wassname/catalyst
1
0
Fork 0
mirror of https://github.com/wassname/catalyst.git synced 2026-09-11 12:00:50 +08:00
Code Issues Packages Projects Releases Wiki Activity

TST: Adds TradingSchedule test fixture

Browse Source
This commit is contained in:
jfkirk
2016-06-08 13:34:20 -04:00
committed by Jean Bredeche
parent 31f9f06c9a
commit d9fc514fa8
14 changed files with 154 additions and 209 deletions
Download Patch File Download Diff File Expand all files Collapse all files
tests/test_finance.py
-120
View File
@@ -394,44 +394,6 @@ class TradingEnvironmentTestCase(WithLogger,
"""
Tests for date management utilities in zipline.finance.trading.
"""
@timed(DEFAULT_TIMEOUT)
def test_is_trading_day(self):
# holidays taken from: http://www.nyse.com/press/1191407641943.html
new_years = datetime(2008, 1, 1, tzinfo=pytz.utc)
mlk_day = datetime(2008, 1, 21, tzinfo=pytz.utc)
presidents = datetime(2008, 2, 18, tzinfo=pytz.utc)
good_friday = datetime(2008, 3, 21, tzinfo=pytz.utc)
memorial_day = datetime(2008, 5, 26, tzinfo=pytz.utc)
july_4th = datetime(2008, 7, 4, tzinfo=pytz.utc)
labor_day = datetime(2008, 9, 1, tzinfo=pytz.utc)
tgiving = datetime(2008, 11, 27, tzinfo=pytz.utc)
christmas = datetime(2008, 5, 25, tzinfo=pytz.utc)
a_saturday = datetime(2008, 8, 2, tzinfo=pytz.utc)
a_sunday = datetime(2008, 10, 12, tzinfo=pytz.utc)
holidays = [
new_years,
mlk_day,
presidents,
good_friday,
memorial_day,
july_4th,
labor_day,
tgiving,
christmas,
a_saturday,
a_sunday
]
for holiday in holidays:
self.assertTrue(not self.cal.is_open_on_day(holiday))
first_trading_day = datetime(2008, 1, 2, tzinfo=pytz.utc)
last_trading_day = datetime(2008, 12, 31, tzinfo=pytz.utc)
workdays = [first_trading_day, last_trading_day]
for workday in workdays:
self.assertTrue(self.cal.is_open_on_day(workday))
def test_simulation_parameters(self):
sp = SimulationParameters(
period_start=datetime(2008, 1, 1, tzinfo=pytz.utc),
@@ -477,85 +439,3 @@ class TradingEnvironmentTestCase(WithLogger,
self.assertEquals(num_expected_trading_days, params.days_in_period)
np.testing.assert_array_equal(expected_trading_days,
params.trading_days.tolist())
@timed(DEFAULT_TIMEOUT)
def test_minute_window(self):
# January 2008
# Su Mo Tu We Th Fr Sa
# 1 2 3 4 5
# 6 7 8 9 10 11 12
# 13 14 15 16 17 18 19
# 20 21 22 23 24 25 26
# 27 28 29 30 31
us_east = pytz.timezone('US/Eastern')
utc = pytz.utc
# 10:01 AM Eastern on January 7th..
start = us_east.localize(datetime(2008, 1, 7, 10, 1))
utc_start = pd.Timestamp(start.astimezone(utc))
# Get the next 10 minutes
minutes = self.cal.trading_minute_window(
utc_start, 10,
)
self.assertEqual(len(minutes), 10)
for i in range(10):
self.assertEqual(minutes[i], utc_start + timedelta(minutes=i))
# Get the previous 10 minutes.
minutes = self.cal.trading_minute_window(
utc_start, 10, step=-1,
)
self.assertEqual(len(minutes), 10)
for i in range(10):
self.assertEqual(minutes[i], utc_start + timedelta(minutes=-i))
# Get the next 900 minutes, including utc_start, rolling over into the
# next two days.
# Should include:
# Today: 10:01 AM -> 4:00 PM (360 minutes)
# Tomorrow: 9:31 AM -> 4:00 PM (390 minutes, 750 total)
# Last Day: 9:31 AM -> 12:00 PM (150 minutes, 900 total)
minutes = self.cal.trading_minute_window(
start, 900,
)
today = self.cal.trading_minutes_for_day(utc_start)[30:]
tomorrow = self.cal.trading_minutes_for_day(
start + timedelta(days=1)
)
last_day = self.cal.trading_minutes_for_day(
start + timedelta(days=2))[:150]
self.assertEqual(len(minutes), 900)
self.assertEqual(minutes[0], utc_start)
self.assertTrue(all(today == minutes[:360]))
self.assertTrue(all(tomorrow == minutes[360:750]))
self.assertTrue(all(last_day == minutes[750:]))
# Get the previous 801 minutes, including utc_start, rolling over into
# Friday the 4th and Thursday the 3rd.
# Should include:
# Today: 10:01 AM -> 9:31 AM (31 minutes)
# Friday: 4:00 PM -> 9:31 AM (390 minutes, 421 total)
# Thursday: 4:00 PM -> 9:41 AM (380 minutes, 801 total)
minutes = self.cal.trading_minute_window(
start, 801, step=-1,
)
today = self.cal.trading_minutes_for_day(utc_start)[30::-1]
# minus an extra two days from each of these to account for the two
# weekend days we skipped
friday = self.cal.trading_minutes_for_day(
start + timedelta(days=-3),
)[::-1]
thursday = self.cal.trading_minutes_for_day(
start + timedelta(days=-4),
)[:9:-1]
self.assertEqual(len(minutes), 801)
self.assertEqual(minutes[0], utc_start)
self.assertTrue(all(today == minutes[:31]))
self.assertTrue(all(friday == minutes[31:421]))
self.assertTrue(all(thursday == minutes[421:]))