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ENH: Adds ExchangeCalendar, TradingSchedule, and implementations

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Conflicts:
	tests/data/test_minute_bars.py
	tests/data/test_us_equity_pricing.py
	tests/finance/test_slippage.py
	tests/pipeline/test_engine.py
	tests/pipeline/test_us_equity_pricing_loader.py
	tests/serialization_cases.py
	tests/test_algorithm.py
	tests/test_assets.py
	tests/test_bar_data.py
	tests/test_benchmark.py
	tests/test_exception_handling.py
	tests/test_fetcher.py
	tests/test_finance.py
	tests/test_history.py
	tests/test_perf_tracking.py
	tests/test_security_list.py
	tests/utils/test_events.py
	zipline/algorithm.py
	zipline/data/data_portal.py
	zipline/data/us_equity_loader.py
	zipline/errors.py
	zipline/finance/trading.py
	zipline/testing/core.py
	zipline/utils/events.py
This commit is contained in:
jfkirk
2016-04-06 14:08:06 -04:00
committed by Jean Bredeche
parent c9b5979f45
commit c8304e8601
46 changed files with 9709 additions and 1137 deletions
Download Patch File Download Diff File Expand all files Collapse all files
tests/test_algorithm.py
+35 -24
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@@ -166,7 +166,7 @@ from zipline.utils.control_flow import nullctx
import zipline.utils.events
from zipline.utils.events import date_rules, time_rules, Always
import zipline.utils.factory as factory
from zipline.utils.tradingcalendar import trading_day, trading_days
from zipline.utils.calendars import default_nyse_schedule
# Because test cases appear to reuse some resources.
@@ -826,7 +826,7 @@ def before_trading_start(context, data):
self.sim_params.data_frequency = 'daily'
sim_params = factory.create_simulation_parameters(
num_days=4, env=self.env, data_frequency='daily')
num_days=4, data_frequency='daily')
algo = TestRegisterTransformAlgorithm(
sim_params=sim_params,
@@ -835,7 +835,7 @@ def before_trading_start(context, data):
self.assertEqual(algo.sim_params.data_frequency, 'daily')
sim_params = factory.create_simulation_parameters(
num_days=4, env=self.env, data_frequency='minute')
num_days=4, data_frequency='minute')
algo = TestRegisterTransformAlgorithm(
sim_params=sim_params,
@@ -953,7 +953,7 @@ def before_trading_start(context, data):
period_end=period_end,
capital_base=float("1.0e5"),
data_frequency='minute',
env=env
trading_schedule=default_nyse_schedule,
)
data_portal = create_data_portal(
@@ -961,6 +961,7 @@ def before_trading_start(context, data):
tempdir,
sim_params,
equities.index,
default_nyse_schedule,
)
algo = algo_class(sim_params=sim_params, env=env)
algo.run(data_portal)
@@ -1551,9 +1552,10 @@ def handle_data(context, data):
env=self.env,
)
trades = factory.create_daily_trade_source(
[0], self.sim_params, self.env)
[0], self.sim_params, self.env, default_nyse_schedule)
data_portal = create_data_portal_from_trade_history(
self.env, tempdir, self.sim_params, {0: trades})
self.env, default_nyse_schedule, tempdir, self.sim_params,
{0: trades})
results = test_algo.run(data_portal)
all_txns = [
@@ -1640,7 +1642,7 @@ def handle_data(context, data):
params = SimulationParameters(
period_start=pd.Timestamp("2007-01-03", tz='UTC'),
period_end=pd.Timestamp("2007-01-05", tz='UTC'),
env=self.env
trading_schedule=default_nyse_schedule,
)
# order method shouldn't blow up
@@ -2719,7 +2721,6 @@ class TestTradingControls(WithSimParams, WithDataPortal, ZiplineTestCase):
sim_params = factory.create_simulation_parameters(
start=start,
num_days=4,
env=env,
data_frequency='minute',
)
@@ -2727,7 +2728,8 @@ class TestTradingControls(WithSimParams, WithDataPortal, ZiplineTestCase):
env,
tempdir,
sim_params,
[1]
[1],
default_nyse_schedule,
)
def handle_data(algo, data):
@@ -2848,7 +2850,8 @@ class TestTradingControls(WithSimParams, WithDataPortal, ZiplineTestCase):
env,
tempdir,
self.sim_params,
[0]
[0],
default_nyse_schedule,
)
algo.run(data_portal)
@@ -2862,7 +2865,8 @@ class TestTradingControls(WithSimParams, WithDataPortal, ZiplineTestCase):
env,
tempdir,
self.sim_params,
[0]
[0],
default_nyse_schedule,
)
algo = SetAssetDateBoundsAlgorithm(
sim_params=self.sim_params,
@@ -2881,7 +2885,8 @@ class TestTradingControls(WithSimParams, WithDataPortal, ZiplineTestCase):
env,
tempdir,
self.sim_params,
[0]
[0],
default_nyse_schedule,
)
algo = SetAssetDateBoundsAlgorithm(
sim_params=self.sim_params,
@@ -2907,7 +2912,7 @@ class TestAccountControls(WithDataPortal, WithSimParams, ZiplineTestCase):
[100, 100, 100, 300],
timedelta(days=1),
cls.sim_params,
cls.env,
default_nyse_schedule,
),
},
index=cls.sim_params.trading_days,
@@ -3054,7 +3059,7 @@ class TestFutureFlip(WithSimParams, WithDataPortal, ZiplineTestCase):
[1e9, 1e9, 1e9],
timedelta(days=1),
cls.sim_params,
cls.env
default_nyse_schedule,
),
},
index=cls.sim_params.trading_days,
@@ -3064,7 +3069,7 @@ class TestFutureFlip(WithSimParams, WithDataPortal, ZiplineTestCase):
def test_flip_algo(self):
metadata = {1: {'symbol': 'TEST',
'start_date': self.sim_params.trading_days[0],
'end_date': self.env.next_trading_day(
'end_date': default_nyse_schedule.next_execution_day(
self.sim_params.trading_days[-1]),
'multiplier': 5}}
@@ -3206,7 +3211,7 @@ class TestOrderCancelation(WithDataPortal,
sim_params=SimulationParameters(
period_start=self.sim_params.period_start,
period_end=self.sim_params.period_end,
env=self.env,
trading_schedule=self.env,
data_frequency=data_frequency,
emission_rate='minute' if minute_emission else 'daily'
)
@@ -3419,8 +3424,12 @@ class TestEquityAutoClose(WithTmpDir, ZiplineTestCase):
sids = asset_info.index
env = self.enter_instance_context(tmp_trading_env(equities=asset_info))
market_opens = env.open_and_closes.market_open.loc[self.test_days]
market_closes = env.open_and_closes.market_close.loc[self.test_days]
market_opens = default_nyse_schedule.schedule.market_open.loc[
self.test_days
]
market_closes = default_nyse_schedule.schedule.market_close.loc[
self.test_days
]
if frequency == 'daily':
dates = self.test_days
@@ -3441,12 +3450,12 @@ class TestEquityAutoClose(WithTmpDir, ZiplineTestCase):
)
reader = BcolzDailyBarReader(path)
data_portal = DataPortal(
env,
env, default_nyse_schedule,
first_trading_day=reader.first_trading_day,
equity_daily_reader=reader,
)
elif frequency == 'minute':
dates = env.minutes_for_days_in_range(
dates = default_nyse_schedule.execution_minutes_for_days_in_range(
self.test_days[0],
self.test_days[-1],
)
@@ -3471,7 +3480,7 @@ class TestEquityAutoClose(WithTmpDir, ZiplineTestCase):
)
reader = BcolzMinuteBarReader(self.tmpdir.path)
data_portal = DataPortal(
env,
env, default_nyse_schedule,
first_trading_day=reader.first_trading_day,
equity_minute_reader=reader,
)
@@ -3485,7 +3494,6 @@ class TestEquityAutoClose(WithTmpDir, ZiplineTestCase):
end=self.test_days[-1],
data_frequency=frequency,
emission_rate=frequency,
env=env,
capital_base=capital_base,
)
@@ -3498,7 +3506,7 @@ class TestEquityAutoClose(WithTmpDir, ZiplineTestCase):
else:
final_prices = {
asset.sid: trade_data_by_sid[asset.sid].loc[
env.get_open_and_close(asset.end_date)[1]
default_nyse_schedule.start_and_end(asset.end_date)[1]
].close
for asset in assets
}
@@ -3852,6 +3860,9 @@ class TestEquityAutoClose(WithTmpDir, ZiplineTestCase):
expected_cash.extend([after_second_auto_close] * (390 + 390))
expected_position_counts.extend([1] * (390 + 390))
# Check list lengths first to avoid expensive comparison
self.assertEqual(len(algo.cash), len(expected_cash))
# TODO find more efficient way to compare these lists
self.assertEqual(algo.cash, expected_cash)
self.assertEqual(
list(output['ending_cash']),
@@ -3987,7 +3998,7 @@ class TestOrderAfterDelist(WithTradingEnvironment, ZiplineTestCase):
sim_params=SimulationParameters(
period_start=pd.Timestamp("2016-01-06", tz='UTC'),
period_end=pd.Timestamp("2016-01-07", tz='UTC'),
env=self.env,
trading_schedule=default_nyse_schedule,
data_frequency="minute"
)
)