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ENH: Augment data.can_trade to check whether the asset's exchange is currently

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This commit is contained in:
Jean Bredeche
2016-08-02 23:11:10 -04:00
parent 164bd06dba
commit d8af3fb92e
5 changed files with 136 additions and 55 deletions
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tests/test_bar_data.py
+49 -14
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@@ -438,7 +438,7 @@ class TestMinuteBarData(WithBarDataChecks,
bd.current(self.HILARIOUSLY_ILLIQUID_ASSET, "volume")
)
def test_can_trade_at_midnight(self):
def test_can_trade_during_non_market_hours(self):
# make sure that if we use `can_trade` at midnight, we don't pretend
# we're in the previous day's last minute
the_day_after = self.trading_calendar.next_session_label(
@@ -453,19 +453,39 @@ class TestMinuteBarData(WithBarDataChecks,
with handle_non_market_minutes(bar_data):
self.assertFalse(bar_data.can_trade(asset))
# but make sure it works when the assets are alive
# NYSE is closed at midnight, so even if the asset is alive, can_trade
# should return False
bar_data2 = BarData(
self.data_portal,
lambda: self.equity_minute_bar_days[1],
"minute",
)
for asset in [self.ASSET1, self.HILARIOUSLY_ILLIQUID_ASSET]:
self.assertTrue(bar_data2.can_trade(asset))
self.assertFalse(bar_data2.can_trade(asset))
with handle_non_market_minutes(bar_data2):
self.assertTrue(bar_data2.can_trade(asset))
self.assertFalse(bar_data2.can_trade(asset))
def test_is_stale_at_midnight(self):
def test_can_trade_exchange_closed(self):
session = self.equity_minute_bar_days[1]
session_open, session_close = \
self.trading_calendar.open_and_close_for_session(session)
one_minute = pd.Timedelta(minutes=1)
minutes_to_check = [
(session_open - one_minute, False),
(session_open, True),
(session_close - one_minute, True),
(session_close, True),
(session_close + one_minute, False)
]
for info in minutes_to_check:
bar_data = BarData(self.data_portal, lambda: info[0], "minute")
self.assertEqual(info[1], bar_data.can_trade(self.ASSET1))
def test_is_stale_during_non_market_hours(self):
bar_data = BarData(
self.data_portal,
lambda: self.equity_minute_bar_days[1],
@@ -644,13 +664,20 @@ class TestDailyBarData(WithBarDataChecks,
)
cls.ASSETS = [cls.ASSET1, cls.ASSET2]
def get_last_minute_of_session(self, session_label):
return self.trading_calendar.open_and_close_for_session(
session_label
)[1]
def test_day_before_assets_trading(self):
# use the day before self.bcolz_daily_bar_days[0]
day = self.trading_calendar.previous_session_label(
self.equity_daily_bar_days[0]
minute = self.get_last_minute_of_session(
self.trading_calendar.previous_session_label(
self.equity_daily_bar_days[0]
)
)
bar_data = BarData(self.data_portal, lambda: day, "daily")
bar_data = BarData(self.data_portal, lambda: minute, "daily")
self.check_internal_consistency(bar_data)
self.assertFalse(bar_data.can_trade(self.ASSET1))
@@ -674,7 +701,9 @@ class TestDailyBarData(WithBarDataChecks,
# on self.equity_daily_bar_days[0], only asset1 has data
bar_data = BarData(
self.data_portal,
lambda: self.equity_daily_bar_days[0],
lambda: self.get_last_minute_of_session(
self.equity_daily_bar_days[0]
),
"daily",
)
self.check_internal_consistency(bar_data)
@@ -709,7 +738,9 @@ class TestDailyBarData(WithBarDataChecks,
def test_fully_active_day(self):
bar_data = BarData(
self.data_portal,
lambda: self.equity_daily_bar_days[1],
lambda: self.get_last_minute_of_session(
self.equity_daily_bar_days[1]
),
"daily",
)
self.check_internal_consistency(bar_data)
@@ -733,7 +764,9 @@ class TestDailyBarData(WithBarDataChecks,
def test_last_active_day(self):
bar_data = BarData(
self.data_portal,
lambda: self.equity_daily_bar_days[-1],
lambda: self.get_last_minute_of_session(
self.equity_daily_bar_days[-1]
),
"daily",
)
self.check_internal_consistency(bar_data)
@@ -751,11 +784,13 @@ class TestDailyBarData(WithBarDataChecks,
def test_after_assets_dead(self):
# both assets end on self.day[-1], so let's try the next day
next_day = self.trading_calendar.next_session_label(
self.equity_daily_bar_days[-1]
minute = self.get_last_minute_of_session(
self.trading_calendar.next_session_label(
self.equity_daily_bar_days[-1]
)
)
bar_data = BarData(self.data_portal, lambda: next_day, "daily")
bar_data = BarData(self.data_portal, lambda: minute, "daily")
self.check_internal_consistency(bar_data)
for asset in self.ASSETS: