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https://github.com/wassname/catalyst.git
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MAINT: Removes the ability to reference a global TradingEnvironment
This commit removes the ability to reference a shared TradingEnvironment through the zipline.finance.trading module. In place, the classes that require a TradingEnvironment, or its child AssetFinder, contain their own references to those objects. This commit also adds serialization utilities that allow for the pickling/unpickling of objects without unintentionally their TradingEnvironments or AssetFinders.
This commit is contained in:
jfkirk
@@ -30,10 +30,9 @@ import zipline.utils.factory as factory
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from zipline.transforms import batch_transform
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from zipline.test_algorithms import (BatchTransformAlgorithm,
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BatchTransformAlgorithmMinute,
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ReturnPriceBatchTransform)
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BatchTransformAlgorithmMinute)
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from zipline.finance import trading
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from zipline.finance.trading import TradingEnvironment
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from zipline.algorithm import TradingAlgorithm
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from zipline.utils.tradingcalendar import trading_days
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from copy import deepcopy
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@@ -107,16 +106,19 @@ class DifferentSidSource(DataSource):
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class TestChangeOfSids(TestCase):
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def setUp(self):
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self.sids = range(90)
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trading.environment = trading.TradingEnvironment()
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trading.environment.write_data(equities_identifiers=self.sids)
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self.env = TradingEnvironment()
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self.env.write_data(equities_identifiers=self.sids)
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self.sim_params = factory.create_simulation_parameters(
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start=datetime(1990, 1, 1, tzinfo=pytz.utc),
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end=datetime(1990, 1, 8, tzinfo=pytz.utc)
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end=datetime(1990, 1, 8, tzinfo=pytz.utc),
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env=self.env,
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)
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def test_all_sids_passed(self):
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algo = BatchTransformAlgorithmSetSid(
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sim_params=self.sim_params,
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env=self.env,
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)
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source = DifferentSidSource()
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algo.run(source)
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@@ -131,26 +133,32 @@ class TestChangeOfSids(TestCase):
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class TestBatchTransformMinutely(TestCase):
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@classmethod
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def setUpClass(cls):
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cls.env = TradingEnvironment()
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cls.env.write_data(equities_identifiers=[0])
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def setUp(self):
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setup_logger(self)
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start = pd.datetime(1990, 1, 3, 0, 0, 0, 0, pytz.utc)
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end = pd.datetime(1990, 1, 8, 0, 0, 0, 0, pytz.utc)
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self.sim_params = factory.create_simulation_parameters(
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start=start,
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end=end,
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start=start, end=end, env=self.env,
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)
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trading.environment = trading.TradingEnvironment()
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trading.environment.write_data(equities_identifiers=[0])
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self.sim_params.emission_rate = 'daily'
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self.sim_params.data_frequency = 'minute'
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self.source, self.df = \
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factory.create_test_df_source(bars='minute')
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factory.create_test_df_source(sim_params=self.sim_params,
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env=self.env,
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bars='minute')
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def tearDown(self):
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teardown_logger(self)
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def test_core(self):
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algo = BatchTransformAlgorithmMinute(sim_params=self.sim_params)
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algo = BatchTransformAlgorithmMinute(sim_params=self.sim_params,
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env=self.env)
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algo.run(self.source)
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wl = int(algo.window_length * 6.5 * 60)
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for bt in algo.history[wl:]:
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@@ -158,7 +166,9 @@ class TestBatchTransformMinutely(TestCase):
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def test_window_length(self):
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algo = BatchTransformAlgorithmMinute(sim_params=self.sim_params,
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window_length=1, refresh_period=0)
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env=self.env,
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window_length=1,
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refresh_period=0)
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algo.run(self.source)
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wl = int(algo.window_length * 6.5 * 60)
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np.testing.assert_array_equal(algo.history[:(wl - 1)],
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@@ -171,24 +181,25 @@ class TestBatchTransform(TestCase):
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@classmethod
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def setUpClass(cls):
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cls.env = trading.TradingEnvironment()
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cls.env = TradingEnvironment()
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cls.env.write_data(equities_identifiers=[0])
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def setUp(self):
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setup_logger(self)
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self.sim_params = factory.create_simulation_parameters(
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start=datetime(1990, 1, 1, tzinfo=pytz.utc),
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end=datetime(1990, 1, 8, tzinfo=pytz.utc)
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end=datetime(1990, 1, 8, tzinfo=pytz.utc),
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env=self.env
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)
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trading.environment = TestBatchTransform.env
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self.source, self.df = \
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factory.create_test_df_source(self.sim_params)
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factory.create_test_df_source(self.sim_params, self.env)
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def tearDown(self):
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teardown_logger(self)
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def test_core_functionality(self):
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algo = BatchTransformAlgorithm(sim_params=self.sim_params)
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algo = BatchTransformAlgorithm(sim_params=self.sim_params,
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env=self.env)
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algo.run(self.source)
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wl = algo.window_length
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# The following assertion depend on window length of 3
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@@ -257,7 +268,8 @@ class TestBatchTransform(TestCase):
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def test_passing_of_args(self):
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algo = BatchTransformAlgorithm(1, kwarg='str',
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sim_params=self.sim_params)
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sim_params=self.sim_params,
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env=self.env)
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algo.run(self.source)
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self.assertEqual(algo.args, (1,))
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self.assertEqual(algo.kwargs, {'kwarg': 'str'})
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@@ -278,22 +290,3 @@ class TestBatchTransform(TestCase):
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# 1990-01-08 - window now full
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expected_item
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])
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def run_batchtransform(window_length=10):
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sim_params = factory.create_simulation_parameters(
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start=datetime(1990, 1, 1, tzinfo=pytz.utc),
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end=datetime(1995, 1, 8, tzinfo=pytz.utc)
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)
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source, df = factory.create_test_df_source(sim_params)
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return_price_class = ReturnPriceBatchTransform(
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refresh_period=1,
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window_length=window_length,
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clean_nans=False
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)
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for raw_event in source:
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raw_event['datetime'] = raw_event.dt
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event = {0: raw_event}
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return_price_class.handle_data(event)
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