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fixes for unit tests, back to 50/51 passing.

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This commit is contained in:
fawce
2012-08-07 14:42:43 -04:00
parent 804bcb4e0c
commit aeb50da170
12 changed files with 56 additions and 58 deletions
Download Patch File Download Diff File Expand all files Collapse all files
tests/test_exception_handling.py
-2
View File
@@ -26,9 +26,7 @@ class ExceptionTestCase(TestCase):
def setUp(self):
self.zipline_test_config = {
'allocator' : allocator,
'sid' : 133,
'devel' : False,
'results_socket_uri' : allocator.lease(1)[0],
'simulation_style' : SIMULATION_STYLE.FIXED_SLIPPAGE
}
tests/test_finance.py
+8 -17
View File
@@ -11,7 +11,6 @@ from collections import defaultdict
from nose.tools import timed
import zipline.utils.factory as factory
import zipline.protocol as zp
from zipline.test_algorithms import TestAlgorithm
from zipline.finance.trading import TradingEnvironment
@@ -19,10 +18,9 @@ from zipline.core.devsimulator import AddressAllocator
from zipline.lines import SimulatedTrading
from zipline.finance.performance import PerformanceTracker
from zipline.utils.protocol_utils import ndict
from zipline.finance.trading import TransactionSimulator, SIMULATION_STYLE
from zipline.finance.trading import TransactionSimulator
from zipline.utils.test_utils import \
drain_zipline, \
check, \
setup_logger, \
teardown_logger,\
assert_single_position
@@ -39,10 +37,8 @@ class FinanceTestCase(TestCase):
def setUp(self):
self.zipline_test_config = {
'allocator' : allocator,
'sid' : 133,
#'devel' : True,
'results_socket' : allocator.lease(1)[0]
'sid' : 133,
'results_socket_uri' : allocator.lease(1)[0]
}
self.ctx = zmq.Context()
@@ -60,7 +56,7 @@ class FinanceTestCase(TestCase):
trading_environment
)
prev = None
for trade in trade_source.event_list:
for trade in trade_source:
if prev:
self.assertTrue(trade.dt > prev.dt)
prev = trade
@@ -123,7 +119,6 @@ class FinanceTestCase(TestCase):
self.zipline_test_config['order_count'] = 100
self.zipline_test_config['trade_count'] = 200
zipline = SimulatedTrading.create_test_zipline(**self.zipline_test_config)
assert_single_position(self, zipline)
#@timed(DEFAULT_TIMEOUT)
@@ -148,9 +143,6 @@ class FinanceTestCase(TestCase):
)
output, transaction_count = drain_zipline(self, zipline)
self.assertTrue(zipline.sim.ready())
self.assertFalse(zipline.sim.exception)
#check that the algorithm received no events
self.assertEqual(
0,
@@ -301,12 +293,12 @@ class FinanceTestCase(TestCase):
# if present, expect transaction amounts to match orders exactly.
complete_fill = params.get('complete_fill')
sid = 1
trading_environment = factory.create_trading_environment()
trade_sim = TransactionSimulator()
trade_sim = TransactionSimulator([sid])
price = [10.1] * trade_count
volume = [100] * trade_count
start_date = trading_environment.first_open
sid = 1
generated_trades = factory.create_trade_history(
sid,
@@ -330,7 +322,7 @@ class FinanceTestCase(TestCase):
'dt' : order_date
})
trade_sim.add_open_order(order)
trade_sim.place_order(order)
order_date = order_date + order_interval
# move after market orders to just after market next
@@ -353,14 +345,13 @@ class FinanceTestCase(TestCase):
self.assertEqual(order.amount, order_amount * alternator**i)
tracker = PerformanceTracker(trading_environment)
tracker = PerformanceTracker(trading_environment, [sid])
# this approximates the loop inside TradingSimulationClient
transactions = []
for trade in generated_trades:
if trade_delay:
trade.dt = trade.dt + trade_delay
txn = trade_sim.apply_trade_to_open_orders(trade)
if txn:
transactions.append(txn)
tests/test_monitor.py
+4 -2
View File
@@ -14,13 +14,15 @@ class TestMonitor(TestCase):
def test_init(self):
pub_socket = 'tcp://127.0.0.1:5000'
route_socket = 'tcp://127.0.0.1:5001'
exception_socket = 'tcp://127.0.0.1:5002'
mon = Monitor(pub_socket, route_socket)
mon = Monitor(pub_socket, route_socket, exception_socket)
mon.manage([])
def test_init_topology(self):
pub_socket = 'tcp://127.0.0.1:5000'
route_socket = 'tcp://127.0.0.1:5001'
exception_socket = 'tcp://127.0.0.1:5002'
mon = Monitor(pub_socket, route_socket, )
mon = Monitor(pub_socket, route_socket, exception_socket)
mon.manage([ 'a', 'b', 'c', 'd' ])
tests/test_perf_tracking.py
+4 -1
View File
@@ -543,7 +543,10 @@ shares in position"
self.trading_environment.capital_base = 1000.0
self.trading_environment.frame_index = ['sid', 'volume', 'dt', \
'price', 'changed']
perf_tracker = perf.PerformanceTracker(self.trading_environment)
perf_tracker = perf.PerformanceTracker(
self.trading_environment,
[sid, sid2]
)
for event in trade_history:
#create a transaction for all but
tests/test_protocol.py
-4
View File
@@ -1,8 +1,6 @@
"""
Test the FRAME/UNFRAME functions in the sequence expected from ziplines.
"""
import pytz
from unittest2 import TestCase
from datetime import datetime, timedelta
from collections import defaultdict
@@ -10,10 +8,8 @@ from collections import defaultdict
from nose.tools import timed
import zipline.utils.factory as factory
from zipline.utils import logger
import zipline.protocol as zp
from zipline.finance.sources import SpecificEquityTrades
DEFAULT_TIMEOUT = 5 # seconds
tests/test_transforms.py
+10 -11
View File
@@ -37,7 +37,7 @@ class ZiplineWithTransformsTestCase(TestCase):
zipline = SimulatedTrading.create_test_zipline(
**self.zipline_test_config
)
vwap = VWAPTransform("vwap_10", daycount=10)
vwap = VWAP("vwap_10", daycount=10)
zipline.add_transform(vwap)
zipline.simulate(blocking=True)
@@ -49,7 +49,7 @@ class FinanceTransformsTestCase(TestCase):
def setUp(self):
self.trading_environment = factory.create_trading_environment()
setup_logger(self, '/var/log/qexec/qexec.log')
setup_logger(self)
trade_history = factory.create_trade_history(
133,
@@ -74,11 +74,11 @@ class FinanceTransformsTestCase(TestCase):
((10.0 * 100) + (10.0 * 100)) / (200.0),
((10.0 * 100) + (10.0 * 100) + (11.0 * 100)) / (300.0),
# First event should get droppped here.
((10.0 * 100) + (11.0 * 100) + (11.0 * 300)) / (500.0)]
((10.0 * 100) + (11.0 * 100) + (11.0 * 300)) / (500.0)]
# Output should match the expected.
assert tnfm_vals == expected
def test_returns(self):
trade_history = factory.create_trade_history(
@@ -98,13 +98,13 @@ class FinanceTransformsTestCase(TestCase):
def test_moving_average(self):
mavg = StatefulTransform(
MovingAverage,
timedelta(days = 2),
MovingAverage,
timedelta(days = 2),
['price', 'volume']
)
)
transformed = list(mavg.transform(self.source))
# Output values.
tnfm_prices = [message.tnfm_value.price for message in transformed]
@@ -120,7 +120,6 @@ class FinanceTransformsTestCase(TestCase):
((100.0 + 100.0 + 100.0) / 3.0),
# First event should get dropped here.
((100.0 + 100.0 + 300.0) / 3.0)]
assert tnfm_prices == expected_prices
assert tnfm_volumes == expected_volumes
zipline/finance/returns.py
+3 -4
View File
@@ -1,15 +1,14 @@
from collections import defaultdict
from zipline.transforms.base import BaseTransform
class Returns(object):
"""
Class that maintains a dictionary from sids to the event
representing the most recent closing price.
"""
def __init__(self, days == 1):
def __init__(self, days = 1):
self.days = days
self.mapping = defaultdict(self._create)
def update(self, event):
"""
Update and return the calculated returns for this event's sid.
@@ -18,7 +17,7 @@ class Returns(object):
return sid_returns
def _create(self):
return ReturnsFromPriorClose(days)
return ReturnsFromPriorClose(self.days)
class ReturnsFromPriorClose(object):
"""
zipline/finance/trading.py
+3 -1
View File
@@ -31,6 +31,8 @@ class TransactionSimulator(object):
self.open_orders[sid] = []
def place_order(self, order):
# initialized filled field.
order.filled = 0
self.open_orders[order.sid].append(order)
def update(self, event):
@@ -39,7 +41,7 @@ class TransactionSimulator(object):
if event.type == zp.DATASOURCE_TYPE.TRADE:
event.TRANSACTION = self.apply_trade_to_open_orders(event)
return event
def simulate_buy_all(self, event):
txn = self.create_transaction(
event.sid,
zipline/lines.py
+6 -1
View File
@@ -162,8 +162,13 @@ class SimulatedTrading(object):
finally:
self.close()
def signal_done(self):
# notify monitor we're done
done_frame = zp.DONE_FRAME('succes')
self.results_socket.send(done_frame)
def close(self):
log.info("Closing Simulation")
log.info("Closing Simulation: {id}".format(id=self.sim_id))
def cancel(self):
if self.proc and self.proc.is_alive():
zipline/protocol.py
+6
View File
@@ -570,6 +570,12 @@ def CANCEL_FRAME(date):
return BT_UPDATE_FRAME('CANCEL', result)
def DONE_FRAME(msg):
assert isinstance(msg, basestring), \
"Done message must be a string."
return BT_UPDATE_FRAME('DONE', msg)
def BT_UPDATE_FRAME(prefix, payload):
"""
zipline/utils/factory.py
+1 -1
View File
@@ -12,7 +12,7 @@ from datetime import datetime, timedelta
import zipline.finance.risk as risk
import zipline.protocol as zp
from zipline.finance.sources import RandomEquityTrades
from zipline.gens.tradegens import RandomEquityTrades
from zipline.gens.tradegens import SpecificEquityTrades
from zipline.gens.utils import create_trade
from zipline.finance.trading import TradingEnvironment
zipline/utils/test_utils.py
+11 -14
View File
@@ -76,7 +76,7 @@ def drain_zipline(test, zipline):
time.sleep(1)
# start the simulation
zipline.simulate(blocking=True)
zipline.simulate(blocking=False)
output, transaction_count = drain_receiver(test.receiver)
# some processes will exit after the message stream is
# finished. We block here to avoid collisions with subsequent
@@ -96,16 +96,15 @@ def drain_receiver(receiver):
transaction_count = 0
while True:
msg = receiver.recv()
if msg == str(zp.CONTROL_PROTOCOL.DONE):
update = zp.BT_UPDATE_UNFRAME(msg)
output.append(update)
if update['prefix'] == 'PERF':
transaction_count += \
len(update['payload']['daily_perf']['transactions'])
elif update['prefix'] == 'EXCEPTION':
break
elif update['prefix'] == 'DONE':
break
else:
update = zp.BT_UPDATE_UNFRAME(msg)
output.append(update)
if update['prefix'] == 'PERF':
transaction_count += \
len(update['payload']['daily_perf']['transactions'])
elif update['prefix'] == 'EXCEPTION':
break
receiver.close()
del receiver
@@ -116,9 +115,6 @@ def drain_receiver(receiver):
def assert_single_position(test, zipline):
output, transaction_count = drain_zipline(test, zipline)
test.assertTrue(zipline.sim.ready())
test.assertFalse(zipline.sim.exception)
test.assertEqual(
test.zipline_test_config['order_count'],
transaction_count
@@ -127,7 +123,8 @@ def assert_single_position(test, zipline):
# the final message is the risk report, the second to
# last is the final day's results. Positions is a list of
# dicts.
closing_positions = output[-2]['payload']['daily_perf']['positions']
perfs = [x for x in output if x['prefix'] == 'PERF']
closing_positions = perfs[-2]['payload']['daily_perf']['positions']
test.assertEqual(
len(closing_positions),