid,
restricted_list=rlm,
restrictions=rlm,
sim_params=self.sim_params,
env=self.env,
on_error='log'
@@ -2851,14 +2853,32 @@ class TestTradingControls(WithSimParams, WithDataPortal, ZiplineTestCase):
self.sim_params.start_session,
RESTRICTION_STATES.FROZEN) for sid in [134, 135, 136]
])
algo = SetAssetRestrictionsAlgorithm(
sid=self.sid,
restrictions=rlm,
sim_params=self.sim_params,
env=self.env,
)
self.check_algo_succeeds(algo, handle_data)
self.assertTrue(algo.could_trade)
def test_set_do_not_order_list(self):
def handle_data(algo, data):
algo.could_trade = data.can_trade(algo.sid(self.sid))
algo.order(algo.sid(self.sid), 100)
algo.order_count += 1
rlm = [self.sid]
algo = SetDoNotOrderListAlgorithm(
sid=self.sid,
restricted_list=rlm,
sim_params=self.sim_params,
env=self.env,
)
self.check_algo_succeeds(algo, handle_data)
self.assertTrue(algo.could_trade)
self.check_algo_fails(algo, handle_data, 0)
self.assertFalse(algo.could_trade)
def test_set_max_order_size(self):