diff --git a/tests/test_perf_tracking.py b/tests/test_perf_tracking.py index dcb0bab9..a6a91f8f 100644 --- a/tests/test_perf_tracking.py +++ b/tests/test_perf_tracking.py @@ -44,7 +44,7 @@ from zipline.finance.trading import SimulationParameters from zipline.finance.blotter import Order from zipline.finance.commission import PerShare, PerTrade, PerDollar from zipline.finance.trading import TradingEnvironment -from zipline.utils.factory import create_random_simulation_parameters +from zipline.utils.factory import create_simulation_parameters from zipline.utils.serialization_utils import ( loads_with_persistent_ids, dumps_with_persistent_ids ) @@ -144,7 +144,9 @@ def benchmark_events_in_range(sim_params, env): ] -def calculate_results(host, +def calculate_results(sim_params, + env, + benchmark_events, trade_events, dividend_events=None, splits=None, @@ -175,7 +177,7 @@ def calculate_results(host, txns = txns or [] splits = splits or [] - perf_tracker = perf.PerformanceTracker(host.sim_params, host.env) + perf_tracker = perf.PerformanceTracker(sim_params, env) if dividend_events is not None: dividend_frame = pd.DataFrame( @@ -190,7 +192,7 @@ def calculate_results(host, trade_events = sorted(trade_events, key=lambda ev: (ev.dt, ev.source_id)) # Add a benchmark event for each date. - trades_plus_bm = date_sorted_sources(trade_events, host.benchmark_events) + trades_plus_bm = date_sorted_sources(trade_events, benchmark_events) # Filter out benchmark events that are later than the last trade date. filtered_trades_plus_bm = (filt_event for filt_event in trades_plus_bm @@ -262,8 +264,7 @@ class TestSplitPerformance(unittest.TestCase): def setUp(self): self.env = TradingEnvironment() self.env.write_data(equities_identifiers=[1]) - self.sim_params, self.dt, self.end_dt = \ - create_random_simulation_parameters() + self.sim_params = create_simulation_parameters(num_days=2) # start with $10,000 self.sim_params.capital_base = 10e3 @@ -294,7 +295,9 @@ class TestSplitPerformance(unittest.TestCase): ), ] - results = calculate_results(self, events, txns=txns, splits=splits) + results = calculate_results(self.sim_params, self.env, + self.benchmark_events, + events, txns=txns, splits=splits) # should have 33 shares (at $60 apiece) and $20 in cash self.assertEqual(2, len(results)) @@ -367,11 +370,9 @@ class TestCommissionEvents(unittest.TestCase): self.env.write_data( equities_identifiers=[0, 1, 133] ) - self.sim_params, self.dt, self.end_dt = \ - create_random_simulation_parameters() + self.sim_params = create_simulation_parameters(num_days=5) - logger.info("sim_params: %s, dt: %s, end_dt: %s" % - (self.sim_params, self.dt, self.end_dt)) + logger.info("sim_params: %s" % self.sim_params) self.sim_params.capital_base = 10e3 @@ -420,7 +421,11 @@ class TestCommissionEvents(unittest.TestCase): # Insert a purchase order. txns = [create_txn(events[0], 20, 1)] - results = calculate_results(self, events, txns=txns) + results = calculate_results(self.sim_params, + self.env, + self.benchmark_events, + events, + txns=txns) # Validate that we lost 320 dollars from our cash pool. self.assertEqual(results[-1]['cumulative_perf']['ending_cash'], @@ -479,7 +484,11 @@ class TestCommissionEvents(unittest.TestCase): events.append(cash_adjustment) - results = calculate_results(self, events, txns=txns) + results = calculate_results(self.sim_params, + self.env, + self.benchmark_events, + events, + txns=txns) # Validate that we lost 300 dollars from our cash pool. self.assertEqual(results[-1]['cumulative_perf']['ending_cash'], 9700) @@ -502,7 +511,10 @@ class TestCommissionEvents(unittest.TestCase): cash_adjustment = factory.create_commission(1, 300.0, cash_adj_dt) events.append(cash_adjustment) - results = calculate_results(self, events) + results = calculate_results(self.sim_params, + self.env, + self.benchmark_events, + events) # Validate that we lost 300 dollars from our cash pool. self.assertEqual(results[-1]['cumulative_perf']['ending_cash'], 9700) @@ -520,8 +532,7 @@ class TestDividendPerformance(unittest.TestCase): del cls.env def setUp(self): - self.sim_params, self.dt, self.end_dt = \ - create_random_simulation_parameters() + self.sim_params = create_simulation_parameters(num_days=6) self.sim_params.capital_base = 10e3 self.benchmark_events = benchmark_events_in_range(self.sim_params, @@ -563,7 +574,9 @@ class TestDividendPerformance(unittest.TestCase): # Simulate a transaction being filled prior to the ex_date. txns = [create_txn(events[0], 10.0, 100)] results = calculate_results( - self, + self.sim_params, + self.env, + self.benchmark_events, events, dividend_events=[dividend], txns=txns, @@ -617,7 +630,9 @@ class TestDividendPerformance(unittest.TestCase): txns = [create_txn(events[0], 10.0, 100)] results = calculate_results( - self, + self.sim_params, + self.env, + self.benchmark_events, events, dividend_events=[dividend], txns=txns, @@ -663,7 +678,9 @@ class TestDividendPerformance(unittest.TestCase): txns = [create_txn(events[1], 10.0, 100)] results = calculate_results( - self, + self.sim_params, + self.env, + self.benchmark_events, events, dividend_events=[dividend], txns=txns, @@ -706,7 +723,9 @@ class TestDividendPerformance(unittest.TestCase): txns = [buy_txn, sell_txn] results = calculate_results( - self, + self.sim_params, + self.env, + self.benchmark_events, events, dividend_events=[dividend], txns=txns, @@ -748,7 +767,9 @@ class TestDividendPerformance(unittest.TestCase): txns = [buy_txn, sell_txn] results = calculate_results( - self, + self.sim_params, + self.env, + self.benchmark_events, events, dividend_events=[dividend], txns=txns, @@ -792,7 +813,9 @@ class TestDividendPerformance(unittest.TestCase): txns = [create_txn(events[1], 10.0, 100)] results = calculate_results( - self, + self.sim_params, + self.env, + self.benchmark_events, events, dividend_events=[dividend], txns=txns, @@ -837,7 +860,9 @@ class TestDividendPerformance(unittest.TestCase): txns = [create_txn(events[1], 10.0, -100)] results = calculate_results( - self, + self.sim_params, + self.env, + self.benchmark_events, events, dividend_events=[dividend], txns=txns, @@ -875,7 +900,9 @@ class TestDividendPerformance(unittest.TestCase): ) results = calculate_results( - self, + self.sim_params, + self.env, + self.benchmark_events, events, dividend_events=[dividend], ) @@ -923,7 +950,9 @@ class TestDividendPerformance(unittest.TestCase): # Simulate a transaction being filled prior to the ex_date. txns = [create_txn(events[0], 10.0, 100)] results = calculate_results( - self, + self.sim_params, + self.env, + self.benchmark_events, events, dividend_events=[dividend], txns=txns, @@ -977,8 +1006,7 @@ class TestPositionPerformance(unittest.TestCase): del cls.env def setUp(self): - self.sim_params, self.dt, self.end_dt = \ - create_random_simulation_parameters() + self.sim_params = create_simulation_parameters(num_days=4) self.finder = self.env.asset_finder self.benchmark_events = benchmark_events_in_range(self.sim_params, @@ -2079,7 +2107,7 @@ class TestPerformanceTracker(unittest.TestCase): def test_handle_sid_removed_from_universe(self): # post some trades in the market - sim_params, _, _ = create_random_simulation_parameters() + sim_params = create_simulation_parameters(num_days=5) events = factory.create_trade_history( 1, [10, 10, 10, 10, 10], diff --git a/zipline/utils/factory.py b/zipline/utils/factory.py index fddd5a24..a73b90bb 100644 --- a/zipline/utils/factory.py +++ b/zipline/utils/factory.py @@ -18,7 +18,6 @@ Factory functions to prepare useful data. """ import pytz -import random import pandas as pd import numpy as np @@ -69,38 +68,6 @@ def create_simulation_parameters(year=2006, start=None, end=None, return sim_params -def create_random_simulation_parameters(): - env = TradingEnvironment() - treasury_curves = env.treasury_curves - - for n in range(100): - - random_index = random.randint( - 0, - len(treasury_curves) - 1 - ) - - start_dt = treasury_curves.index[random_index] - end_dt = start_dt + timedelta(days=365) - - now = datetime.utcnow().replace(tzinfo=pytz.utc) - - if end_dt <= now: - break - - assert end_dt <= now, """ -failed to find a suitable daterange after 100 attempts. please double -check treasury and benchmark data in findb, and re-run the test.""" - - sim_params = SimulationParameters( - period_start=start_dt, - period_end=end_dt, - env=env, - ) - - return sim_params, start_dt, end_dt - - def get_next_trading_dt(current, interval, env): next_dt = pd.Timestamp(current).tz_convert(env.exchange_tz)