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TST: Adds DailyEquityHistoryOnFuturesCalendarTestCase

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Added as a minimal subclass of DailyEquityHistoryTestCase, swapping out
just the primary calendar. This requires significant modifications to
DailyEquityHistoryTestCase, to allow for a generic primary calendar.
This commit is contained in:
Andrew Daniels
2017-05-01 17:06:49 -04:00
parent f088afc1e1
commit b2a39b4ae4
2 changed files with 106 additions and 21 deletions
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tests/test_history.py
+102 -20
View File
@@ -235,8 +235,7 @@ class WithHistory(WithCreateBarData, WithDataPortal):
'declared_date',
'pay_date',
'amount',
'sid',
],
'sid'],
)
@classmethod
@@ -249,6 +248,40 @@ class WithHistory(WithCreateBarData, WithDataPortal):
else:
freq = '1m'
cal = self.trading_calendar
equity_cal = self.trading_calendars[Equity]
def reindex_to_primary_calendar(a, field):
"""
Reindex an array of prices from a window on the NYSE
calendar by the window on the primary calendar with the same
dt and window size.
"""
if mode == 'daily':
dts = cal.sessions_window(dt, -9)
# `dt` may not be a session on the equity calendar, so
# find the next valid session.
equity_sess = equity_cal.minute_to_session_label(dt)
equity_dts = equity_cal.sessions_window(equity_sess, -9)
elif mode == 'minute':
dts = cal.minutes_window(dt, -10)
equity_dts = equity_cal.minutes_window(dt, -10)
output = pd.Series(
index=equity_dts,
data=a,
).reindex(dts)
# Fill after reindexing, to ensure we don't forward fill
# with values that are being dropped.
if field == 'volume':
return output.fillna(0)
elif field == 'price':
return output.fillna(method='ffill')
else:
return output
fields = fields if fields is not None else ALL_FIELDS
assets = assets if assets is not None else [self.ASSET2, self.ASSET3]
@@ -330,11 +363,19 @@ class WithHistory(WithCreateBarData, WithDataPortal):
asset3_answer_key = np.full(10, np.nan)
asset3_answer_key[-position_from_end] = \
value_for_asset3
asset3_answer_key = reindex_to_primary_calendar(
asset3_answer_key,
field,
)
if asset == self.ASSET2:
np.testing.assert_array_equal(
np.array(
range(base + idx - 9, base + idx + 1)),
reindex_to_primary_calendar(
np.array(
range(base + idx - 9, base + idx + 1)
),
field,
),
asset_series
)
@@ -347,12 +388,19 @@ class WithHistory(WithCreateBarData, WithDataPortal):
asset3_answer_key = np.zeros(10)
asset3_answer_key[-position_from_end] = \
value_for_asset3 * 100
asset3_answer_key = reindex_to_primary_calendar(
asset3_answer_key,
field,
)
if asset == self.ASSET2:
np.testing.assert_array_equal(
np.array(
range(base + idx - 9, base + idx + 1)
) * 100,
reindex_to_primary_calendar(
np.array(
range(base + idx - 9, base + idx + 1)
) * 100,
field,
),
asset_series
)
@@ -369,20 +417,38 @@ class WithHistory(WithCreateBarData, WithDataPortal):
if asset == self.ASSET2:
# at idx 9, the data is 2 to 11
np.testing.assert_array_equal(
range(idx - 7, idx + 3),
reindex_to_primary_calendar(
range(idx - 7, idx + 3),
field=field,
),
asset_series
)
if asset == self.ASSET3:
first_part = asset_series[0:-position_from_end]
second_part = asset_series[-position_from_end:]
# Second part begins on the session after
# `position_from_end` on the NYSE calendar.
second_begin = (
dt - equity_cal.day * (position_from_end - 1)
)
# First part goes up until the start of the
# second part, because we forward-fill.
first_end = second_begin - cal.day
first_part = asset_series[:first_end]
second_part = asset_series[second_begin:]
decile_count = ((idx + 1) // 10)
# in our test data, asset3 prices will be nine
# NaNs, then ten 11s, ten 21s, ten 31s...
if decile_count == 1:
if len(second_part) >= 10:
np.testing.assert_array_equal(
np.full(len(first_part), np.nan),
first_part
)
elif decile_count == 1:
np.testing.assert_array_equal(
np.full(len(first_part), np.nan),
first_part
@@ -1386,7 +1452,10 @@ class DailyEquityHistoryTestCase(WithHistory, ZiplineTestCase):
@classmethod
def create_df_for_asset(cls, start_day, end_day, interval=1,
force_zeroes=False):
sessions = cls.trading_calendar.sessions_in_range(start_day, end_day)
sessions = cls.trading_calendars[Equity].sessions_in_range(
start_day,
end_day,
)
sessions_count = len(sessions)
# default to 2 because the low array subtracts 1, and we don't
@@ -1455,7 +1524,9 @@ class DailyEquityHistoryTestCase(WithHistory, ZiplineTestCase):
# get the first 30 days of 2015
jan5 = pd.Timestamp('2015-01-05')
days = self.trading_calendar.sessions_window(jan5, 30)
# Regardless of the calendar used for this test, equities will
# only have data on NYSE sessions.
days = self.trading_calendars[Equity].sessions_window(jan5, 30)
for idx, day in enumerate(days):
self.verify_regular_dt(idx, day, 'daily')
@@ -1806,20 +1877,31 @@ class DailyEquityHistoryTestCase(WithHistory, ZiplineTestCase):
offsets = np.arange(4)
def assert_window_prices(window, starting_price):
np.testing.assert_almost_equal(window.loc[:, self.ASSET1],
starting_price + offsets)
def assert_window_prices(window, prices):
np.testing.assert_almost_equal(window.loc[:, self.ASSET1], prices)
# Window 1 starts on the 23rd day of data for ASSET 1.
assert_window_prices(window_1, 23)
assert_window_prices(window_1, 23 + offsets)
# Window 2 starts on the 21st day of data for ASSET 1.
assert_window_prices(window_2, 21)
assert_window_prices(window_2, 21 + offsets)
# Window 3 starts on the 23rd day of data for ASSET 1.
assert_window_prices(window_3, 23)
assert_window_prices(window_3, 23 + offsets)
# Window 4 starts on the 11th day of data for ASSET 1.
assert_window_prices(window_4, 11)
if not self.trading_calendar.is_session('2014-01-20'):
assert_window_prices(window_4, 11 + offsets)
else:
# If not on the NYSE calendar, it is possible that MLK day
# (2014-01-20) is an active trading session. In that case,
# we expect a nan value for this asset.
assert_window_prices(window_4, [12, nan, 13, 14])
class NoPrefetchDailyEquityHistoryTestCase(DailyEquityHistoryTestCase):
DATA_PORTAL_MINUTE_HISTORY_PREFETCH = 0
DATA_PORTAL_DAILY_HISTORY_PREFETCH = 0
class DailyEquityHistoryOnFuturesCalendarTestCase(DailyEquityHistoryTestCase):
TRADING_CALENDAR_STRS = ('NYSE', 'us_futures')
TRADING_CALENDAR_PRIMARY_CAL = 'us_futures'
zipline/testing/fixtures.py
+4 -1
View File
@@ -433,7 +433,10 @@ class WithTradingCalendars(object):
cls.trading_calendars = {}
for cal_str in cls.TRADING_CALENDAR_STRS:
for cal_str in (
set(cls.TRADING_CALENDAR_STRS) |
{cls.TRADING_CALENDAR_PRIMARY_CAL}
):
# Set name to allow aliasing.
calendar = get_calendar(cal_str)
setattr(cls,