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MAINT: Filter out null orders

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This commit is contained in:
Richard Frank
2016-12-01 18:30:59 -05:00
parent d9a1479db7
commit e674e4e26a
2 changed files with 43 additions and 2 deletions
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tests/test_algorithm.py
+41 -1
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@@ -1787,9 +1787,14 @@ def handle_data(context, data):
def handle_data(context, data):
if not context.placed:
batch_order_target_percent(OrderedDict(zip(
orders = batch_order_target_percent(OrderedDict(zip(
context.assets, {weights}
)))
assert len(orders) == 2, \
"len(orders) was %s but expected 2" % len(orders)
for o in orders:
assert o is not None, "An order is None"
context.placed = True
""").format(weights=list(weights)),
@@ -1808,6 +1813,41 @@ def handle_data(context, data):
)
assert_equal(multi_stats, batch_stats)
def test_batch_order_target_percent_filters_null_orders(self):
weights = pd.Series([1, 0])
batch_blotter = RecordBatchBlotter(self.SIM_PARAMS_DATA_FREQUENCY,
self.asset_finder)
batch_test_algo = TradingAlgorithm(
script=dedent("""\
from collections import OrderedDict
from zipline.api import sid, batch_order_target_percent
def initialize(context):
context.assets = [sid(0), sid(3)]
context.placed = False
def handle_data(context, data):
if not context.placed:
orders = batch_order_target_percent(OrderedDict(zip(
context.assets, {weights}
)))
assert len(orders) == 1, \
"len(orders) was %s but expected 1" % len(orders)
for o in orders:
assert o is not None, "An order is None"
context.placed = True
""").format(weights=list(weights)),
blotter=batch_blotter,
env=self.env,
)
batch_test_algo.run(self.data_portal)
self.assertTrue(batch_blotter.order_batch_called)
def test_order_dead_asset(self):
# after asset 0 is dead
params = SimulationParameters(