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Removes unused component module from core.

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This had provided a Component class that was used in a ZeroMQ based
strategy for moving around data that his since been replaced by
the generator model.
This commit is contained in:
Eddie Hebert
2012-09-05 12:54:34 -04:00
parent b19a4f79df
commit d505fba148
3 changed files with 0 additions and 1037 deletions
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tests/test_components.py
-384
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@@ -1,384 +0,0 @@
import zmq
import pytz
from pprint import pformat as pf
from datetime import datetime, timedelta
from unittest2 import TestCase, skip
from collections import defaultdict
from zipline.gens.composites import date_sorted_sources, merged_transforms
from zipline.core.devsimulator import AddressAllocator
from zipline.gens.transform import Passthrough, StatefulTransform
from zipline.gens.mavg import MovingAverage
from zipline.gens.tradesimulation import TradeSimulationClient as tsc
from zipline.utils.factory import create_trading_environment
from zipline.test_algorithms import TestAlgorithm
from zipline.utils.test_utils import (
setup_logger,
teardown_logger,
create_monitor,
launch_monitor
)
from zipline.core import Component
from zipline.protocol import (
DATASOURCE_FRAME,
DATASOURCE_UNFRAME,
FEED_FRAME,
FEED_UNFRAME,
MERGE_FRAME,
MERGE_UNFRAME,
SIMULATION_STYLE,
PERF_FRAME,
BT_UPDATE_UNFRAME
)
from zipline.gens.tradegens import SpecificEquityTrades
import logbook
log = logbook.Logger('ComponentTestCase')
allocator = AddressAllocator(1000)
class ComponentTestCase(TestCase):
leased_sockets = defaultdict(list)
def setUp(self):
self.zipline_test_config = {
'allocator' : allocator,
'sid' : 133,
'devel' : False,
'results_socket' : allocator.lease(1)[0],
'simulation_style' : SIMULATION_STYLE.FIXED_SLIPPAGE
}
self.ctx = zmq.Context()
setup_logger(self)
count = 250
filter = [2,3]
#Set up source a. One minute between events.
args_a = tuple()
kwargs_a = {
'count' : 2*count,
'sids' : [1,2,3],
'start' : datetime(2002,1,3,15, tzinfo = pytz.utc),
'delta' : timedelta(hours = 6),
'filter' : filter
}
self.source_a = SpecificEquityTrades(*args_a, **kwargs_a)
#Set up source b. Two minutes between events.
args_b = tuple()
kwargs_b = {
'count' : count,
'sids' : [2,3,4],
'start' : datetime(2002,1,3,14, tzinfo = pytz.utc),
'delta' : timedelta(minutes = 5),
'filter' : filter
}
self.source_b = SpecificEquityTrades(*args_b, **kwargs_b)
self.environment = create_trading_environment(year = 2002)
def tearDown(self):
teardown_logger(self)
@skip
def test_source(self):
monitor = create_monitor(allocator)
socket_uri = allocator.lease(1)[0]
count = 100
filter = [1,2,3,4]
#Set up source a. One minute between events.
args_a = tuple()
kwargs_a = {
'sids' : [1,2],
'start' : datetime(2012,6,6,0,tzinfo=pytz.utc),
'delta' : timedelta(minutes = 1),
'filter' : filter,
'count' : count
}
trade_gen = SpecificEquityTrades(*args_a, **kwargs_a)
comp_a = Component(
trade_gen,
monitor,
socket_uri,
DATASOURCE_FRAME,
DATASOURCE_UNFRAME,
"source_a"
)
mon_proc = launch_monitor(monitor)
for event in comp_a:
log.info(event)
# wait for the sending process to exit
comp_a.proc.join()
mon_proc.join()
@skip
def test_sort(self):
monitor = create_monitor(allocator)
socket_uris = allocator.lease(3)
count = 100
filter = [1,2,3,4]
#Set up source a. One minute between events.
args_a = tuple()
kwargs_a = {
'sids' : [1,2],
'start' : datetime(2012,6,6,0,tzinfo=pytz.utc),
'delta' : timedelta(minutes = 1),
'filter' : filter,
'count' : count
}
trade_gen_a = SpecificEquityTrades(*args_a, **kwargs_a)
#Set up source b. Two minutes between events.
args_b = tuple()
kwargs_b = {
'sids' : [2],
'start' : datetime(2012,1,3,15, tzinfo = pytz.utc),
'delta' : timedelta(minutes = 1),
'filter' : filter,
'count' : count
}
trade_gen_b = SpecificEquityTrades(*args_b, **kwargs_b)
#Set up source c. Three minutes between events.
args_c = tuple()
kwargs_c = {
'sids' : [3],
'start' : datetime(2012,1,3,15, tzinfo = pytz.utc),
'delta' : timedelta(minutes = 1),
'filter' : filter,
'count' : count
}
trade_gen_c = SpecificEquityTrades(*args_c, **kwargs_c)
comp_a = Component(
trade_gen_a,
monitor,
socket_uris[0],
DATASOURCE_FRAME,
DATASOURCE_UNFRAME,
trade_gen_a.get_hash()
)
comp_b = Component(
trade_gen_b,
monitor,
socket_uris[1],
DATASOURCE_FRAME,
DATASOURCE_UNFRAME,
trade_gen_b.get_hash()
)
comp_c = Component(
trade_gen_c,
monitor,
socket_uris[2],
DATASOURCE_FRAME,
DATASOURCE_UNFRAME,
trade_gen_c.get_hash()
)
sources = [comp_a, comp_b, comp_c]
sorted_out = date_sorted_sources(*sources)
mon_proc = launch_monitor(monitor)
prev = None
sort_count = 0
for msg in sorted_out:
if prev:
self.assertTrue(msg.dt >= prev.dt, \
"Messages should be in date ascending order")
prev = msg
sort_count += 1
self.assertEqual(count*3, sort_count)
# wait for processes to finish
comp_a.proc.join()
comp_b.proc.join()
comp_c.proc.join()
mon_proc.join()
@skip
def test_full(self):
monitor = create_monitor(allocator)
# ------------------------
# Run sources in dedicated processes
comp_a = Component(
self.source_a,
monitor,
allocator.lease(1)[0],
DATASOURCE_FRAME,
DATASOURCE_UNFRAME,
self.source_a.get_hash()
)
comp_b = Component(
self.source_b,
monitor,
allocator.lease(1)[0],
DATASOURCE_FRAME,
DATASOURCE_UNFRAME,
self.source_b.get_hash()
)
# Date sort the sources, and run the sort in a dedicated
# process
sources = [comp_a, comp_b]
sorted_out = date_sorted_sources(*sources)
sorted = Component(
sorted_out,
monitor,
allocator.lease(1)[0],
FEED_FRAME,
FEED_UNFRAME,
"sort"
)
passthrough = StatefulTransform(Passthrough)
mavg_price = StatefulTransform(
MovingAverage,
['price'],
market_aware = False,
delta=timedelta(minutes = 20)
)
merged_gen = merged_transforms(sorted, passthrough, mavg_price)
merged = Component(
merged_gen,
monitor,
allocator.lease(1)[0],
MERGE_FRAME,
MERGE_UNFRAME,
"merge"
)
algo = TestAlgorithm(2, 10, 100, sid_filter = [2,3])
style = SIMULATION_STYLE.FIXED_SLIPPAGE
trading_client = tsc(algo, self.environment, style)
tsc_gen = trading_client.simulate(merged)
tsc_comp = Component(
tsc_gen,
monitor,
allocator.lease(1)[0],
PERF_FRAME,
BT_UPDATE_UNFRAME,
"tsc"
)
mon_proc = launch_monitor(monitor)
for message in tsc_comp:
log.info(pf(message))
# wait for processes to finish
comp_a.proc.join()
comp_b.proc.join()
sorted.proc.join()
merged.proc.join()
tsc_comp.proc.join()
mon_proc.join()
return
def test_single_thread(self):
#Set up source c. Three minutes between events.
sorted = date_sorted_sources(self.source_a, self.source_b)
passthrough = StatefulTransform(Passthrough)
mavg_price = StatefulTransform(
MovingAverage,
['price'],
market_aware=False,
delta=timedelta(minutes = 20),
)
merged = merged_transforms(sorted, passthrough, mavg_price)
algo = TestAlgorithm(2, 10, 100, sid_filter = [2,3])
style = SIMULATION_STYLE.FIXED_SLIPPAGE
trading_client = tsc(algo, self.environment, style)
for message in trading_client.simulate(merged):
log.info(pf(message))
@skip
def test_compound(self):
monitor = create_monitor(allocator)
sorted_out = date_sorted_sources(self.source_a, self.source_b)
sorted = Component(
sorted_out,
monitor,
allocator.lease(1)[0],
FEED_FRAME,
FEED_UNFRAME,
"feed"
)
passthrough = StatefulTransform(Passthrough)
mavg_price = StatefulTransform(
MovingAverage,
['price'],
market_aware = False,
delta=timedelta(minutes = 20)
)
merged_gen = merged_transforms(sorted, passthrough, mavg_price)
merged = Component(
merged_gen,
monitor,
allocator.lease(1)[0],
MERGE_FRAME,
MERGE_UNFRAME,
"merge"
)
algo = TestAlgorithm(2, 10, 100, sid_filter = [2,3])
style = SIMULATION_STYLE.FIXED_SLIPPAGE
trading_client = tsc(algo, self.environment, style)
tsc_gen = trading_client.simulate(merged)
mon_proc = launch_monitor(monitor)
for message in tsc_gen:
log.info(pf(message))
# wait for processes to finish
sorted.proc.join()
merged.proc.join()
mon_proc.join()
return