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TST: Adds TradingSchedule test fixture

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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
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tests/utils/test_events.py
+10 -8
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@@ -395,7 +395,7 @@ class TestStatelessRules(RuleTestCase):
sim_start = pd.Timestamp('01-06-2014', tz='UTC') + \
timedelta(days=start_offset)
jan_minutes = self.env.minutes_for_days_in_range(
jan_minutes = self.nyse_cal.trading_minutes_for_days_in_range(
datetime.date(year=2014, month=1, day=6) +
timedelta(days=start_offset),
datetime.date(year=2014, month=1, day=31)
@@ -426,9 +426,8 @@ class TestStatelessRules(RuleTestCase):
trigger_dates = \
[x - timedelta(days=rule_offset) for x in trigger_dates]
should_trigger = partial(
rule(rule_offset).should_trigger, env=self.env
)
rule.cal = self.nyse_cal
should_trigger = rule(rule_offset).should_trigger
# If offset is 4, there is not enough trading days in the short week,
# and so it should not trigger
@@ -439,9 +438,9 @@ class TestStatelessRules(RuleTestCase):
trigger_dates = [x for x in trigger_dates if x >= sim_start]
# Get all the minutes on the trigger dates
trigger_dts = self.env.market_minutes_for_day(trigger_dates[0])
trigger_dts = self.nyse_cal.trading_minutes_for_day(trigger_dates[0])
for dt in trigger_dates[1:]:
trigger_dts += self.env.market_minutes_for_day(dt)
trigger_dts += self.nyse_cal.trading_minutes_for_day(dt)
expected_n_triggered = len(trigger_dts)
trigger_dts = iter(trigger_dts)
@@ -460,11 +459,14 @@ class TestStatelessRules(RuleTestCase):
NDaysBeforeLastTradingDayOfWeek(4)
time_rule = AfterOpen(minutes=60)
week_rule.cal = self.nyse_cal
time_rule.cal = self.nyse_cal
composed_rule = week_rule & time_rule
should_trigger = partial(composed_rule.should_trigger, env=self.env)
should_trigger = composed_rule.should_trigger
week_minutes = self.env.minutes_for_days_in_range(
week_minutes = self.nyse_cal.trading_minutes_for_days_in_range(
datetime.date(year=2014, month=1, day=6),
datetime.date(year=2014, month=1, day=10)
)