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ENH: Add granularity and annualizer arguments to TradingAlgorithm. Accompanying doc string and unittest.

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This commit is contained in:
Thomas Wiecki
2012-12-20 12:49:24 -05:00
parent 7d15cb870f
commit daf29c2d39
2 changed files with 46 additions and 4 deletions
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tests/test_algorithm.py
+14
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@@ -89,3 +89,17 @@ class TestTransformAlgorithm(TestCase):
assert algo.registered_transforms['mavg']['kwargs'] == \
{'window_length': 2, 'market_aware': True}
assert algo.registered_transforms['mavg']['class'] is MovingAverage
def test_granularity_setting(self):
algo = TestRegisterTransformAlgorithm(granularity='daily')
self.assertEqual(algo.granularity, 'daily')
self.assertEqual(algo.annualizer, 250)
algo = TestRegisterTransformAlgorithm(granularity='minutely')
self.assertEqual(algo.granularity, 'minutely')
self.assertEqual(algo.annualizer, 250 * 6 * 60)
algo = TestRegisterTransformAlgorithm(granularity='minutely',
annualizer=10)
self.assertEqual(algo.granularity, 'minutely')
self.assertEqual(algo.annualizer, 10)