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Merge pull request #1366 from quantopian/multi-trading-calendars

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TST: Make room for multiple calendars in tests.
This commit is contained in:
Eddie Hebert
2016-08-05 13:54:50 -04:00
committed by GitHub
parent 7075a24ba7 e934c6aeaf
commit d2cab0668f
9 changed files with 97 additions and 43 deletions
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tests/data/test_minute_bars.py
+3 -2
View File
@@ -45,7 +45,7 @@ from zipline.data.minute_bars import (
from zipline.testing.fixtures import (
WithInstanceTmpDir,
WithTradingCalendar,
WithTradingCalendars,
ZiplineTestCase,
)
@@ -56,7 +56,8 @@ TEST_CALENDAR_START = Timestamp('2014-06-02', tz='UTC')
TEST_CALENDAR_STOP = Timestamp('2015-12-31', tz='UTC')
class BcolzMinuteBarTestCase(WithTradingCalendar, WithInstanceTmpDir,
class BcolzMinuteBarTestCase(WithTradingCalendars,
WithInstanceTmpDir,
ZiplineTestCase):
@classmethod
tests/pipeline/base.py
+5 -2
View File
@@ -17,7 +17,10 @@ from zipline.testing import (
ExplodingObject,
tmp_asset_finder,
)
from zipline.testing.fixtures import ZiplineTestCase, WithTradingCalendar
from zipline.testing.fixtures import (
WithTradingCalendars,
ZiplineTestCase,
)
from zipline.utils.functional import dzip_exact
from zipline.utils.pandas_utils import explode
@@ -50,7 +53,7 @@ def with_defaults(**default_funcs):
with_default_shape = with_defaults(shape=lambda self: self.default_shape)
class BasePipelineTestCase(WithTradingCalendar, ZiplineTestCase):
class BasePipelineTestCase(WithTradingCalendars, ZiplineTestCase):
@classmethod
def init_class_fixtures(cls):
tests/pipeline/test_events.py
+2 -2
View File
@@ -27,7 +27,7 @@ from zipline.pipeline.loaders.utils import (
from zipline.testing import check_arrays, ZiplineTestCase
from zipline.testing.fixtures import (
WithAssetFinder,
WithNYSETradingDays,
WithTradingSessions,
)
from zipline.testing.predicates import assert_equal
from zipline.utils.numpy_utils import (
@@ -268,7 +268,7 @@ class EventIndexerTestCase(ZiplineTestCase):
class EventsLoaderTestCase(WithAssetFinder,
WithNYSETradingDays,
WithTradingSessions,
ZiplineTestCase):
START_DATE = pd.Timestamp('2014-01-01')
tests/test_algorithm.py
+2 -2
View File
@@ -98,7 +98,7 @@ from zipline.testing.fixtures import (
WithSimParams,
WithTradingEnvironment,
WithTmpDir,
WithTradingCalendar,
WithTradingCalendars,
ZiplineTestCase,
)
from zipline.test_algorithms import (
@@ -3500,7 +3500,7 @@ class TestOrderCancelation(WithDataPortal,
self.assertFalse(log_catcher.has_warnings)
class TestEquityAutoClose(WithTmpDir, WithTradingCalendar, ZiplineTestCase):
class TestEquityAutoClose(WithTmpDir, WithTradingCalendars, ZiplineTestCase):
"""
Tests if delisted equities are properly removed from a portfolio holding
positions in said equities.
tests/test_assets.py
+2 -2
View File
@@ -82,7 +82,7 @@ from zipline.testing.predicates import assert_equal
from zipline.testing.fixtures import (
WithAssetFinder,
ZiplineTestCase,
WithTradingCalendar,
WithTradingCalendars,
)
from zipline.utils.range import range
@@ -404,7 +404,7 @@ class TestFuture(WithAssetFinder, ZiplineTestCase):
TestFuture.asset_finder.lookup_future_symbol('XXX99')
class AssetFinderTestCase(WithTradingCalendar, ZiplineTestCase):
class AssetFinderTestCase(WithTradingCalendars, ZiplineTestCase):
asset_finder_type = AssetFinder
def write_assets(self, **kwargs):
tests/test_benchmark.py
+2 -2
View File
@@ -30,12 +30,12 @@ from zipline.testing import (
from zipline.testing.fixtures import (
WithDataPortal,
WithSimParams,
WithTradingCalendar,
WithTradingCalendars,
ZiplineTestCase,
)
class TestBenchmark(WithDataPortal, WithSimParams, WithTradingCalendar,
class TestBenchmark(WithDataPortal, WithSimParams, WithTradingCalendars,
ZiplineTestCase):
START_DATE = pd.Timestamp('2006-01-03', tz='utc')
END_DATE = pd.Timestamp('2006-12-29', tz='utc')
tests/test_perf_tracking.py
+3 -2
View File
@@ -57,7 +57,7 @@ from zipline.testing.fixtures import (
WithSimParams,
WithTmpDir,
WithTradingEnvironment,
WithTradingCalendar,
WithTradingCalendars,
ZiplineTestCase,
)
from zipline.utils.calendars import get_calendar
@@ -1031,8 +1031,9 @@ class TestDividendPerformanceHolidayStyle(TestDividendPerformance):
END_DATE = pd.Timestamp('2003-12-08', tz='utc')
class TestPositionPerformance(WithInstanceTmpDir, WithTradingCalendar,
class TestPositionPerformance(WithInstanceTmpDir, WithTradingCalendars,
ZiplineTestCase):
def create_environment_stuff(self,
num_days=4,
sids=[1, 2],
tests/test_security_list.py
+2 -2
View File
@@ -14,7 +14,7 @@ from zipline.testing import (
)
from zipline.testing.fixtures import (
WithLogger,
WithTradingCalendar,
WithTradingCalendars,
ZiplineTestCase,
)
from zipline.utils import factory
@@ -67,7 +67,7 @@ class IterateRLAlgo(TradingAlgorithm):
self.found = True
class SecurityListTestCase(WithLogger, WithTradingCalendar, ZiplineTestCase):
class SecurityListTestCase(WithLogger, WithTradingCalendars, ZiplineTestCase):
@classmethod
def init_class_fixtures(cls):
zipline/testing/fixtures.py
+76 -27
View File
@@ -3,7 +3,7 @@ from unittest import TestCase
from contextlib2 import ExitStack
from logbook import NullHandler, Logger
from six import with_metaclass
from six import with_metaclass, iteritems
from toolz import flip
import pandas as pd
import responses
@@ -365,28 +365,58 @@ class WithAssetFinder(WithDefaultDateBounds):
cls.asset_finder = cls.make_asset_finder()
class WithTradingCalendar(object):
class WithTradingCalendars(object):
"""
ZiplineTestCase mixing providing cls.trading_calendar as a class-level
fixture.
ZiplineTestCase mixin providing cls.trading_calendar,
cls.all_trading_calendars, cls.trading_calendar_for_asset_type as a
class-level fixture.
After ``init_class_fixtures`` has been called, `cls.trading_calendar` is
populated with a trading calendar.
After ``init_class_fixtures`` has been called:
- `cls.trading_calendar` is populated with a default of the nyse trading
calendar for compatibility with existing tests
- `cls.all_trading_calendars` is populated with the trading calendars
keyed by name,
- `cls.trading_calendar_for_asset_type` is populated with the trading
calendars keyed by the asset type which uses the respective calendar.
Attributes
----------
TRADING_CALENDAR_STR : str
The identifier of the calendar to use.
TRADING_CALENDAR_STRS : iterable
iterable of identifiers of the calendars to use.
TRADING_CALENDAR_FOR_ASSET_TYPE : dict
A dictionay which maps asset type names to the calendar associated
with that asset type.
"""
TRADING_CALENDAR_STR = 'NYSE'
TRADING_CALENDAR_STRS = ('NYSE',)
TRADING_CALENDAR_FOR_ASSET_TYPE = {'equities': 'NYSE'}
# For backwards compatibility, exisitng tests and fixtures refer to
# `trading_calendar` with the assumption that the value is the NYSE
# calendar.
trading_calendar = alias('nyse_calendar')
@classmethod
def init_class_fixtures(cls):
super(WithTradingCalendar, cls).init_class_fixtures()
cls.trading_calendar = get_calendar(cls.TRADING_CALENDAR_STR)
super(WithTradingCalendars, cls).init_class_fixtures()
cls.trading_calendars = {}
for cal_str in cls.TRADING_CALENDAR_STRS:
# Set name to allow aliasing.
calendar = get_calendar(cal_str)
setattr(cls,
'{0}_calendar'.format(cal_str.lower()), calendar)
cls.trading_calendars[cal_str] = calendar
for asset_type, cal_str in iteritems(
cls.TRADING_CALENDAR_FOR_ASSET_TYPE):
calendar = get_calendar(cal_str)
setattr(cls,
'{0}_calendar'.format(asset_type),
calendar)
cls.trading_calendars[asset_type] = calendar
class WithTradingEnvironment(WithAssetFinder, WithTradingCalendar):
class WithTradingEnvironment(WithAssetFinder, WithTradingCalendars):
"""
ZiplineTestCase mixin providing cls.env as a class-level fixture.
@@ -493,15 +523,21 @@ class WithSimParams(WithTradingEnvironment):
cls.sim_params = cls.make_simparams()
class WithNYSETradingDays(WithTradingCalendar):
class WithTradingSessions(WithTradingCalendars):
"""
ZiplineTestCase mixin providing cls.trading_days as a class-level fixture.
ZiplineTestCase mixin providing cls.trading_days, cls.all_trading_sessions
as a class-level fixture.
After init_class_fixtures has been called, `cls.trading_days` is populated
with a DatetimeIndex containing NYSE calendar trading days ranging from:
After init_class_fixtures has been called, `cls.all_trading_sessions`
is populated with a dictionary of calendar name to the DatetimeIndex
containing the calendar trading days ranging from:
(DATA_MAX_DAY - (cls.TRADING_DAY_COUNT) -> DATA_MAX_DAY)
`cls.trading_days`, for compatibility with existing tests which make the
assumption that trading days are equity only, defaults to the nyse trading
sessions.
Attributes
----------
DATA_MAX_DAY : datetime
@@ -514,15 +550,27 @@ class WithNYSETradingDays(WithTradingCalendar):
DATA_MIN_DAY = alias('START_DATE')
DATA_MAX_DAY = alias('END_DATE')
# For backwards compatibility, exisitng tests and fixtures refer to
# `trading_days` with the assumption that the value is days of the NYSE
# calendar.
trading_days = alias('nyse_sessions')
@classmethod
def init_class_fixtures(cls):
super(WithNYSETradingDays, cls).init_class_fixtures()
super(WithTradingSessions, cls).init_class_fixtures()
all_days = cls.trading_calendar.all_sessions
start_loc = all_days.get_loc(cls.DATA_MIN_DAY, 'bfill')
end_loc = all_days.get_loc(cls.DATA_MAX_DAY, 'ffill')
cls.trading_sessions = {}
cls.trading_days = all_days[start_loc:end_loc + 1]
for name, trading_calendar in iteritems(cls.trading_calendars):
all_sessions = trading_calendar.all_sessions
start_loc = all_sessions.get_loc(cls.DATA_MIN_DAY, 'bfill')
end_loc = all_sessions.get_loc(cls.DATA_MAX_DAY, 'ffill')
sessions = all_sessions[start_loc:end_loc + 1]
# Set name for aliasing.
setattr(cls,
'{0}_sessions'.format(name.lower()), sessions)
cls.trading_sessions[name] = sessions
class WithTmpDir(object):
@@ -814,8 +862,9 @@ class WithEquityMinuteBarData(WithTradingEnvironment):
@classmethod
def make_equity_minute_bar_data(cls):
trading_calendar = cls.equities_calendar
return create_minute_bar_data(
cls.trading_calendar.minutes_for_sessions_in_range(
trading_calendar.minutes_for_sessions_in_range(
cls.equity_minute_bar_days[0],
cls.equity_minute_bar_days[-1],
),
@@ -826,19 +875,19 @@ class WithEquityMinuteBarData(WithTradingEnvironment):
def init_class_fixtures(cls):
super(WithEquityMinuteBarData, cls).init_class_fixtures()
if cls.EQUITY_MINUTE_BAR_USE_FULL_CALENDAR:
days = cls.trading_calendar.all_execution_days
days = cls.equites_calendar.all_execution_days
else:
first_session = cls.trading_calendar.minute_to_session_label(
first_session = cls.equities_calendar.minute_to_session_label(
pd.Timestamp(cls.EQUITY_MINUTE_BAR_START_DATE)
)
if cls.EQUITY_MINUTE_BAR_LOOKBACK_DAYS > 0:
first_session = cls.trading_calendar.sessions_window(
first_session = cls.equities_calendar.sessions_window(
first_session,
-1 * cls.EQUITY_MINUTE_BAR_LOOKBACK_DAYS
)[0]
days = cls.trading_calendar.sessions_in_range(
days = cls.equities_calendar.sessions_in_range(
first_session,
cls.EQUITY_MINUTE_BAR_END_DATE
)
@@ -1000,7 +1049,7 @@ class WithAdjustmentReader(WithBcolzEquityDailyBarReader):
cls.adjustment_reader = SQLiteAdjustmentReader(conn)
class WithSeededRandomPipelineEngine(WithNYSETradingDays, WithAssetFinder):
class WithSeededRandomPipelineEngine(WithTradingSessions, WithAssetFinder):
"""
ZiplineTestCase mixin providing class-level fixtures for running pipelines
against deterministically-generated random data.