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TST: Adds TradingSchedule test fixture

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This commit is contained in:
jfkirk
2016-05-06 10:24:07 -04:00
committed by Jean Bredeche
parent 31f9f06c9a
commit d9fc514fa8
14 changed files with 154 additions and 209 deletions
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tests/test_algorithm.py
+18 -15
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@@ -751,7 +751,7 @@ class TestTransformAlgorithm(WithLogger,
[100, 100, 100, 300],
timedelta(days=1),
cls.sim_params,
cls.env
cls.trading_schedule,
) for sid in cls.sids
},
index=cls.sim_params.trading_days,
@@ -1023,10 +1023,11 @@ class TestBeforeTradingStart(WithDataPortal,
@classmethod
def make_minute_bar_data(cls):
asset_minutes = cls.env.minutes_for_days_in_range(
cls.data_start,
cls.END_DATE,
)
asset_minutes = \
cls.trading_schedule.execution_minutes_for_days_in_range(
cls.data_start,
cls.END_DATE,
)
minutes_count = len(asset_minutes)
minutes_arr = np.arange(minutes_count) + 1
split_data = pd.DataFrame(
@@ -1042,13 +1043,13 @@ class TestBeforeTradingStart(WithDataPortal,
split_data.iloc[780:] = split_data.iloc[780:] / 2.0
for sid in (1, 8554):
yield sid, create_minute_df_for_asset(
cls.env,
cls.trading_schedule,
cls.data_start,
cls.sim_params.period_end,
)
yield 2, create_minute_df_for_asset(
cls.env,
cls.trading_schedule,
cls.data_start,
cls.sim_params.period_end,
50,
@@ -1069,7 +1070,7 @@ class TestBeforeTradingStart(WithDataPortal,
def make_daily_bar_data(cls):
for sid in cls.ASSET_FINDER_EQUITY_SIDS:
yield sid, create_daily_df_for_asset(
cls.env,
cls.trading_schedule,
cls.data_start,
cls.sim_params.period_end,
)
@@ -1397,7 +1398,8 @@ class TestAlgoScript(WithLogger,
@classmethod
def make_daily_bar_data(cls):
days = len(cls.env.days_in_range(cls.START_DATE, cls.END_DATE))
days = len(cls.trading_schedule.execution_days_in_range(cls.START_DATE,
cls.END_DATE))
return trades_by_sid_to_dfs(
{
0: factory.create_trade_history(
@@ -1406,14 +1408,14 @@ class TestAlgoScript(WithLogger,
[100] * days,
timedelta(days=1),
cls.sim_params,
cls.env),
cls.trading_schedule),
3: factory.create_trade_history(
3,
[10.0] * days,
[100] * days,
timedelta(days=1),
cls.sim_params,
cls.env)
cls.trading_schedule)
},
index=cls.sim_params.trading_days,
)
@@ -3169,10 +3171,11 @@ class TestOrderCancelation(WithDataPortal,
@classmethod
def make_minute_bar_data(cls):
asset_minutes = cls.env.minutes_for_days_in_range(
cls.sim_params.period_start,
cls.sim_params.period_end,
)
asset_minutes = \
cls.trading_schedule.execution_minutes_for_days_in_range(
cls.sim_params.period_start,
cls.sim_params.period_end,
)
minutes_count = len(asset_minutes)
minutes_arr = np.arange(1, 1 + minutes_count)