Merge branch 'new_world_order' of github.com:quantopian/zipline into new_world_order

Conflicts:
	zipline/gens/returns.py

tests/test_transforms.py

@@ -46,29 +46,61 @@ class FinanceTransformsTestCase(TestCase):
         # Output values
         tnfm_vals = [message.tnfm_value for message in transformed]
         # "Hand calculated" values.
-        expected = [(10.0 * 100) / 100.0,
-                    ((10.0 * 100) + (10.0 * 100)) / (200.0),
-                    # We should drop the first event here.
-                    ((10.0 * 100) + (11.0 * 100)) / (200.0),
-                    # We should drop the second event here.
-                    ((11.0 * 100) + (11.0 * 300)) / (400.0)] 
+        expected = [
+            (10.0 * 100) / 100.0,
+            ((10.0 * 100) + (10.0 * 100)) / (200.0),
+            # We should drop the first event here.
+            ((10.0 * 100) + (11.0 * 100)) / (200.0),
+            # We should drop the second event here.
+            ((11.0 * 100) + (11.0 * 300)) / (400.0)
+        ] 
 
         # Output should match the expected.
         assert tnfm_vals == expected
         
     def test_returns(self):
+        # Daily returns.
+        returns = StatefulTransform(Returns, 1)
+        
+        transformed = list(returns.transform(self.source))
+        tnfm_vals = [message.tnfm_value for message in transformed]
+
+        # No returns for the first event because we don't have a
+        # previous close.
+        expected = [None, 0.0, 0.1, 0.0]
+        
+        assert tnfm_vals == expected
+
+
+        # Two-day returns.  An extra kink here is that the
+        # factory will automatically skip a weekend for the
+        # last event. Results shouldn't notice this blip.
+        
         trade_history = factory.create_trade_history(
             133,
-            [10.0, 10.0, 10.0, 11.0],
-            [100, 100, 100, 300],
+            [10.0, 15.0, 13.0, 12.0, 13.0],
+            [100, 100, 100, 300, 100],
             timedelta(days=1),
+            self.trading_environment
         )
-        returns = StatefulTransform(
-            Returns
-        for trade in trade_history:
-            returns.update(trade)
-        self.assertEqual(returns.returns, .1)
+        self.source = SpecificEquityTrades(event_list=trade_history)
 
+        returns = StatefulTransform(Returns, 2)
+        
+        transformed = list(returns.transform(self.source))
+        tnfm_vals = [message.tnfm_value for message in transformed]
+        
+        expected = [
+            None,
+            None, 
+            (13.0 - 10.0) / 10.0,
+            (12.0 - 15.0) / 15.0,
+            (13.0 - 13.0) / 13.0
+        ]
+        
+        import nose.tools; nose.tools.set_trace()
+        assert tnfm_vals == expected
+        
     def test_moving_average(self):
 
         mavg = StatefulTransform(
@@ -83,19 +115,22 @@ class FinanceTransformsTestCase(TestCase):
         tnfm_volumes = [message.tnfm_value.volume for message in transformed]
 
         # "Hand-calculated" values
-        expected_prices = [((10.0) / 1.0),
-                           ((10.0 + 10.0) / 2.0),
-                           # First event should get dropped here.
-                           ((10.0 + 11.0) / 2.0),
-                           # Second event should get dropped here.
-                           ((11.0 + 11.0) / 2.0)]
-
-        expected_volumes = [((100.0) / 1.0),
-                           ((100.0 + 100.0) / 2.0),
-                            # First event should get dropped here.
-                           ((100.0 + 100.0) / 2.0),
-                           # Second event should get dropped here.
-                           ((100.0 + 300.0) / 2.0)]
+        expected_prices = [
+            ((10.0) / 1.0),
+            ((10.0 + 10.0) / 2.0),
+            # First event should get dropped here.
+            ((10.0 + 11.0) / 2.0),
+            # Second event should get dropped here.
+            ((11.0 + 11.0) / 2.0)
+        ]
+        expected_volumes = [
+            ((100.0) / 1.0),
+            ((100.0 + 100.0) / 2.0),
+            # First event should get dropped here.
+            ((100.0 + 100.0) / 2.0),
+            # Second event should get dropped here.
+            ((100.0 + 300.0) / 2.0)
+        ]
         
         assert tnfm_prices == expected_prices
         assert tnfm_volumes == expected_volumes

zipline/gens/returns.py

@@ -16,7 +16,11 @@ class Returns(object):
         """
         assert event.has_key('dt')
         assert event.has_key('price')
+<<<<<<< HEAD
 
+=======
+
+>>>>>>> 28e6dc15b0b5fc9767ea298c7a2d9cacc05b842e
         tracker = self.mapping[event.sid]
         tracker.update(event)
 
@@ -67,7 +71,7 @@ class ReturnsFromPriorClose(object):
         # to avoid.
 
         if len(self.closes) == self.days:
-            last_close = self.closes[0]
+            last_close = self.closes[0].price
             change = event.price - last_close
             self.returns = change / last_close