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Merge pull request #731 from quantopian/remove-instant-fill-from-close-pos-tests

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TST: Remove instant fill from close position test.
This commit is contained in:
Eddie Hebert
2015-09-28 15:07:40 -04:00
parent 5d2217b0eb cbb3d807b7
commit b1cb177d45
1 changed files with 25 additions and 22 deletions
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tests/test_algorithm.py
+25 -22
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@@ -1681,21 +1681,22 @@ class TestClosePosAlgo(TestCase):
def setUp(self):
self.env = TradingEnvironment()
self.days = self.env.trading_days
self.index = [self.days[0], self.days[1], self.days[2]]
self.days = self.env.trading_days[:4]
self.panel = pd.Panel({1: pd.DataFrame({
'price': [1, 2, 4], 'volume': [1e9, 0, 0],
'price': [1, 1, 2, 4], 'volume': [1e9, 1e9, 1e9, 0],
'type': [DATASOURCE_TYPE.TRADE,
DATASOURCE_TYPE.TRADE,
DATASOURCE_TYPE.TRADE,
DATASOURCE_TYPE.CLOSE_POSITION]},
index=self.index)
index=self.days)
})
self.no_close_panel = pd.Panel({1: pd.DataFrame({
'price': [1, 2, 4], 'volume': [1e9, 0, 0],
'price': [1, 1, 2, 4], 'volume': [1e9, 1e9, 1e9, 1e9],
'type': [DATASOURCE_TYPE.TRADE,
DATASOURCE_TYPE.TRADE,
DATASOURCE_TYPE.TRADE,
DATASOURCE_TYPE.TRADE]},
index=self.index)
index=self.days)
})
def test_close_position_equity(self):
@@ -1704,16 +1705,16 @@ class TestClosePosAlgo(TestCase):
'end_date': self.days[3]}}
self.env.write_data(equities_data=metadata)
algo = TestAlgorithm(sid=1, amount=1, order_count=1,
instant_fill=True, commission=PerShare(0),
commission=PerShare(0),
env=self.env)
data = DataPanelSource(self.panel)
# Check results
expected_positions = [1, 1, 0]
expected_pnl = [0, 1, 2]
expected_positions = [0, 1, 1, 0]
expected_pnl = [0, 0, 1, 2]
results = algo.run(data)
self.check_algo_pnl(results, expected_pnl)
self.check_algo_positions(results, expected_positions)
self.check_algo_pnl(results, expected_pnl)
def test_close_position_future(self):
metadata = {1: {'symbol': 'TEST',
@@ -1721,13 +1722,13 @@ class TestClosePosAlgo(TestCase):
}}
self.env.write_data(futures_data=metadata)
algo = TestAlgorithm(sid=1, amount=1, order_count=1,
instant_fill=True, commission=PerShare(0),
commission=PerShare(0),
env=self.env)
data = DataPanelSource(self.panel)
# Check results
expected_positions = [1, 1, 0]
expected_pnl = [0, 1, 2]
expected_positions = [0, 1, 1, 0]
expected_pnl = [0, 0, 1, 2]
results = algo.run(data)
self.check_algo_pnl(results, expected_pnl)
self.check_algo_positions(results, expected_positions)
@@ -1735,25 +1736,24 @@ class TestClosePosAlgo(TestCase):
def test_auto_close_future(self):
metadata = {1: {'symbol': 'TEST',
'asset_type': 'future',
'auto_close_date': self.days[3]}}
'auto_close_date': self.env.trading_days[4]}}
self.env.write_data(futures_data=metadata)
algo = TestAlgorithm(sid=1, amount=1, order_count=1,
instant_fill=True, commission=PerShare(0),
commission=PerShare(0),
env=self.env)
data = DataPanelSource(self.no_close_panel)
# Check results
results = algo.run(data)
expected_pnl = [0, 1, 2]
self.check_algo_pnl(results, expected_pnl)
expected_positions = [1, 1, 0]
expected_positions = [0, 1, 1, 0]
self.check_algo_positions(results, expected_positions)
expected_pnl = [0, 0, 1, 2]
self.check_algo_pnl(results, expected_pnl)
def check_algo_pnl(self, results, expected_pnl):
for i, pnl in enumerate(results.pnl):
self.assertEqual(pnl, expected_pnl[i])
np.testing.assert_array_almost_equal(results.pnl, expected_pnl)
def check_algo_positions(self, results, expected_positions):
for i, amount in enumerate(results.positions):
@@ -1762,4 +1762,7 @@ class TestClosePosAlgo(TestCase):
else:
actual_position = 0
self.assertEqual(actual_position, expected_positions[i])
self.assertEqual(
actual_position, expected_positions[i],
"position for day={0} not equal, actual={1}, expected={2}".
format(i, actual_position, expected_positions[i]))