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TST: fixing zipline tests (WIP)

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This commit is contained in:
AvishaiW
2018-02-13 11:53:05 +02:00
parent f279101393
commit c571c1c2ae
57 changed files with 326 additions and 326 deletions
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tests/test_algorithm.py
+52 -52
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@@ -109,7 +109,7 @@ from catalyst.testing.fixtures import (
WithSimParams,
WithTradingEnvironment,
WithTmpDir,
ZiplineTestCase,
CatalystTestCase,
)
from catalyst.test_algorithms import (
access_account_in_init,
@@ -190,7 +190,7 @@ import catalyst.utils.factory as factory
_multiprocess_can_split_ = False
class TestRecordAlgorithm(WithSimParams, WithDataPortal, ZiplineTestCase):
class TestRecordAlgorithm(WithSimParams, WithDataPortal, CatalystTestCase):
ASSET_FINDER_EQUITY_SIDS = 133,
def test_record_incr(self):
@@ -210,7 +210,7 @@ class TestRecordAlgorithm(WithSimParams, WithDataPortal, ZiplineTestCase):
class TestMiscellaneousAPI(WithLogger,
WithSimParams,
WithDataPortal,
ZiplineTestCase):
CatalystTestCase):
START_DATE = pd.Timestamp('2006-01-03', tz='UTC')
END_DATE = pd.Timestamp('2006-01-04', tz='UTC')
@@ -819,7 +819,7 @@ def log_nyse_close(context, data):
class TestTransformAlgorithm(WithLogger,
WithDataPortal,
WithSimParams,
ZiplineTestCase):
CatalystTestCase):
START_DATE = pd.Timestamp('2006-01-03', tz='utc')
END_DATE = pd.Timestamp('2006-01-06', tz='utc')
@@ -1092,7 +1092,7 @@ def before_trading_start(context, data):
class TestPositions(WithLogger,
WithDataPortal,
WithSimParams,
ZiplineTestCase):
CatalystTestCase):
START_DATE = pd.Timestamp('2006-01-03', tz='utc')
END_DATE = pd.Timestamp('2006-01-06', tz='utc')
SIM_PARAMS_CAPITAL_BASE = 1000
@@ -1225,7 +1225,7 @@ class TestPositions(WithLogger,
class TestBeforeTradingStart(WithDataPortal,
WithSimParams,
ZiplineTestCase):
CatalystTestCase):
START_DATE = pd.Timestamp('2016-01-06', tz='utc')
END_DATE = pd.Timestamp('2016-01-07', tz='utc')
SIM_PARAMS_CAPITAL_BASE = 10000
@@ -1578,7 +1578,7 @@ class TestBeforeTradingStart(WithDataPortal,
class TestAlgoScript(WithLogger,
WithDataPortal,
WithSimParams,
ZiplineTestCase):
CatalystTestCase):
START_DATE = pd.Timestamp('2006-01-03', tz='utc')
END_DATE = pd.Timestamp('2006-12-31', tz='utc')
DATA_PORTAL_USE_MINUTE_DATA = False
@@ -2331,7 +2331,7 @@ def handle_data(context, data):
class TestCapitalChanges(WithLogger,
WithDataPortal,
WithSimParams,
ZiplineTestCase):
CatalystTestCase):
sids = 0, 1
@@ -2339,16 +2339,16 @@ class TestCapitalChanges(WithLogger,
def make_equity_info(cls):
data = make_simple_equity_info(
cls.sids,
pd.Timestamp('2006-01-03', tz='UTC'),
pd.Timestamp('2006-01-09', tz='UTC'),
pd.Timestamp('2016-01-03', tz='UTC'),
pd.Timestamp('2016-01-09', tz='UTC'),
)
return data
@classmethod
def make_equity_minute_bar_data(cls):
minutes = cls.trading_calendar.minutes_in_range(
pd.Timestamp('2006-01-03', tz='UTC'),
pd.Timestamp('2006-01-09', tz='UTC')
pd.Timestamp('2016-01-03', tz='UTC'),
pd.Timestamp('2016-01-09', tz='UTC')
)
return trades_by_sid_to_dfs(
{
@@ -2366,8 +2366,8 @@ class TestCapitalChanges(WithLogger,
@classmethod
def make_equity_daily_bar_data(cls):
days = cls.trading_calendar.sessions_in_range(
pd.Timestamp('2006-01-03', tz='UTC'),
pd.Timestamp('2006-01-09', tz='UTC')
pd.Timestamp('2016-01-03', tz='UTC'),
pd.Timestamp('2016-01-09', tz='UTC')
)
return trades_by_sid_to_dfs(
{
@@ -2387,12 +2387,12 @@ class TestCapitalChanges(WithLogger,
])
def test_capital_changes_daily_mode(self, change_type, value):
sim_params = factory.create_simulation_parameters(
start=pd.Timestamp('2006-01-03', tz='UTC'),
end=pd.Timestamp('2006-01-09', tz='UTC')
start=pd.Timestamp('2016-01-03', tz='UTC'),
end=pd.Timestamp('2016-01-09', tz='UTC')
)
capital_changes = {
pd.Timestamp('2006-01-06', tz='UTC'):
pd.Timestamp('2016-01-06', tz='UTC'):
{'type': change_type, 'value': value}
}
@@ -2429,7 +2429,7 @@ def order_stuff(context, data):
self.assertEqual(len(capital_change_packets), 1)
self.assertEqual(
capital_change_packets[0],
{'date': pd.Timestamp('2006-01-06', tz='UTC'),
{'date': pd.Timestamp('2016-01-06', tz='UTC'),
'type': 'cash',
'target': 153000.0 if change_type == 'target' else None,
'delta': 50000.0})
@@ -2532,23 +2532,23 @@ def order_stuff(context, data):
self.assertEqual(
algo.capital_change_deltas,
{pd.Timestamp('2006-01-06', tz='UTC'): 50000.0}
{pd.Timestamp('2016-01-06', tz='UTC'): 50000.0}
)
@parameterized.expand([
('interday_target', [('2006-01-04', 2388.0)]),
('interday_delta', [('2006-01-04', 1000.0)]),
('intraday_target', [('2006-01-04 17:00', 2186.0),
('2006-01-04 18:00', 2806.0)]),
('intraday_delta', [('2006-01-04 17:00', 500.0),
('2006-01-04 18:00', 500.0)]),
('interday_target', [('2016-01-04', 2388.0)]),
('interday_delta', [('2016-01-04', 1000.0)]),
('intraday_target', [('2016-01-04 17:00', 2186.0),
('2016-01-04 18:00', 2806.0)]),
('intraday_delta', [('2016-01-04 17:00', 500.0),
('2016-01-04 18:00', 500.0)]),
])
def test_capital_changes_minute_mode_daily_emission(self, change, values):
change_loc, change_type = change.split('_')
sim_params = factory.create_simulation_parameters(
start=pd.Timestamp('2006-01-03', tz='UTC'),
end=pd.Timestamp('2006-01-05', tz='UTC'),
start=pd.Timestamp('2016-01-03', tz='UTC'),
end=pd.Timestamp('2016-01-05', tz='UTC'),
data_frequency='minute',
capital_base=1000.0
)
@@ -2692,29 +2692,29 @@ def order_stuff(context, data):
if change_loc == 'interday':
self.assertEqual(
algo.capital_change_deltas,
{pd.Timestamp('2006-01-04', tz='UTC'): 1000.0}
{pd.Timestamp('2016-01-04', tz='UTC'): 1000.0}
)
else:
self.assertEqual(
algo.capital_change_deltas,
{pd.Timestamp('2006-01-04 17:00', tz='UTC'): 500.0,
pd.Timestamp('2006-01-04 18:00', tz='UTC'): 500.0}
{pd.Timestamp('2016-01-04 17:00', tz='UTC'): 500.0,
pd.Timestamp('2016-01-04 18:00', tz='UTC'): 500.0}
)
@parameterized.expand([
('interday_target', [('2006-01-04', 2388.0)]),
('interday_delta', [('2006-01-04', 1000.0)]),
('intraday_target', [('2006-01-04 17:00', 2186.0),
('2006-01-04 18:00', 2806.0)]),
('intraday_delta', [('2006-01-04 17:00', 500.0),
('2006-01-04 18:00', 500.0)]),
('interday_target', [('2016-01-04', 2388.0)]),
('interday_delta', [('2016-01-04', 1000.0)]),
('intraday_target', [('2016-01-04 17:00', 2186.0),
('2016-01-04 18:00', 2806.0)]),
('intraday_delta', [('2016-01-04 17:00', 500.0),
('2016-01-04 18:00', 500.0)]),
])
def test_capital_changes_minute_mode_minute_emission(self, change, values):
change_loc, change_type = change.split('_')
sim_params = factory.create_simulation_parameters(
start=pd.Timestamp('2006-01-03', tz='UTC'),
end=pd.Timestamp('2006-01-05', tz='UTC'),
start=pd.Timestamp('2016-01-03', tz='UTC'),
end=pd.Timestamp('2016-01-05', tz='UTC'),
data_frequency='minute',
emission_rate='minute',
capital_base=1000.0
@@ -2933,20 +2933,20 @@ def order_stuff(context, data):
if change_loc == 'interday':
self.assertEqual(
algo.capital_change_deltas,
{pd.Timestamp('2006-01-04', tz='UTC'): 1000.0}
{pd.Timestamp('2016-01-04', tz='UTC'): 1000.0}
)
else:
self.assertEqual(
algo.capital_change_deltas,
{pd.Timestamp('2006-01-04 17:00', tz='UTC'): 500.0,
pd.Timestamp('2006-01-04 18:00', tz='UTC'): 500.0}
{pd.Timestamp('2016-01-04 17:00', tz='UTC'): 500.0,
pd.Timestamp('2016-01-04 18:00', tz='UTC'): 500.0}
)
class TestGetDatetime(WithLogger,
WithSimParams,
WithDataPortal,
ZiplineTestCase):
CatalystTestCase):
SIM_PARAMS_DATA_FREQUENCY = 'minute'
START_DATE = to_utc('2014-01-02 9:31')
END_DATE = to_utc('2014-01-03 9:31')
@@ -2994,7 +2994,7 @@ class TestGetDatetime(WithLogger,
self.assertFalse(algo.first_bar)
class TestTradingControls(WithSimParams, WithDataPortal, ZiplineTestCase):
class TestTradingControls(WithSimParams, WithDataPortal, CatalystTestCase):
START_DATE = pd.Timestamp('2006-01-03', tz='utc')
END_DATE = pd.Timestamp('2006-01-06', tz='utc')
@@ -3468,7 +3468,7 @@ class TestTradingControls(WithSimParams, WithDataPortal, ZiplineTestCase):
algo.run(data_portal)
class TestAccountControls(WithDataPortal, WithSimParams, ZiplineTestCase):
class TestAccountControls(WithDataPortal, WithSimParams, CatalystTestCase):
START_DATE = pd.Timestamp('2006-01-03', tz='utc')
END_DATE = pd.Timestamp('2006-01-06', tz='utc')
@@ -3616,7 +3616,7 @@ class TestAccountControls(WithDataPortal, WithSimParams, ZiplineTestCase):
# format(i, actual_position, expected_positions[i]))
class TestFutureFlip(WithDataPortal, WithSimParams, ZiplineTestCase):
class TestFutureFlip(WithDataPortal, WithSimParams, CatalystTestCase):
START_DATE = pd.Timestamp('2006-01-09', tz='utc')
END_DATE = pd.Timestamp('2006-01-10', tz='utc')
sid, = ASSET_FINDER_EQUITY_SIDS = (1,)
@@ -3677,7 +3677,7 @@ class TestFutureFlip(WithDataPortal, WithSimParams, ZiplineTestCase):
format(i, actual_position, expected_positions[i]))
class TestFuturesAlgo(WithDataPortal, WithSimParams, ZiplineTestCase):
class TestFuturesAlgo(WithDataPortal, WithSimParams, CatalystTestCase):
START_DATE = pd.Timestamp('2016-01-06', tz='utc')
END_DATE = pd.Timestamp('2016-01-07', tz='utc')
FUTURE_MINUTE_BAR_START_DATE = pd.Timestamp('2016-01-05', tz='UTC')
@@ -3879,7 +3879,7 @@ class TestFuturesAlgo(WithDataPortal, WithSimParams, ZiplineTestCase):
self.assertEqual(txn['price'], expected_price)
class TestTradingAlgorithm(WithTradingEnvironment, ZiplineTestCase):
class TestTradingAlgorithm(WithTradingEnvironment, CatalystTestCase):
def test_analyze_called(self):
self.perf_ref = None
@@ -3907,7 +3907,7 @@ class TestTradingAlgorithm(WithTradingEnvironment, ZiplineTestCase):
class TestOrderCancelation(WithDataPortal,
WithSimParams,
ZiplineTestCase):
CatalystTestCase):
START_DATE = pd.Timestamp('2016-01-05', tz='utc')
END_DATE = pd.Timestamp('2016-01-07', tz='utc')
@@ -4100,7 +4100,7 @@ class TestOrderCancelation(WithDataPortal,
self.assertFalse(log_catcher.has_warnings)
class TestEquityAutoClose(WithTradingEnvironment, WithTmpDir, ZiplineTestCase):
class TestEquityAutoClose(WithTradingEnvironment, WithTmpDir, CatalystTestCase):
"""
Tests if delisted equities are properly removed from a portfolio holding
positions in said equities.
@@ -4661,7 +4661,7 @@ class TestEquityAutoClose(WithTradingEnvironment, WithTmpDir, ZiplineTestCase):
)
class TestOrderAfterDelist(WithTradingEnvironment, ZiplineTestCase):
class TestOrderAfterDelist(WithTradingEnvironment, CatalystTestCase):
start = pd.Timestamp('2016-01-05', tz='utc')
day_1 = pd.Timestamp('2016-01-06', tz='utc')
day_4 = pd.Timestamp('2016-01-11', tz='utc')
@@ -4756,7 +4756,7 @@ class TestOrderAfterDelist(WithTradingEnvironment, ZiplineTestCase):
self.assertEqual(expected_message, w.message)
class AlgoInputValidationTestCase(WithTradingEnvironment, ZiplineTestCase):
class AlgoInputValidationTestCase(WithTradingEnvironment, CatalystTestCase):
def test_reject_passing_both_api_methods_and_script(self):
script = dedent(
@@ -4787,7 +4787,7 @@ class AlgoInputValidationTestCase(WithTradingEnvironment, ZiplineTestCase):
)
class TestPanelData(WithTradingEnvironment, ZiplineTestCase):
class TestPanelData(WithTradingEnvironment, CatalystTestCase):
@parameterized.expand([
('daily',