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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
2016-06-08 13:34:18 -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/utils/test_events.py
+29 -44
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@@ -28,6 +28,7 @@ from six.moves import range, map
from zipline.finance.trading import TradingEnvironment
from zipline.testing import subtest, parameter_space
import zipline.utils.events
from zipline.utils.calendars import get_calendar
from zipline.utils.events import (
EventRule,
StatelessRule,
@@ -165,7 +166,7 @@ class TestEventManager(TestCase):
class CountingRule(Always):
count = 0
def should_trigger(self, dt, env):
def should_trigger(self, dt):
CountingRule.count += 1
return True
@@ -174,9 +175,7 @@ class TestEventManager(TestCase):
Event(r(), lambda context, data: None)
)
mock_algo_class = namedtuple('FakeAlgo', ['trading_environment'])
mock_algo = mock_algo_class(trading_environment="fake_env")
self.em.handle_data(mock_algo, None, datetime.datetime.now())
self.em.handle_data(None, None, datetime.datetime.now())
self.assertEqual(CountingRule.count, 5)
@@ -188,7 +187,7 @@ class TestEventRule(TestCase):
def test_not_implemented(self):
with self.assertRaises(NotImplementedError):
super(Always, Always()).should_trigger('a', env=None)
super(Always, Always()).should_trigger('a')
def minutes_for_days(ordered_days=False):
@@ -207,7 +206,7 @@ def minutes_for_days(ordered_days=False):
Iterating over this yields a single day, iterating over the day yields
the minutes for that day.
"""
env = TradingEnvironment()
cal = get_calendar('NYSE')
random.seed('deterministic')
if ordered_days:
# Get a list of 500 trading days, in order. As a performance
@@ -223,16 +222,15 @@ def minutes_for_days(ordered_days=False):
# Other than AfterOpen and BeforeClose, we don't rely on the the nature
# of the clock, so we don't care.
def day_picker(day):
return random.choice(env.trading_days[:-1])
return random.choice(cal.all_trading_days[:-1])
return ((env.market_minutes_for_day(day_picker(cnt)),)
return ((cal.trading_minutes_for_day(day_picker(cnt)),)
for cnt in range(500))
class RuleTestCase(TestCase):
@classmethod
def setUpClass(cls):
cls.env = TradingEnvironment()
# On the AfterOpen and BeforeClose tests, we want ensure that the
# functions are pure, and that running them with the same input will
# provide the same output, regardless of whether the function is run 1
@@ -244,9 +242,6 @@ class RuleTestCase(TestCase):
cls.after_open = AfterOpen(hours=1, minutes=5)
cls.class_ = None # Mark that this is the base class.
@classmethod
def tearDownClass(cls):
del cls.env
def test_completeness(self):
"""
@@ -280,32 +275,31 @@ class TestStatelessRules(RuleTestCase):
cls.class_ = StatelessRule
cls.sept_days = cls.env.days_in_range(
cls.nyse_cal = get_calendar('NYSE')
cls.sept_days = cls.nyse_cal.trading_days_in_range(
pd.Timestamp('2014-09-01'),
pd.Timestamp('2014-09-30'),
)
cls.sept_week = cls.env.minutes_for_days_in_range(
cls.sept_week = cls.nyse_cal.trading_minutes_for_days_in_range(
datetime.date(year=2014, month=9, day=21),
datetime.date(year=2014, month=9, day=26),
)
@subtest(minutes_for_days(), 'ms')
def test_Always(self, ms):
should_trigger = partial(Always().should_trigger, env=self.env)
should_trigger = Always().should_trigger
self.assertTrue(all(map(should_trigger, ms)))
@subtest(minutes_for_days(), 'ms')
def test_Never(self, ms):
should_trigger = partial(Never().should_trigger, env=self.env)
should_trigger = Never().should_trigger
self.assertFalse(any(map(should_trigger, ms)))
@subtest(minutes_for_days(ordered_days=True), 'ms')
def test_AfterOpen(self, ms):
should_trigger = partial(
self.after_open.should_trigger,
env=self.env,
)
should_trigger = self.after_open.should_trigger
for i, m in enumerate(ms):
# Should only trigger at the 64th minute
if i != 64:
@@ -316,10 +310,7 @@ class TestStatelessRules(RuleTestCase):
@subtest(minutes_for_days(ordered_days=True), 'ms')
def test_BeforeClose(self, ms):
ms = list(ms)
should_trigger = partial(
self.before_close.should_trigger,
env=self.env
)
should_trigger = self.before_close.should_trigger
for m in ms:
# Should only trigger at the 65th-to-last minute
if m != ms[-66]:
@@ -329,7 +320,7 @@ class TestStatelessRules(RuleTestCase):
@subtest(minutes_for_days(), 'ms')
def test_NotHalfDay(self, ms):
should_trigger = partial(NotHalfDay().should_trigger, env=self.env)
should_trigger = NotHalfDay().should_trigger
self.assertTrue(should_trigger(FULL_DAY))
self.assertFalse(should_trigger(HALF_DAY))
@@ -340,14 +331,13 @@ class TestStatelessRules(RuleTestCase):
"""
self.assertTrue(
NthTradingDayOfWeek(0).should_trigger(
self.env.trading_days[0], self.env
self.nyse_cal.all_trading_days[0]
)
)
@subtest(param_range(MAX_WEEK_RANGE), 'n')
def test_NthTradingDayOfWeek(self, n):
should_trigger = partial(NthTradingDayOfWeek(n).should_trigger,
env=self.env)
should_trigger = NthTradingDayOfWeek(n).should_trigger
prev_day = self.sept_week[0].date()
n_tdays = 0
for m in self.sept_week:
@@ -362,17 +352,15 @@ class TestStatelessRules(RuleTestCase):
@subtest(param_range(MAX_WEEK_RANGE), 'n')
def test_NDaysBeforeLastTradingDayOfWeek(self, n):
should_trigger = partial(
NDaysBeforeLastTradingDayOfWeek(n).should_trigger, env=self.env
)
should_trigger = NDaysBeforeLastTradingDayOfWeek(n).should_trigger
for m in self.sept_week:
if should_trigger(m):
n_tdays = 0
date = m.to_datetime().date()
next_date = self.env.next_trading_day(date)
next_date = self.nyse_cal.next_trading_day(date)
while next_date.weekday() > date.weekday():
date = next_date
next_date = self.env.next_trading_day(date)
next_date = self.nyse_cal.next_trading_day(date)
n_tdays += 1
self.assertEqual(n_tdays, n)
@@ -486,10 +474,9 @@ class TestStatelessRules(RuleTestCase):
@subtest(param_range(MAX_MONTH_RANGE), 'n')
def test_NthTradingDayOfMonth(self, n):
should_trigger = partial(NthTradingDayOfMonth(n).should_trigger,
env=self.env)
should_trigger = NthTradingDayOfMonth(n).should_trigger
for n_tdays, d in enumerate(self.sept_days):
for m in self.env.market_minutes_for_day(d):
for m in self.nyse_cal.trading_minutes_for_day(d):
if should_trigger(m):
self.assertEqual(n_tdays, n)
else:
@@ -497,11 +484,9 @@ class TestStatelessRules(RuleTestCase):
@subtest(param_range(MAX_MONTH_RANGE), 'n')
def test_NDaysBeforeLastTradingDayOfMonth(self, n):
should_trigger = partial(
NDaysBeforeLastTradingDayOfMonth(n).should_trigger, env=self.env
)
should_trigger = NDaysBeforeLastTradingDayOfMonth(n).should_trigger
for n_days_before, d in enumerate(reversed(self.sept_days)):
for m in self.env.market_minutes_for_day(d):
for m in self.nyse_cal.trading_minutes_for_day(d):
if should_trigger(m):
self.assertEqual(n_days_before, n)
else:
@@ -513,7 +498,7 @@ class TestStatelessRules(RuleTestCase):
rule2 = Never()
composed = rule1 & rule2
should_trigger = partial(composed.should_trigger, env=self.env)
should_trigger = composed.should_trigger
self.assertIsInstance(composed, ComposedRule)
self.assertIs(composed.first, rule1)
self.assertIs(composed.second, rule2)
@@ -536,14 +521,14 @@ class TestStatefulRules(RuleTestCase):
"""
count = 0
def should_trigger(self, dt, env):
st = self.rule.should_trigger(dt, env)
def should_trigger(self, dt):
st = self.rule.should_trigger(dt)
if st:
self.count += 1
return st
rule = RuleCounter(OncePerDay())
for m in ms:
rule.should_trigger(m, env=self.env)
rule.should_trigger(m)
self.assertEqual(rule.count, 1)