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TST: Reconciles tests with asset management system

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This commit is contained in:
jfkirk
2015-06-08 16:30:16 -04:00
parent b84ac01cbf
commit a5d1f79a37
11 changed files with 608 additions and 391 deletions
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tests/test_algorithm.py
+147 -42
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@@ -36,6 +36,7 @@ from zipline.errors import (
RegisterTradingControlPostInit,
TradingControlViolation,
AccountControlViolation,
SymbolNotFound,
)
from zipline.test_algorithms import (
access_account_in_init,
@@ -55,6 +56,7 @@ from zipline.test_algorithms import (
TestTargetPercentAlgorithm,
TestTargetValueAlgorithm,
SetLongOnlyAlgorithm,
SetAssetDateBoundsAlgorithm,
SetMaxPositionSizeAlgorithm,
SetMaxOrderCountAlgorithm,
SetMaxOrderSizeAlgorithm,
@@ -85,6 +87,9 @@ from zipline.sources import (SpecificEquityTrades,
DataFrameSource,
DataPanelSource,
RandomWalkSource)
from zipline.assets import (
Equity, Future
)
from zipline.finance.execution import LimitOrder
from zipline.finance.trading import SimulationParameters
@@ -178,12 +183,12 @@ class TestMiscellaneousAPI(TestCase):
if algo.minute == 0:
# Should be filled by the next minute
algo.order(1, 1)
algo.order(algo.sid(1), 1)
# Won't be filled because the price is too low.
algo.order(2, 1, style=LimitOrder(0.01))
algo.order(2, 1, style=LimitOrder(0.01))
algo.order(2, 1, style=LimitOrder(0.01))
algo.order(algo.sid(2), 1, style=LimitOrder(0.01))
algo.order(algo.sid(2), 1, style=LimitOrder(0.01))
algo.order(algo.sid(2), 1, style=LimitOrder(0.01))
all_orders = algo.get_open_orders()
self.assertEqual(list(all_orders.keys()), [1, 2])
@@ -293,6 +298,58 @@ class TestMiscellaneousAPI(TestCase):
self.assertIs(composer, zipline.utils.events.ComposedRule.lazy_and)
def test_asset_lookup(self):
metadata = {0: {'symbol': 'PLAY',
'asset_type': 'equity',
'start_date': '2002-01-01',
'end_date': '2004-01-01'},
1: {'symbol': 'PLAY',
'asset_type': 'equity',
'start_date': '2005-01-01',
'end_date': '2006-01-01'},
2: {'symbol': 'OMG15',
'asset_type': 'future'}}
algo = TradingAlgorithm(asset_metadata=metadata)
# Test before either PLAY existed
algo.datetime = pd.Timestamp('2001-12-01', tz='UTC')
self.assertEqual(2, algo.symbol('OMG15'))
with self.assertRaises(SymbolNotFound):
algo.symbol('PLAY')
with self.assertRaises(SymbolNotFound):
algo.symbols('PLAY', 'OMG15')
# Test when first PLAY exists
algo.datetime = pd.Timestamp('2002-12-01', tz='UTC')
self.assertEqual(2, algo.symbol('OMG15'))
self.assertEqual(0, algo.symbol('PLAY'))
list_result = algo.symbols('PLAY', 'OMG15')
self.assertEqual(0, list_result[0])
self.assertEqual(2, list_result[1])
# Test after first PLAY ends
algo.datetime = pd.Timestamp('2004-12-01', tz='UTC')
self.assertEqual(2, algo.symbol('OMG15'))
self.assertEqual(0, algo.symbol('PLAY'))
# Test after second PLAY begins
algo.datetime = pd.Timestamp('2005-12-01', tz='UTC')
self.assertEqual(2, algo.symbol('OMG15'))
self.assertEqual(1, algo.symbol('PLAY'))
# Test after second PLAY ends
algo.datetime = pd.Timestamp('2006-12-01', tz='UTC')
self.assertEqual(2, algo.symbol('OMG15'))
self.assertEqual(1, algo.symbol('PLAY'))
list_result = algo.symbols('PLAY', 'OMG15')
self.assertEqual(1, list_result[0])
self.assertEqual(2, list_result[1])
# Test lookup SID
self.assertIsInstance(algo.sid(0), Equity)
self.assertIsInstance(algo.sid(1), Equity)
self.assertIsInstance(algo.sid(2), Future)
class TestTransformAlgorithm(TestCase):
def setUp(self):
@@ -384,19 +441,36 @@ class TestTransformAlgorithm(TestCase):
)
self.assertEqual(algo.sim_params.data_frequency, 'minute')
def test_order_methods(self):
AlgoClasses = [TestOrderAlgorithm,
TestOrderValueAlgorithm,
TestTargetAlgorithm,
TestOrderPercentAlgorithm,
TestTargetPercentAlgorithm,
TestTargetValueAlgorithm]
@parameterized.expand([
(TestOrderAlgorithm,),
(TestOrderValueAlgorithm,),
(TestTargetAlgorithm,),
(TestOrderPercentAlgorithm,),
(TestTargetPercentAlgorithm,),
(TestTargetValueAlgorithm,),
])
def test_order_methods(self, algo_class):
algo = algo_class(
sim_params=self.sim_params,
)
algo.run(self.df)
for AlgoClass in AlgoClasses:
algo = AlgoClass(
sim_params=self.sim_params,
)
algo.run(self.df)
@parameterized.expand([
(TestOrderAlgorithm,),
(TestOrderValueAlgorithm,),
(TestTargetAlgorithm,),
(TestOrderPercentAlgorithm,),
(TestTargetValueAlgorithm,),
])
def test_order_methods_for_future(self, algo_class):
metadata = {0: {'asset_type': 'future',
'contract_multiplier': 10}}
algo = algo_class(
sim_params=self.sim_params,
asset_metadata=metadata
)
algo.run(self.df)
def test_order_method_style_forwarding(self):
@@ -493,7 +567,8 @@ class TestAlgoScript(TestCase):
self.sim_params
)
self.source = SpecificEquityTrades(event_list=trade_history)
self.source = SpecificEquityTrades(sids=[133],
event_list=trade_history)
self.df_source, self.df = \
factory.create_test_df_source(self.sim_params)
@@ -543,7 +618,8 @@ from zipline.api import (slippage,
set_slippage,
set_commission,
order,
record)
record,
sid)
def initialize(context):
model = slippage.FixedSlippage(spread=0.10)
@@ -554,7 +630,7 @@ def initialize(context):
def handle_data(context, data):
if context.incr < context.count:
order(0, -1000)
order(sid(0), -1000)
record(price=data[0].price)
context.incr += 1""",
@@ -607,7 +683,7 @@ def handle_data(context, data):
if context.incr < context.count:
# order small lots to be sure the
# order will fill in a single transaction
order(0, 5000)
order(sid(0), 5000)
record(price=data[0].price)
record(volume=data[0].volume)
record(incr=context.incr)
@@ -877,6 +953,7 @@ class TestGetDatetime(TestCase):
algo = TradingAlgorithm(
script=algo,
sim_params=sim_params,
identifiers=[1]
)
algo.run(source)
self.assertFalse(algo.first_bar)
@@ -923,7 +1000,7 @@ class TestTradingControls(TestCase):
# Buy one share four times. Should be fine.
def handle_data(algo, data):
algo.order(self.sid, 1)
algo.order(algo.sid(self.sid), 1)
algo.order_count += 1
algo = SetMaxPositionSizeAlgorithm(sid=self.sid,
max_shares=10,
@@ -933,7 +1010,7 @@ class TestTradingControls(TestCase):
# Buy three shares four times. Should bail on the fourth before it's
# placed.
def handle_data(algo, data):
algo.order(self.sid, 3)
algo.order(algo.sid(self.sid), 3)
algo.order_count += 1
algo = SetMaxPositionSizeAlgorithm(sid=self.sid,
@@ -944,7 +1021,7 @@ class TestTradingControls(TestCase):
# Buy two shares four times. Should bail due to max_notional on the
# third attempt.
def handle_data(algo, data):
algo.order(self.sid, 3)
algo.order(algo.sid(self.sid), 3)
algo.order_count += 1
algo = SetMaxPositionSizeAlgorithm(sid=self.sid,
@@ -955,7 +1032,7 @@ class TestTradingControls(TestCase):
# Set the trading control to a different sid, then BUY ALL THE THINGS!.
# Should continue normally.
def handle_data(algo, data):
algo.order(self.sid, 10000)
algo.order(algo.sid(self.sid), 10000)
algo.order_count += 1
algo = SetMaxPositionSizeAlgorithm(sid=self.sid + 1,
max_shares=10,
@@ -965,7 +1042,7 @@ class TestTradingControls(TestCase):
# Set the trading control sid to None, then BUY ALL THE THINGS!. Should
# fail because setting sid to None makes the control apply to all sids.
def handle_data(algo, data):
algo.order(self.sid, 10000)
algo.order(algo.sid(self.sid), 10000)
algo.order_count += 1
algo = SetMaxPositionSizeAlgorithm(max_shares=10, max_notional=61.0)
self.check_algo_fails(algo, handle_data, 0)
@@ -977,7 +1054,7 @@ class TestTradingControls(TestCase):
restricted_list=[self.sid])
def handle_data(algo, data):
algo.order(self.sid, 100)
algo.order(algo.sid(self.sid), 100)
algo.order_count += 1
self.check_algo_fails(algo, handle_data, 0)
@@ -988,7 +1065,7 @@ class TestTradingControls(TestCase):
restricted_list=[134, 135, 136])
def handle_data(algo, data):
algo.order(self.sid, 100)
algo.order(algo.sid(self.sid), 100)
algo.order_count += 1
self.check_algo_succeeds(algo, handle_data)
@@ -997,7 +1074,7 @@ class TestTradingControls(TestCase):
# Buy one share.
def handle_data(algo, data):
algo.order(self.sid, 1)
algo.order(algo.sid(self.sid), 1)
algo.order_count += 1
algo = SetMaxOrderSizeAlgorithm(sid=self.sid,
max_shares=10,
@@ -1007,7 +1084,7 @@ class TestTradingControls(TestCase):
# Buy 1, then 2, then 3, then 4 shares. Bail on the last attempt
# because we exceed shares.
def handle_data(algo, data):
algo.order(self.sid, algo.order_count + 1)
algo.order(algo.sid(self.sid), algo.order_count + 1)
algo.order_count += 1
algo = SetMaxOrderSizeAlgorithm(sid=self.sid,
@@ -1018,7 +1095,7 @@ class TestTradingControls(TestCase):
# Buy 1, then 2, then 3, then 4 shares. Bail on the last attempt
# because we exceed notional.
def handle_data(algo, data):
algo.order(self.sid, algo.order_count + 1)
algo.order(algo.sid(self.sid), algo.order_count + 1)
algo.order_count += 1
algo = SetMaxOrderSizeAlgorithm(sid=self.sid,
@@ -1029,7 +1106,7 @@ class TestTradingControls(TestCase):
# Set the trading control to a different sid, then BUY ALL THE THINGS!.
# Should continue normally.
def handle_data(algo, data):
algo.order(self.sid, 10000)
algo.order(algo.sid(self.sid), 10000)
algo.order_count += 1
algo = SetMaxOrderSizeAlgorithm(sid=self.sid + 1,
max_shares=1,
@@ -1040,7 +1117,7 @@ class TestTradingControls(TestCase):
# Should fail because not specifying a sid makes the trading control
# apply to all sids.
def handle_data(algo, data):
algo.order(self.sid, 10000)
algo.order(algo.sid(self.sid), 10000)
algo.order_count += 1
algo = SetMaxOrderSizeAlgorithm(max_shares=1,
max_notional=1.0)
@@ -1061,7 +1138,7 @@ class TestTradingControls(TestCase):
def handle_data(algo, data):
for i in range(5):
algo.order(self.sid, 1)
algo.order(algo.sid(self.sid), 1)
algo.order_count += 1
algo = SetMaxOrderCountAlgorithm(3)
@@ -1080,7 +1157,7 @@ class TestTradingControls(TestCase):
def test_long_only(self):
# Sell immediately -> fail immediately.
def handle_data(algo, data):
algo.order(self.sid, -1)
algo.order(algo.sid(self.sid), -1)
algo.order_count += 1
algo = SetLongOnlyAlgorithm()
self.check_algo_fails(algo, handle_data, 0)
@@ -1089,9 +1166,9 @@ class TestTradingControls(TestCase):
# should succeed.
def handle_data(algo, data):
if (algo.order_count % 2) == 0:
algo.order(self.sid, 1)
algo.order(algo.sid(self.sid), 1)
else:
algo.order(self.sid, -1)
algo.order(algo.sid(self.sid), -1)
algo.order_count += 1
algo = SetLongOnlyAlgorithm()
self.check_algo_succeeds(algo, handle_data)
@@ -1099,7 +1176,7 @@ class TestTradingControls(TestCase):
# Buy on first three days, then sell off holdings. Should succeed.
def handle_data(algo, data):
amounts = [1, 1, 1, -3]
algo.order(self.sid, amounts[algo.order_count])
algo.order(algo.sid(self.sid), amounts[algo.order_count])
algo.order_count += 1
algo = SetLongOnlyAlgorithm()
self.check_algo_succeeds(algo, handle_data)
@@ -1108,7 +1185,7 @@ class TestTradingControls(TestCase):
# Should fail on the last sale.
def handle_data(algo, data):
amounts = [1, 1, 1, -4]
algo.order(self.sid, amounts[algo.order_count])
algo.order(algo.sid(self.sid), amounts[algo.order_count])
algo.order_count += 1
algo = SetLongOnlyAlgorithm()
self.check_algo_fails(algo, handle_data, 3)
@@ -1134,14 +1211,42 @@ class TestTradingControls(TestCase):
algo.run(self.source)
self.source.rewind()
def test_asset_date_bounds(self):
# Run the algorithm with a sid that ends far in the future
df_source, _ = factory.create_test_df_source(self.sim_params)
metadata = {0: {'start_date': '1990-01-01',
'end_date': '2020-01-01'}}
algo = SetAssetDateBoundsAlgorithm(asset_metadata=metadata,
sim_params=self.sim_params,)
algo.run(df_source)
# Run the algorithm with a sid that has already ended
df_source, _ = factory.create_test_df_source(self.sim_params)
metadata = {0: {'start_date': '1989-01-01',
'end_date': '1990-01-01'}}
algo = SetAssetDateBoundsAlgorithm(asset_metadata=metadata,
sim_params=self.sim_params,)
with self.assertRaises(TradingControlViolation):
algo.run(df_source)
# Run the algorithm with a sid that has not started
df_source, _ = factory.create_test_df_source(self.sim_params)
metadata = {0: {'start_date': '2020-01-01',
'end_date': '2021-01-01'}}
algo = SetAssetDateBoundsAlgorithm(asset_metadata=metadata,
sim_params=self.sim_params,)
with self.assertRaises(TradingControlViolation):
algo.run(df_source)
class TestAccountControls(TestCase):
def setUp(self):
self.sim_params = factory.create_simulation_parameters(num_days=4)
self.sid = 133
self.sidint = 133
self.trade_history = factory.create_trade_history(
self.sid,
self.sidint,
[10.0, 10.0, 11.0, 11.0],
[100, 100, 100, 300],
timedelta(days=1),
@@ -1173,14 +1278,14 @@ class TestAccountControls(TestCase):
# Set max leverage to 0 so buying one share fails.
def handle_data(algo, data):
algo.order(self.sid, 1)
algo.order(algo.sid(self.sidint), 1)
algo = SetMaxLeverageAlgorithm(0)
self.check_algo_fails(algo, handle_data)
# Set max leverage to 1 so buying one share passes
def handle_data(algo, data):
algo.order(self.sid, 1)
algo.order(algo.sid(self.sidint), 1)
algo = SetMaxLeverageAlgorithm(1)
self.check_algo_succeeds(algo, handle_data)