First pass at writing unit tests to exercise slippage models.

2026-07-03 10:00:17 +08:00 · 2012-10-09 17:09:40 -04:00
parent 29a87ef7a2
commit a83f9f9106
2 changed files with 79 additions and 0 deletions
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+#
+# Copyright 2012 Quantopian, Inc.
+#
+# Licensed under the Apache License, Version 2.0 (the "License");
+# you may not use this file except in compliance with the License.
+# You may obtain a copy of the License at
+#
+#     http://www.apache.org/licenses/LICENSE-2.0
+#
+# Unless required by applicable law or agreed to in writing, software
+# distributed under the License is distributed on an "AS IS" BASIS,
+# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+# See the License for the specific language governing permissions and
+# limitations under the License.
+
+"""
+Unit tests for finance.slippage
+"""
+import datetime
+
+import pytz
+
+from unittest2 import TestCase
+
+from zipline.finance.slippage import VolumeShareSlippage
+
+from zipline import ndict
+
+
+class SlippageTestCase(TestCase):
+
+    def test_volume_share_slippage(self):
+
+        event = ndict(
+            {'volume': 200,
+             'TRANSACTION': None,
+             'type': 4,
+             'price': 3.0,
+             'datetime': datetime.datetime(
+                 2006, 1, 5, 14, 31, tzinfo=pytz.utc),
+             'high': 3.15,
+             'low': 2.85,
+             'sid': 133,
+             'source_id': 'test_source',
+             'close': 3.0,
+             'dt':
+             datetime.datetime(2006, 1, 5, 14, 31, tzinfo=pytz.utc),
+             'open': 3.0}
+        )
+
+        slippage_model = VolumeShareSlippage()
+
+        open_orders = {133: [
+            ndict(
+                {'dt': datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc),
+                 'amount': 100,
+                 'filled': 0, 'sid': 133})
+            ]
+        }
+
+        txn = slippage_model.simulate(
+            event,
+            open_orders
+        )
+
+        self.assertIsNotNone(txn)
+
+        expected_txn = {
+            'price': float(3.01875),
+            'dt': datetime.datetime(
+                2006, 1, 5, 14, 31, tzinfo=pytz.utc),
+            'amount': int(50),
+            'sid': int(133)
+            }
+
+        self.assertIsNotNone(txn)
+
+        for key, value in expected_txn.items():
+            self.assertEquals(value, txn[key])