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updated tests to compare with/without processes

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This commit is contained in:
fawce
2012-08-04 15:26:48 -04:00
parent 4a582e8952
commit b67cbb2aab
1 changed files with 97 additions and 60 deletions
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tests/test_components.py
+97 -60
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@@ -7,7 +7,6 @@ from unittest2 import TestCase
from collections import defaultdict
from zipline.gens.composites import date_sorted_sources, merged_transforms
from zipline.finance.trading import SIMULATION_STYLE
from zipline.core.devsimulator import AddressAllocator
from zipline.gens.transform import MovingAverage, Passthrough, StatefulTransform
from zipline.gens.tradesimulation import TradeSimulationClient as tsc
@@ -31,7 +30,9 @@ from zipline.protocol import (
FEED_UNFRAME,
MERGE_FRAME,
MERGE_UNFRAME,
SIMULATION_STYLE
SIMULATION_STYLE,
PERF_FRAME,
BT_UPDATE_UNFRAME
)
from zipline.gens.tradegens import SpecificEquityTrades
@@ -57,6 +58,34 @@ class ComponentTestCase(TestCase):
self.ctx = zmq.Context()
setup_logger(self)
count = 250
filter = [2,3]
#Set up source a. One minute between events.
args_a = tuple()
kwargs_a = {
'count' : 2*count,
'sids' : [1,2,3],
'start' : datetime(2002,1,3,15, tzinfo = pytz.utc),
'delta' : timedelta(hours = 6),
'filter' : filter
}
self.source_a = SpecificEquityTrades(*args_a, **kwargs_a)
#Set up source b. Two minutes between events.
args_b = tuple()
kwargs_b = {
'count' : count,
'sids' : [2,3,4],
'start' : datetime(2002,1,3,14, tzinfo = pytz.utc),
'delta' : timedelta(minutes = 5),
'filter' : filter
}
self.source_b = SpecificEquityTrades(*args_b, **kwargs_b)
self.environment = create_trading_environment(year = 2002)
def tearDown(self):
teardown_logger(self)
@@ -187,47 +216,24 @@ class ComponentTestCase(TestCase):
def test_full(self):
monitor = create_monitor(allocator)
filter = [2,3]
#Set up source a. One minute between events.
args_a = tuple()
kwargs_a = {
'count' : 325,
'sids' : [1,2,3],
'start' : datetime(2012,1,3,15, tzinfo = pytz.utc),
'delta' : timedelta(hours = 6),
'filter' : filter
}
source_a = SpecificEquityTrades(*args_a, **kwargs_a)
#Set up source b. Two minutes between events.
args_b = tuple()
kwargs_b = {
'count' : 7500,
'sids' : [2,3,4],
'start' : datetime(2012,1,3,14, tzinfo = pytz.utc),
'delta' : timedelta(minutes = 5),
'filter' : filter
}
source_b = SpecificEquityTrades(*args_b, **kwargs_b)
# ------------------------
# Run sources in dedicated processes
comp_a = Component(
source_a,
self.source_a,
monitor,
allocator.lease(1)[0],
DATASOURCE_FRAME,
DATASOURCE_UNFRAME,
source_a.get_hash()
self.source_a.get_hash()
)
comp_b = Component(
source_b,
self.source_b,
monitor,
allocator.lease(1)[0],
DATASOURCE_FRAME,
DATASOURCE_UNFRAME,
source_b.get_hash()
self.source_b.get_hash()
)
# Date sort the sources, and run the sort in a dedicated
@@ -272,13 +278,23 @@ class ComponentTestCase(TestCase):
)
algo = TestAlgorithm(2, 10, 100, sid_filter = [2,3])
environment = create_trading_environment(year = 2012)
style = SIMULATION_STYLE.FIXED_SLIPPAGE
trading_client = tsc(algo, environment, style)
trading_client = tsc(algo, self.environment, style)
tsc_gen = trading_client.simulate(merged)
tsc_comp = Component(
tsc_gen,
monitor,
allocator.lease(1)[0],
PERF_FRAME,
BT_UPDATE_UNFRAME,
"tsc"
)
launch_monitor(monitor)
for message in trading_client.simulate(merged):
for message in tsc_comp:
log.info(pf(message))
@@ -289,48 +305,69 @@ class ComponentTestCase(TestCase):
merged.proc.join()
return
def test_single_thread(self):
#Set up source c. Three minutes between events.
sorted = date_sorted_sources(self.source_a, self.source_b)
passthrough = StatefulTransform(Passthrough)
mavg_price = StatefulTransform(MovingAverage, timedelta(minutes = 20), ['price'])
merged = merged_transforms(sorted, passthrough, mavg_price)
algo = TestAlgorithm(2, 10, 100, sid_filter = [2,3])
style = SIMULATION_STYLE.FIXED_SLIPPAGE
trading_client = tsc(algo, self.environment, style)
for message in trading_client.simulate(merged):
log.info(pf(message))
def test_compound(self):
monitor = create_monitor(allocator)
filter = [2,3]
#Set up source a. One minute between events.
args_a = tuple()
kwargs_a = {
'count' : 325,
'sids' : [1,2,3],
'start' : datetime(2012,1,3,15, tzinfo = pytz.utc),
'delta' : timedelta(hours = 6),
'filter' : filter
}
source_a = SpecificEquityTrades(*args_a, **kwargs_a)
#Set up source b. Two minutes between events.
args_b = tuple()
kwargs_b = {
'count' : 7500,
'sids' : [2,3,4],
'start' : datetime(2012,1,3,14, tzinfo = pytz.utc),
'delta' : timedelta(minutes = 5),
'filter' : filter
}
source_b = SpecificEquityTrades(*args_b, **kwargs_b)
sorted_out = date_sorted_sources(source_a, source_b)
sorted_out = date_sorted_sources(self.source_a, self.source_b)
sorted = Component(
sorted_out,
monitor,
allocator.lease(1)[0],
FEED_FRAME,
FEED_UNFRAME
FEED_UNFRAME,
"feed"
)
passthrough = StatefulTransform(Passthrough)
mavg_price = StatefulTransform(
MovingAverage,
timedelta(minutes = 20),
['price']
)
merged_gen = merged_transforms(sorted, passthrough, mavg_price)
merged = Component(
merged_gen,
monitor,
allocator.lease(1)[0],
MERGE_FRAME,
MERGE_UNFRAME,
"merge"
)
algo = TestAlgorithm(2, 10, 100, sid_filter = [2,3])
style = SIMULATION_STYLE.FIXED_SLIPPAGE
trading_client = tsc(algo, self.environment, style)
tsc_gen = trading_client.simulate(merged)
launch_monitor(monitor)
for event in sorted:
log.info(event)
for message in tsc_gen:
log.info(pf(message))
# wait for processes to finish
sorted.proc.join()
merged.proc.join()
return