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TST: Remove instant fill from close position test.

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'instant fill' execution may be on the path to deprecation, (the removal
is currently proposed by the branch which removes events in favor of
operating over dts.), so remove instant_fill from the close position
tests so that the input and output is the same between the proposed
branch and here.

(This was one of the few places where instant fill was used that
was not testing instant fill behavior explicitly, so may be better to
align this test with the rest of the suite.)

Also, change test methods to make it more clear on which day the values
the expected and actual results differed.
This commit is contained in:
Eddie Hebert
2015-09-28 14:48:19 -04:00
parent 5d2217b0eb
commit cbb3d807b7
1 changed files with 25 additions and 22 deletions
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tests/test_algorithm.py
+25 -22
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@@ -1681,21 +1681,22 @@ class TestClosePosAlgo(TestCase):
def setUp(self):
self.env = TradingEnvironment()
self.days = self.env.trading_days
self.index = [self.days[0], self.days[1], self.days[2]]
self.days = self.env.trading_days[:4]
self.panel = pd.Panel({1: pd.DataFrame({
'price': [1, 2, 4], 'volume': [1e9, 0, 0],
'price': [1, 1, 2, 4], 'volume': [1e9, 1e9, 1e9, 0],
'type': [DATASOURCE_TYPE.TRADE,
DATASOURCE_TYPE.TRADE,
DATASOURCE_TYPE.TRADE,
DATASOURCE_TYPE.CLOSE_POSITION]},
index=self.index)
index=self.days)
})
self.no_close_panel = pd.Panel({1: pd.DataFrame({
'price': [1, 2, 4], 'volume': [1e9, 0, 0],
'price': [1, 1, 2, 4], 'volume': [1e9, 1e9, 1e9, 1e9],
'type': [DATASOURCE_TYPE.TRADE,
DATASOURCE_TYPE.TRADE,
DATASOURCE_TYPE.TRADE,
DATASOURCE_TYPE.TRADE]},
index=self.index)
index=self.days)
})
def test_close_position_equity(self):
@@ -1704,16 +1705,16 @@ class TestClosePosAlgo(TestCase):
'end_date': self.days[3]}}
self.env.write_data(equities_data=metadata)
algo = TestAlgorithm(sid=1, amount=1, order_count=1,
instant_fill=True, commission=PerShare(0),
commission=PerShare(0),
env=self.env)
data = DataPanelSource(self.panel)
# Check results
expected_positions = [1, 1, 0]
expected_pnl = [0, 1, 2]
expected_positions = [0, 1, 1, 0]
expected_pnl = [0, 0, 1, 2]
results = algo.run(data)
self.check_algo_pnl(results, expected_pnl)
self.check_algo_positions(results, expected_positions)
self.check_algo_pnl(results, expected_pnl)
def test_close_position_future(self):
metadata = {1: {'symbol': 'TEST',
@@ -1721,13 +1722,13 @@ class TestClosePosAlgo(TestCase):
}}
self.env.write_data(futures_data=metadata)
algo = TestAlgorithm(sid=1, amount=1, order_count=1,
instant_fill=True, commission=PerShare(0),
commission=PerShare(0),
env=self.env)
data = DataPanelSource(self.panel)
# Check results
expected_positions = [1, 1, 0]
expected_pnl = [0, 1, 2]
expected_positions = [0, 1, 1, 0]
expected_pnl = [0, 0, 1, 2]
results = algo.run(data)
self.check_algo_pnl(results, expected_pnl)
self.check_algo_positions(results, expected_positions)
@@ -1735,25 +1736,24 @@ class TestClosePosAlgo(TestCase):
def test_auto_close_future(self):
metadata = {1: {'symbol': 'TEST',
'asset_type': 'future',
'auto_close_date': self.days[3]}}
'auto_close_date': self.env.trading_days[4]}}
self.env.write_data(futures_data=metadata)
algo = TestAlgorithm(sid=1, amount=1, order_count=1,
instant_fill=True, commission=PerShare(0),
commission=PerShare(0),
env=self.env)
data = DataPanelSource(self.no_close_panel)
# Check results
results = algo.run(data)
expected_pnl = [0, 1, 2]
self.check_algo_pnl(results, expected_pnl)
expected_positions = [1, 1, 0]
expected_positions = [0, 1, 1, 0]
self.check_algo_positions(results, expected_positions)
expected_pnl = [0, 0, 1, 2]
self.check_algo_pnl(results, expected_pnl)
def check_algo_pnl(self, results, expected_pnl):
for i, pnl in enumerate(results.pnl):
self.assertEqual(pnl, expected_pnl[i])
np.testing.assert_array_almost_equal(results.pnl, expected_pnl)
def check_algo_positions(self, results, expected_positions):
for i, amount in enumerate(results.positions):
@@ -1762,4 +1762,7 @@ class TestClosePosAlgo(TestCase):
else:
actual_position = 0
self.assertEqual(actual_position, expected_positions[i])
self.assertEqual(
actual_position, expected_positions[i],
"position for day={0} not equal, actual={1}, expected={2}".
format(i, actual_position, expected_positions[i]))