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TST: Encode minutes in continuous future tests.
Include minutes (in addition to the days) in the price encoding for continuous futures tests. Need for different values minute to minute arose when working on tests for adjusted values.
This commit is contained in:
Eddie Hebert
@@ -21,6 +21,7 @@ from numpy import (
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int64,
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full,
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repeat,
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tile,
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)
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from numpy.testing import assert_almost_equal
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import pandas as pd
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@@ -101,28 +102,44 @@ class ContinuousFuturesTestCase(WithCreateBarData,
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end = pd.Timestamp('2016-04-29', tz='UTC')
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dts = tc.minutes_for_sessions_in_range(start, end)
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sessions = tc.sessions_in_range(start, end)
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# Generate values in the .0XX space such that the first session
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# has 0.001 added to all values, the second session has 0.002,
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# etc.
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markers = repeat(
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arange(0.001, 0.001 * (len(sessions) + 1), 0.001),
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# Generate values in the XXY.YYY space, with XX representing the
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# session and Y.YYY representing the minute within the session.
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# e.g. the close of the 23rd session would be 231.440.
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r = 10.0
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day_markers = repeat(
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arange(r, r * len(sessions) + r, r),
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FUTURES_MINUTES_PER_DAY)
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vol_markers = repeat(
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arange(1, (len(sessions) + 1), 1, dtype=int64),
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r = 0.001
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min_markers = tile(
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arange(r, r * FUTURES_MINUTES_PER_DAY + r, r),
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len(sessions))
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markers = day_markers + min_markers
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# Volume uses a similar scheme as above but times 1000.
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r = 10.0 * 1000
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vol_day_markers = repeat(
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arange(r, r * len(sessions) + r, r, dtype=int64),
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FUTURES_MINUTES_PER_DAY)
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r = 0.001 * 1000
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vol_min_markers = tile(
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arange(r, r * FUTURES_MINUTES_PER_DAY + r, r, dtype=int64),
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len(sessions))
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vol_markers = vol_day_markers + vol_min_markers
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base_df = pd.DataFrame(
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{
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'open': full(len(dts), 100.2) + markers,
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'high': full(len(dts), 100.9) + markers,
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'low': full(len(dts), 100.1) + markers,
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'close': full(len(dts), 100.5) + markers,
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'volume': full(len(dts), 1000, dtype=int64) + vol_markers,
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'open': full(len(dts), 102000.0) + markers,
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'high': full(len(dts), 109000.0) + markers,
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'low': full(len(dts), 101000.0) + markers,
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'close': full(len(dts), 105000.0) + markers,
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'volume': full(len(dts), 10000, dtype=int64) + vol_markers,
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},
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index=dts)
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# Add the sid to the ones place of the prices, so that the ones
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# place can be used to eyeball the source contract.
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for i in range(5):
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yield i, base_df + i
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yield i, base_df + i * 10000
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def test_create_continuous_future(self):
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cf_primary = self.asset_finder.create_continuous_future(
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@@ -424,17 +441,17 @@ def record_current_contract(algo, data):
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assert_almost_equal(
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window.loc['2016-01-26', cf],
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101.501,
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115011.440,
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err_msg="At beginning of window, should be FOG16's first value.")
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assert_almost_equal(
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window.loc['2016-02-26', cf],
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102.524,
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125241.440,
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err_msg="On session with roll, should be FOH16's 24th value.")
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assert_almost_equal(
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window.loc['2016-02-29', cf],
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102.525,
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125251.440,
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err_msg="After roll, Should be FOH16's 25th value.")
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# Advance the window a month.
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@@ -443,27 +460,27 @@ def record_current_contract(algo, data):
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assert_almost_equal(
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window.loc['2016-02-24', cf],
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101.522,
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115221.440,
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err_msg="At beginning of window, should be FOG16's 22nd value.")
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assert_almost_equal(
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window.loc['2016-02-26', cf],
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102.524,
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125241.440,
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err_msg="On session with roll, should be FOH16's 24th value.")
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assert_almost_equal(
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window.loc['2016-02-29', cf],
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102.525,
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125251.440,
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err_msg="On session after roll, should be FOH16's 25th value.")
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assert_almost_equal(
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window.loc['2016-03-24', cf],
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103.543,
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135431.440,
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err_msg="On session with roll, should be FOJ16's 43rd value.")
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assert_almost_equal(
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window.loc['2016-03-28', cf],
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103.544,
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135441.440,
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err_msg="On session after roll, Should be FOJ16's 44th value.")
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def test_history_close_minute(self):
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@@ -475,16 +492,16 @@ def record_current_contract(algo, data):
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30, '1m', 'close')
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self.assertEqual(window.loc['2016-02-25 22:32', cf],
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101.523,
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115231.412,
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"Should be FOG16 at beginning of window. A minute "
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"which is in the 02-25 session, before the roll.")
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self.assertEqual(window.loc['2016-02-25 23:00', cf],
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101.523,
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115231.440,
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"Should be FOG16 on on minute before roll minute.")
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self.assertEqual(window.loc['2016-02-25 23:01', cf],
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102.524,
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125240.001,
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"Should be FOH16 on minute after roll.")
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# Advance the window a session.
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@@ -494,11 +511,11 @@ def record_current_contract(algo, data):
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30, '1m', 'close')
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self.assertEqual(window.loc['2016-02-26 22:32', cf],
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102.524,
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125241.412,
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"Should be FOH16 at beginning of window.")
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self.assertEqual(window.loc['2016-02-28 23:01', cf],
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102.525,
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125250.001,
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"Should remain FOH16 on next session.")
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