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MAINT: Moved common asset lookup to fixture init
Also can use class's asset_finder instead of via env
This commit is contained in:
Richard Frank
+53
-60
@@ -50,6 +50,12 @@ class BlotterTestCase(WithCreateBarData,
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END_DATE = pd.Timestamp('2006-01-06', tz='utc')
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ASSET_FINDER_EQUITY_SIDS = 24, 25
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@classmethod
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def init_class_fixtures(cls):
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super(BlotterTestCase, cls).init_class_fixtures()
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cls.asset_24 = cls.asset_finder.retrieve_asset(24)
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cls.asset_25 = cls.asset_finder.retrieve_asset(25)
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@classmethod
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def make_equity_daily_bar_data(cls):
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yield 24, pd.DataFrame(
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@@ -83,64 +89,59 @@ class BlotterTestCase(WithCreateBarData,
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(StopLimitOrder(10, 20), 10, 20)])
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def test_blotter_order_types(self, style_obj, expected_lmt, expected_stp):
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blotter = Blotter('daily', self.env.asset_finder)
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blotter = Blotter('daily', self.asset_finder)
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asset_24 = blotter.asset_finder.retrieve_asset(24)
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blotter.order(asset_24, 100, style_obj)
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result = blotter.open_orders[asset_24][0]
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blotter.order(self.asset_24, 100, style_obj)
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result = blotter.open_orders[self.asset_24][0]
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self.assertEqual(result.limit, expected_lmt)
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self.assertEqual(result.stop, expected_stp)
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def test_cancel(self):
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blotter = Blotter('daily', self.env.asset_finder)
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blotter = Blotter('daily', self.asset_finder)
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asset_24 = blotter.asset_finder.retrieve_asset(24)
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asset_25 = blotter.asset_finder.retrieve_asset(25)
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oid_1 = blotter.order(asset_24, 100, MarketOrder())
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oid_2 = blotter.order(asset_24, 200, MarketOrder())
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oid_3 = blotter.order(asset_24, 300, MarketOrder())
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oid_1 = blotter.order(self.asset_24, 100, MarketOrder())
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oid_2 = blotter.order(self.asset_24, 200, MarketOrder())
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oid_3 = blotter.order(self.asset_24, 300, MarketOrder())
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# Create an order for another asset to verify that we don't remove it
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# when we do cancel_all on 24.
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blotter.order(asset_25, 150, MarketOrder())
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blotter.order(self.asset_25, 150, MarketOrder())
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self.assertEqual(len(blotter.open_orders), 2)
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self.assertEqual(len(blotter.open_orders[asset_24]), 3)
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self.assertEqual(len(blotter.open_orders[self.asset_24]), 3)
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self.assertEqual(
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[o.amount for o in blotter.open_orders[asset_24]],
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[o.amount for o in blotter.open_orders[self.asset_24]],
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[100, 200, 300],
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)
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blotter.cancel(oid_2)
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self.assertEqual(len(blotter.open_orders), 2)
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self.assertEqual(len(blotter.open_orders[asset_24]), 2)
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self.assertEqual(len(blotter.open_orders[self.asset_24]), 2)
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self.assertEqual(
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[o.amount for o in blotter.open_orders[asset_24]],
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[o.amount for o in blotter.open_orders[self.asset_24]],
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[100, 300],
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)
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self.assertEqual(
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[o.id for o in blotter.open_orders[asset_24]],
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[o.id for o in blotter.open_orders[self.asset_24]],
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[oid_1, oid_3],
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)
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blotter.cancel_all_orders_for_asset(asset_24)
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blotter.cancel_all_orders_for_asset(self.asset_24)
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self.assertEqual(len(blotter.open_orders), 1)
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self.assertEqual(list(blotter.open_orders), [asset_25])
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self.assertEqual(list(blotter.open_orders), [self.asset_25])
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def test_blotter_eod_cancellation(self):
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blotter = Blotter('minute', self.env.asset_finder,
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blotter = Blotter('minute', self.asset_finder,
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cancel_policy=EODCancel())
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asset_24 = blotter.asset_finder.retrieve_asset(24)
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# Make two orders for the same sid, so we can test that we are not
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# mutating the orders list as we are cancelling orders
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blotter.order(asset_24, 100, MarketOrder())
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blotter.order(asset_24, -100, MarketOrder())
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blotter.order(self.asset_24, 100, MarketOrder())
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blotter.order(self.asset_24, -100, MarketOrder())
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self.assertEqual(len(blotter.new_orders), 2)
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order_ids = [order.id for order in blotter.open_orders[asset_24]]
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order_ids = [order.id for order in blotter.open_orders[self.asset_24]]
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self.assertEqual(blotter.new_orders[0].status, ORDER_STATUS.OPEN)
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self.assertEqual(blotter.new_orders[1].status, ORDER_STATUS.OPEN)
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@@ -155,11 +156,10 @@ class BlotterTestCase(WithCreateBarData,
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self.assertEqual(order.status, ORDER_STATUS.CANCELLED)
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def test_blotter_never_cancel(self):
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blotter = Blotter('minute', self.env.asset_finder,
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blotter = Blotter('minute', self.asset_finder,
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cancel_policy=NeverCancel())
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blotter.order(blotter.asset_finder.retrieve_asset(24), 100,
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MarketOrder())
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blotter.order(self.asset_24, 100, MarketOrder())
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self.assertEqual(len(blotter.new_orders), 1)
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self.assertEqual(blotter.new_orders[0].status, ORDER_STATUS.OPEN)
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@@ -172,8 +172,7 @@ class BlotterTestCase(WithCreateBarData,
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def test_order_rejection(self):
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blotter = Blotter(self.sim_params.data_frequency,
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self.env.asset_finder)
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asset_24 = blotter.asset_finder.retrieve_asset(24)
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self.asset_finder)
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# Reject a nonexistent order -> no order appears in new_order,
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# no exceptions raised out
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@@ -181,10 +180,10 @@ class BlotterTestCase(WithCreateBarData,
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self.assertEqual(blotter.new_orders, [])
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# Basic tests of open order behavior
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open_order_id = blotter.order(asset_24, 100, MarketOrder())
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second_order_id = blotter.order(asset_24, 50, MarketOrder())
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self.assertEqual(len(blotter.open_orders[asset_24]), 2)
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open_order = blotter.open_orders[asset_24][0]
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open_order_id = blotter.order(self.asset_24, 100, MarketOrder())
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second_order_id = blotter.order(self.asset_24, 50, MarketOrder())
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self.assertEqual(len(blotter.open_orders[self.asset_24]), 2)
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open_order = blotter.open_orders[self.asset_24][0]
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self.assertEqual(open_order.status, ORDER_STATUS.OPEN)
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self.assertEqual(open_order.id, open_order_id)
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self.assertIn(open_order, blotter.new_orders)
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@@ -192,7 +191,7 @@ class BlotterTestCase(WithCreateBarData,
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# Reject that order immediately (same bar, i.e. still in new_orders)
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blotter.reject(open_order_id)
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self.assertEqual(len(blotter.new_orders), 2)
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self.assertEqual(len(blotter.open_orders[asset_24]), 1)
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self.assertEqual(len(blotter.open_orders[self.asset_24]), 1)
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still_open_order = blotter.new_orders[0]
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self.assertEqual(still_open_order.id, second_order_id)
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self.assertEqual(still_open_order.status, ORDER_STATUS.OPEN)
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@@ -203,9 +202,9 @@ class BlotterTestCase(WithCreateBarData,
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# Do it again, but reject it at a later time (after tradesimulation
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# pulls it from new_orders)
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blotter = Blotter(self.sim_params.data_frequency,
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self.env.asset_finder)
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new_open_id = blotter.order(asset_24, 10, MarketOrder())
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new_open_order = blotter.open_orders[asset_24][0]
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self.asset_finder)
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new_open_id = blotter.order(self.asset_24, 10, MarketOrder())
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new_open_order = blotter.open_orders[self.asset_24][0]
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self.assertEqual(new_open_id, new_open_order.id)
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# Pretend that the trade simulation did this.
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blotter.new_orders = []
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@@ -220,9 +219,9 @@ class BlotterTestCase(WithCreateBarData,
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# You can't reject a filled order.
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# Reset for paranoia
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blotter = Blotter(self.sim_params.data_frequency,
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self.env.asset_finder)
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self.asset_finder)
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blotter.slippage_func = FixedSlippage()
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filled_id = blotter.order(asset_24, 100, MarketOrder())
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filled_id = blotter.order(self.asset_24, 100, MarketOrder())
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filled_order = None
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blotter.current_dt = self.sim_params.sessions[-1]
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bar_data = self.create_bardata(
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@@ -236,7 +235,7 @@ class BlotterTestCase(WithCreateBarData,
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self.assertEqual(filled_order.id, filled_id)
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self.assertIn(filled_order, blotter.new_orders)
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self.assertEqual(filled_order.status, ORDER_STATUS.FILLED)
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self.assertNotIn(filled_order, blotter.open_orders[asset_24])
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self.assertNotIn(filled_order, blotter.open_orders[self.asset_24])
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blotter.reject(filled_id)
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updated_order = blotter.orders[filled_id]
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@@ -249,27 +248,25 @@ class BlotterTestCase(WithCreateBarData,
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status to OPEN/FILLED as necessary
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"""
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blotter = Blotter(self.sim_params.data_frequency,
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self.env.asset_finder)
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self.asset_finder)
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# Nothing happens on held of a non-existent order
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blotter.hold(56)
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self.assertEqual(blotter.new_orders, [])
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asset_24 = blotter.asset_finder.retrieve_asset(24)
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open_id = blotter.order(asset_24, 100, MarketOrder())
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open_order = blotter.open_orders[asset_24][0]
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open_id = blotter.order(self.asset_24, 100, MarketOrder())
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open_order = blotter.open_orders[self.asset_24][0]
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self.assertEqual(open_order.id, open_id)
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blotter.hold(open_id)
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self.assertEqual(len(blotter.new_orders), 1)
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self.assertEqual(len(blotter.open_orders[asset_24]), 1)
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self.assertEqual(len(blotter.open_orders[self.asset_24]), 1)
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held_order = blotter.new_orders[0]
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self.assertEqual(held_order.status, ORDER_STATUS.HELD)
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self.assertEqual(held_order.reason, '')
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blotter.cancel(held_order.id)
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self.assertEqual(len(blotter.new_orders), 1)
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self.assertEqual(len(blotter.open_orders[asset_24]), 0)
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self.assertEqual(len(blotter.open_orders[self.asset_24]), 0)
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cancelled_order = blotter.new_orders[0]
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self.assertEqual(cancelled_order.id, held_order.id)
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self.assertEqual(cancelled_order.status, ORDER_STATUS.CANCELLED)
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@@ -288,10 +285,9 @@ class BlotterTestCase(WithCreateBarData,
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ORDER_STATUS.FILLED
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blotter = Blotter(self.sim_params.data_frequency,
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self.env.asset_finder)
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open_id = blotter.order(blotter.asset_finder.retrieve_asset(24),
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order_size, MarketOrder())
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open_order = blotter.open_orders[asset_24][0]
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self.asset_finder)
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open_id = blotter.order(self.asset_24, order_size, MarketOrder())
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open_order = blotter.open_orders[self.asset_24][0]
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self.assertEqual(open_id, open_order.id)
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blotter.hold(open_id)
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held_order = blotter.new_orders[0]
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@@ -312,26 +308,23 @@ class BlotterTestCase(WithCreateBarData,
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def test_prune_orders(self):
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blotter = Blotter(self.sim_params.data_frequency,
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self.env.asset_finder)
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self.asset_finder)
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asset_24 = blotter.asset_finder.retrieve_asset(24)
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asset_25 = blotter.asset_finder.retrieve_asset(25)
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blotter.order(asset_24, 100, MarketOrder())
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open_order = blotter.open_orders[asset_24][0]
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blotter.order(self.asset_24, 100, MarketOrder())
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open_order = blotter.open_orders[self.asset_24][0]
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blotter.prune_orders([])
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self.assertEqual(1, len(blotter.open_orders[asset_24]))
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self.assertEqual(1, len(blotter.open_orders[self.asset_24]))
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blotter.prune_orders([open_order])
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self.assertEqual(0, len(blotter.open_orders[asset_24]))
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self.assertEqual(0, len(blotter.open_orders[self.asset_24]))
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# prune an order that isn't in our our open orders list, make sure
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# nothing blows up
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other_order = Order(
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dt=blotter.current_dt,
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sid=asset_25,
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sid=self.asset_25,
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amount=1
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)
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