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ENH: Adds fuzzy symbol look-up and makes it distinct from delimited symbols

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jfkirk
2015-09-16 14:34:18 -04:00
parent d84bdefef8
commit c446e7f62a
3 changed files with 106 additions and 34 deletions
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tests/test_assets.py
+44 -7
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@@ -286,7 +286,7 @@ class AssetFinderTestCase(TestCase):
def setUp(self):
self.env = TradingEnvironment()
def test_lookup_symbol_fuzzy(self):
def test_lookup_symbol_delimited(self):
as_of = pd.Timestamp('2013-01-01', tz='UTC')
frame = pd.DataFrame.from_records(
[
@@ -302,23 +302,60 @@ class AssetFinderTestCase(TestCase):
]
)
self.env.write_data(equities_df=frame)
finder = AssetFinder(self.env.engine, fuzzy_char='@')
finder = AssetFinder(self.env.engine)
asset_0, asset_1, asset_2 = (
finder.retrieve_asset(i) for i in range(3)
)
# we do it twice to catch caching bugs
for i in range(2):
# Shouldn't find this with no fuzzy_str passed.
self.assertIsNone(finder.lookup_symbol('test', as_of))
self.assertIsNone(finder.lookup_symbol('test1', as_of))
self.assertEqual(asset_1, finder.lookup_symbol('test.1', as_of))
# '@' is not a supported delimiter
self.assertIsNone(finder.lookup_symbol('test@1', as_of))
# Adding an unnecessary fuzzy shouldn't matter.
self.assertEqual(asset_1, finder.lookup_symbol('test/1', as_of))
for fuzzy_char in ['-', '/', '_', '.']:
self.assertEqual(
asset_1,
finder.lookup_symbol('test%s1' % fuzzy_char, as_of)
)
# Should find exact match.
self.assertEqual(asset_1, finder.lookup_symbol('test-1', as_of))
def test_lookup_symbol_fuzzy(self):
metadata = {
0: {'symbol': 'PRTY_HRD'},
1: {'symbol': 'BRKA'},
2: {'symbol': 'BRK_A'},
}
self.env.write_data(equities_data=metadata)
finder = self.env.asset_finder
dt = pd.Timestamp('2013-01-01', tz='UTC')
# Try combos of looking up PRTYHRD with and without a time or fuzzy
# Both non-fuzzys get no result
self.assertIsNone(finder.lookup_symbol('PRTYHRD', None))
self.assertIsNone(finder.lookup_symbol('PRTYHRD', dt))
# Both fuzzys work
self.assertEqual(0, finder.lookup_symbol('PRTYHRD', None, fuzzy=True))
self.assertEqual(0, finder.lookup_symbol('PRTYHRD', dt, fuzzy=True))
# Try combos of looking up PRTY_HRD, all returning sid 0
self.assertEqual(0, finder.lookup_symbol('PRTY_HRD', None))
self.assertEqual(0, finder.lookup_symbol('PRTY_HRD', dt))
self.assertEqual(0, finder.lookup_symbol('PRTY_HRD', None, fuzzy=True))
self.assertEqual(0, finder.lookup_symbol('PRTY_HRD', dt, fuzzy=True))
# Try combos of looking up BRKA, all returning sid 1
self.assertEqual(1, finder.lookup_symbol('BRKA', None))
self.assertEqual(1, finder.lookup_symbol('BRKA', dt))
self.assertEqual(1, finder.lookup_symbol('BRKA', None, fuzzy=True))
self.assertEqual(1, finder.lookup_symbol('BRKA', dt, fuzzy=True))
# Try combos of looking up BRK_A, all returning sid 2
self.assertEqual(2, finder.lookup_symbol('BRK_A', None))
self.assertEqual(2, finder.lookup_symbol('BRK_A', dt))
self.assertEqual(2, finder.lookup_symbol('BRK_A', None, fuzzy=True))
self.assertEqual(2, finder.lookup_symbol('BRK_A', dt, fuzzy=True))
def test_lookup_symbol(self):