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ENH: made exchange a required parameter to Asset and its subclasses

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This required updating a lot of tests.
This commit is contained in:
Jean Bredeche
2016-08-02 22:52:47 -04:00
parent 17e390a379
commit e6af4e4f1b
12 changed files with 151 additions and 92 deletions
Download Patch File Download Diff File Expand all files Collapse all files
tests/pipeline/test_slice.py
+1 -1
View File
@@ -165,7 +165,7 @@ class SliceTestCase(WithSeededRandomPipelineEngine, ZiplineTestCase):
Test that indexing into a term with a non-existent asset raises the
proper exception.
"""
my_asset = Asset(0)
my_asset = Asset(0, exchange="TEST")
returns = Returns(window_length=2, inputs=[self.col])
returns_slice = returns[my_asset]
tests/pipeline/test_statistical.py
+1 -1
View File
@@ -314,7 +314,7 @@ class StatisticalBuiltInsTestCase(WithTradingEnvironment, ZiplineTestCase):
`RollingLinearRegressionOfReturns` raise the proper exception when
given a nonexistent target asset.
"""
my_asset = Equity(0)
my_asset = Equity(0, exchange="TEST")
start_date = self.pipeline_start_date
end_date = self.pipeline_end_date
run_pipeline = self.run_pipeline
tests/pipeline/test_term.py
+1 -1
View File
@@ -290,7 +290,7 @@ class ObjectIdentityTestCase(TestCase):
self.assertIs(beta, multiple_outputs.beta)
def test_instance_caching_of_slices(self):
my_asset = Asset(1)
my_asset = Asset(1, exchange="TEST")
f = GenericCustomFactor()
f_slice = f[my_asset]
tests/test_algorithm.py
+39 -16
View File
@@ -210,10 +210,12 @@ class TestMiscellaneousAPI(WithLogger,
pd.DataFrame.from_dict(
{3: {'symbol': 'PLAY',
'start_date': '2002-01-01',
'end_date': '2004-01-01'},
'end_date': '2004-01-01',
'exchange': 'TEST'},
4: {'symbol': 'PLAY',
'start_date': '2005-01-01',
'end_date': '2006-01-01'}},
'end_date': '2006-01-01',
'exchange': 'TEST'}},
orient='index',
),
))
@@ -227,25 +229,33 @@ class TestMiscellaneousAPI(WithLogger,
'root_symbol': 'CL',
'start_date': pd.Timestamp('2005-12-01', tz='UTC'),
'notice_date': pd.Timestamp('2005-12-20', tz='UTC'),
'expiration_date': pd.Timestamp('2006-01-20', tz='UTC')},
'expiration_date': pd.Timestamp('2006-01-20', tz='UTC'),
'exchange': 'TEST'
},
6: {
'root_symbol': 'CL',
'symbol': 'CLK06',
'start_date': pd.Timestamp('2005-12-01', tz='UTC'),
'notice_date': pd.Timestamp('2006-03-20', tz='UTC'),
'expiration_date': pd.Timestamp('2006-04-20', tz='UTC')},
'expiration_date': pd.Timestamp('2006-04-20', tz='UTC'),
'exchange': 'TEST',
},
7: {
'symbol': 'CLQ06',
'root_symbol': 'CL',
'start_date': pd.Timestamp('2005-12-01', tz='UTC'),
'notice_date': pd.Timestamp('2006-06-20', tz='UTC'),
'expiration_date': pd.Timestamp('2006-07-20', tz='UTC')},
'expiration_date': pd.Timestamp('2006-07-20', tz='UTC'),
'exchange': 'TEST',
},
8: {
'symbol': 'CLX06',
'root_symbol': 'CL',
'start_date': pd.Timestamp('2006-02-01', tz='UTC'),
'notice_date': pd.Timestamp('2006-09-20', tz='UTC'),
'expiration_date': pd.Timestamp('2006-10-20', tz='UTC')}
'expiration_date': pd.Timestamp('2006-10-20', tz='UTC'),
'exchange': 'TEST',
}
},
orient='index',
)
@@ -737,6 +747,7 @@ def handle_data(context, data):
'symbol': 'DUP',
'start_date': date.value,
'end_date': (date + timedelta(days=1)).value,
'exchange': 'TEST',
}
for i, date in enumerate(dates)
]
@@ -780,10 +791,13 @@ class TestTransformAlgorithm(WithLogger,
@classmethod
def make_futures_info(cls):
return pd.DataFrame.from_dict(
{3: {'multiplier': 10, 'symbol': 'F'}},
orient='index',
)
return pd.DataFrame.from_dict({
3: {
'multiplier': 10,
'symbol': 'F',
'exchange': 'TEST'
}
}, orient='index')
@classmethod
def make_equity_daily_bar_data(cls):
@@ -989,7 +1003,8 @@ def before_trading_start(context, data):
period_end = pd.Timestamp('2002-1-4', tz='UTC')
equities = pd.DataFrame([{
'start_date': start_session,
'end_date': period_end + timedelta(days=1)
'end_date': period_end + timedelta(days=1),
'exchange': "TEST",
}] * 2)
equities['symbol'] = ['A', 'B']
with TempDirectory() as tempdir, \
@@ -2857,7 +2872,8 @@ class TestTradingControls(WithSimParams, WithDataPortal, ZiplineTestCase):
1: {
'symbol': 'SYM',
'start_date': start,
'end_date': start + timedelta(days=6)
'end_date': start + timedelta(days=6),
'exchange': "TEST",
},
},
orient='index',
@@ -2986,6 +3002,8 @@ class TestTradingControls(WithSimParams, WithDataPortal, ZiplineTestCase):
'symbol': 'SYM',
'start_date': self.sim_params.start_session,
'end_date': '2020-01-01',
'exchange': "TEST",
'sid': 999,
}])
with TempDirectory() as tempdir, \
tmp_trading_env(equities=metadata) as env:
@@ -2997,7 +3015,7 @@ class TestTradingControls(WithSimParams, WithDataPortal, ZiplineTestCase):
env.asset_finder,
tempdir,
self.sim_params,
[0],
[999],
self.trading_calendar,
)
algo.run(data_portal)
@@ -3006,6 +3024,8 @@ class TestTradingControls(WithSimParams, WithDataPortal, ZiplineTestCase):
'symbol': 'SYM',
'start_date': '1989-01-01',
'end_date': '1990-01-01',
'exchange': "TEST",
'sid': 999,
}])
with TempDirectory() as tempdir, \
tmp_trading_env(equities=metadata) as env:
@@ -3013,7 +3033,7 @@ class TestTradingControls(WithSimParams, WithDataPortal, ZiplineTestCase):
env.asset_finder,
tempdir,
self.sim_params,
[0],
[999],
self.trading_calendar,
)
algo = SetAssetDateBoundsAlgorithm(
@@ -3027,6 +3047,8 @@ class TestTradingControls(WithSimParams, WithDataPortal, ZiplineTestCase):
'symbol': 'SYM',
'start_date': '2020-01-01',
'end_date': '2021-01-01',
'exchange': "TEST",
'sid': 999,
}])
with TempDirectory() as tempdir, \
tmp_trading_env(equities=metadata) as env:
@@ -3034,7 +3056,7 @@ class TestTradingControls(WithSimParams, WithDataPortal, ZiplineTestCase):
env.asset_finder,
tempdir,
self.sim_params,
[0],
[999],
self.trading_calendar,
)
algo = SetAssetDateBoundsAlgorithm(
@@ -4056,7 +4078,8 @@ class TestOrderAfterDelist(WithTradingEnvironment, ZiplineTestCase):
'start_date': cls.start,
'end_date': cls.day_1,
'auto_close_date': cls.day_4,
'symbol': "ASSET1"
'symbol': "ASSET1",
'exchange': "TEST",
},
},
orient='index',
tests/test_assets.py
+66 -47
View File
@@ -110,21 +110,21 @@ def build_lookup_generic_cases(asset_finder_type):
'symbol': 'duplicated',
'start_date': dupe_0_start.value,
'end_date': dupe_0_end.value,
'exchange': '',
'exchange': 'TEST',
},
{
'sid': 1,
'symbol': 'duplicated',
'start_date': dupe_1_start.value,
'end_date': dupe_1_end.value,
'exchange': '',
'exchange': 'TEST',
},
{
'sid': 2,
'symbol': 'unique',
'start_date': unique_start.value,
'end_date': unique_end.value,
'exchange': '',
'exchange': 'TEST',
},
],
index='sid')
@@ -194,15 +194,21 @@ class AssetTestCase(TestCase):
exchange='THE MOON',
)
asset3 = Asset(3, exchange="test")
asset4 = Asset(4, exchange="test")
asset5 = Asset(5, exchange="still testing")
def test_asset_object(self):
self.assertEquals({5061: 'foo'}[Asset(5061)], 'foo')
self.assertEquals(Asset(5061), 5061)
self.assertEquals(5061, Asset(5061))
the_asset = Asset(5061, exchange="bar")
self.assertEquals(Asset(5061), Asset(5061))
self.assertEquals(int(Asset(5061)), 5061)
self.assertEquals({5061: 'foo'}[the_asset], 'foo')
self.assertEquals(the_asset, 5061)
self.assertEquals(5061, the_asset)
self.assertEquals(str(Asset(5061)), 'Asset(5061)')
self.assertEquals(the_asset, the_asset)
self.assertEquals(int(the_asset), 5061)
self.assertEquals(str(the_asset), 'Asset(5061)')
def test_to_and_from_dict(self):
asset_from_dict = Asset.from_dict(self.asset.to_dict())
@@ -220,8 +226,8 @@ class AssetTestCase(TestCase):
def test_asset_comparisons(self):
s_23 = Asset(23)
s_24 = Asset(24)
s_23 = Asset(23, exchange="test")
s_24 = Asset(24, exchange="test")
self.assertEqual(s_23, s_23)
self.assertEqual(s_23, 23)
@@ -250,39 +256,39 @@ class AssetTestCase(TestCase):
self.assertGreater(s_24, s_23)
def test_lt(self):
self.assertTrue(Asset(3) < Asset(4))
self.assertFalse(Asset(4) < Asset(4))
self.assertFalse(Asset(5) < Asset(4))
self.assertTrue(self.asset3 < self.asset4)
self.assertFalse(self.asset4 < self.asset4)
self.assertFalse(self.asset5 < self.asset4)
def test_le(self):
self.assertTrue(Asset(3) <= Asset(4))
self.assertTrue(Asset(4) <= Asset(4))
self.assertFalse(Asset(5) <= Asset(4))
self.assertTrue(self.asset3 <= self.asset4)
self.assertTrue(self.asset4 <= self.asset4)
self.assertFalse(self.asset5 <= self.asset4)
def test_eq(self):
self.assertFalse(Asset(3) == Asset(4))
self.assertTrue(Asset(4) == Asset(4))
self.assertFalse(Asset(5) == Asset(4))
self.assertFalse(self.asset3 == self.asset4)
self.assertTrue(self.asset4 == self.asset4)
self.assertFalse(self.asset5 == self.asset4)
def test_ge(self):
self.assertFalse(Asset(3) >= Asset(4))
self.assertTrue(Asset(4) >= Asset(4))
self.assertTrue(Asset(5) >= Asset(4))
self.assertFalse(self.asset3 >= self.asset4)
self.assertTrue(self.asset4 >= self.asset4)
self.assertTrue(self.asset5 >= self.asset4)
def test_gt(self):
self.assertFalse(Asset(3) > Asset(4))
self.assertFalse(Asset(4) > Asset(4))
self.assertTrue(Asset(5) > Asset(4))
self.assertFalse(self.asset3 > self.asset4)
self.assertFalse(self.asset4 > self.asset4)
self.assertTrue(self.asset5 > self.asset4)
def test_type_mismatch(self):
if sys.version_info.major < 3:
self.assertIsNotNone(Asset(3) < 'a')
self.assertIsNotNone('a' < Asset(3))
self.assertIsNotNone(self.asset3 < 'a')
self.assertIsNotNone('a' < self.asset3)
else:
with self.assertRaises(TypeError):
Asset(3) < 'a'
self.asset3 < 'a'
with self.assertRaises(TypeError):
'a' < Asset(3)
'a' < self.asset3
class TestFuture(WithAssetFinder, ZiplineTestCase):
@@ -298,6 +304,7 @@ class TestFuture(WithAssetFinder, ZiplineTestCase):
'auto_close_date': pd.Timestamp('2014-01-18', tz='UTC'),
'tick_size': .01,
'multiplier': 500.0,
'exchange': "TEST",
},
0: {
'symbol': 'CLG06',
@@ -306,6 +313,7 @@ class TestFuture(WithAssetFinder, ZiplineTestCase):
'notice_date': pd.Timestamp('2005-12-20', tz='UTC'),
'expiration_date': pd.Timestamp('2006-01-20', tz='UTC'),
'multiplier': 1.0,
'exchange': 'TEST',
},
},
orient='index',
@@ -471,9 +479,9 @@ class AssetFinderTestCase(WithTradingCalendar, ZiplineTestCase):
def test_lookup_symbol_fuzzy(self):
metadata = pd.DataFrame.from_records([
{'symbol': 'PRTY_HRD'},
{'symbol': 'BRKA'},
{'symbol': 'BRK_A'},
{'symbol': 'PRTY_HRD', 'exchange': "TEST"},
{'symbol': 'BRKA', 'exchange': "TEST",},
{'symbol': 'BRK_A', 'exchange': "TEST",},
])
self.write_assets(equities=metadata)
finder = self.asset_finder
@@ -697,14 +705,14 @@ class AssetFinderTestCase(WithTradingCalendar, ZiplineTestCase):
'symbol': 'real',
'start_date': pd.Timestamp('2013-1-1', tz='UTC'),
'end_date': pd.Timestamp('2014-1-1', tz='UTC'),
'exchange': '',
'exchange': 'TEST',
},
{
'sid': 1,
'symbol': 'also_real',
'start_date': pd.Timestamp('2013-1-1', tz='UTC'),
'end_date': pd.Timestamp('2014-1-1', tz='UTC'),
'exchange': '',
'exchange': 'TEST',
},
# Sid whose end date is before our query date. We should
# still correctly find it.
@@ -713,7 +721,7 @@ class AssetFinderTestCase(WithTradingCalendar, ZiplineTestCase):
'symbol': 'real_but_old',
'start_date': pd.Timestamp('2002-1-1', tz='UTC'),
'end_date': pd.Timestamp('2003-1-1', tz='UTC'),
'exchange': '',
'exchange': 'TEST',
},
# Sid whose start_date is **after** our query date. We should
# **not** find it.
@@ -749,7 +757,8 @@ class AssetFinderTestCase(WithTradingCalendar, ZiplineTestCase):
# Build an asset with an end_date
eq_end = pd.Timestamp('2012-01-01', tz='UTC')
equity_asset = Equity(1, symbol="TESTEQ", end_date=eq_end)
equity_asset = Equity(1, symbol="TESTEQ", end_date=eq_end,
exchange="TEST")
# Catch all warnings
with warnings.catch_warnings(record=True) as w:
@@ -772,14 +781,16 @@ class AssetFinderTestCase(WithTradingCalendar, ZiplineTestCase):
'root_symbol': 'AD',
'notice_date': pd.Timestamp('2015-06-14', tz='UTC'),
'expiration_date': pd.Timestamp('2015-08-14', tz='UTC'),
'start_date': pd.Timestamp('2015-01-01', tz='UTC')
'start_date': pd.Timestamp('2015-01-01', tz='UTC'),
'exchange': "TEST",
},
{
'symbol': 'ADV15',
'root_symbol': 'AD',
'notice_date': pd.Timestamp('2015-05-14', tz='UTC'),
'expiration_date': pd.Timestamp('2015-09-14', tz='UTC'),
'start_date': pd.Timestamp('2015-01-01', tz='UTC')
'start_date': pd.Timestamp('2015-01-01', tz='UTC'),
'exchange': "TEST",
},
# Starts trading today, so should be valid.
{
@@ -787,7 +798,8 @@ class AssetFinderTestCase(WithTradingCalendar, ZiplineTestCase):
'root_symbol': 'AD',
'notice_date': pd.Timestamp('2015-11-16', tz='UTC'),
'expiration_date': pd.Timestamp('2015-12-16', tz='UTC'),
'start_date': pd.Timestamp('2015-05-14', tz='UTC')
'start_date': pd.Timestamp('2015-05-14', tz='UTC'),
'exchange': "TEST",
},
# Starts trading in August, so not valid.
{
@@ -795,7 +807,8 @@ class AssetFinderTestCase(WithTradingCalendar, ZiplineTestCase):
'root_symbol': 'AD',
'notice_date': pd.Timestamp('2015-11-16', tz='UTC'),
'expiration_date': pd.Timestamp('2015-12-16', tz='UTC'),
'start_date': pd.Timestamp('2015-08-01', tz='UTC')
'start_date': pd.Timestamp('2015-08-01', tz='UTC'),
'exchange': "TEST",
},
# Notice date comes after expiration
{
@@ -803,7 +816,8 @@ class AssetFinderTestCase(WithTradingCalendar, ZiplineTestCase):
'root_symbol': 'AD',
'notice_date': pd.Timestamp('2016-11-25', tz='UTC'),
'expiration_date': pd.Timestamp('2016-11-16', tz='UTC'),
'start_date': pd.Timestamp('2015-08-01', tz='UTC')
'start_date': pd.Timestamp('2015-08-01', tz='UTC'),
'exchange': "TEST",
},
# This contract has no start date and also this contract should be
# last in all chains
@@ -811,7 +825,8 @@ class AssetFinderTestCase(WithTradingCalendar, ZiplineTestCase):
'symbol': 'ADZ20',
'root_symbol': 'AD',
'notice_date': pd.Timestamp('2020-11-25', tz='UTC'),
'expiration_date': pd.Timestamp('2020-11-16', tz='UTC')
'expiration_date': pd.Timestamp('2020-11-16', tz='UTC'),
'exchange': "TEST",
},
])
self.write_assets(futures=metadata)
@@ -850,10 +865,10 @@ class AssetFinderTestCase(WithTradingCalendar, ZiplineTestCase):
# Build an empty finder and some Assets
dt = pd.Timestamp('2014-01-01', tz='UTC')
finder = self.asset_finder
asset1 = Equity(1, symbol="AAPL")
asset2 = Equity(2, symbol="GOOG")
asset200 = Future(200, symbol="CLK15")
asset201 = Future(201, symbol="CLM15")
asset1 = Equity(1, symbol="AAPL", exchange="TEST")
asset2 = Equity(2, symbol="GOOG", exchange="TEST")
asset200 = Future(200, symbol="CLK15", exchange="TEST")
asset201 = Future(201, symbol="CLM15", exchange="TEST")
# Check for correct mapping and types
pre_map = [asset1, asset2, asset200, asset201]
@@ -1103,6 +1118,7 @@ class TestFutureChain(WithAssetFinder, ZiplineTestCase):
'start_date': pd.Timestamp('2005-12-01', tz='UTC'),
'notice_date': pd.Timestamp('2005-12-20', tz='UTC'),
'expiration_date': pd.Timestamp('2006-01-20', tz='UTC'),
'exchange': "TEST",
},
{
'root_symbol': 'CL',
@@ -1110,6 +1126,7 @@ class TestFutureChain(WithAssetFinder, ZiplineTestCase):
'start_date': pd.Timestamp('2005-12-01', tz='UTC'),
'notice_date': pd.Timestamp('2006-03-20', tz='UTC'),
'expiration_date': pd.Timestamp('2006-04-20', tz='UTC'),
'exchange': "TEST",
},
{
'symbol': 'CLQ06',
@@ -1117,6 +1134,7 @@ class TestFutureChain(WithAssetFinder, ZiplineTestCase):
'start_date': pd.Timestamp('2005-12-01', tz='UTC'),
'notice_date': pd.Timestamp('2006-06-20', tz='UTC'),
'expiration_date': pd.Timestamp('2006-07-20', tz='UTC'),
'exchange': "TEST",
},
{
'symbol': 'CLX06',
@@ -1124,6 +1142,7 @@ class TestFutureChain(WithAssetFinder, ZiplineTestCase):
'start_date': pd.Timestamp('2006-02-01', tz='UTC'),
'notice_date': pd.Timestamp('2006-09-20', tz='UTC'),
'expiration_date': pd.Timestamp('2006-10-20', tz='UTC'),
'exchange': "TEST",
}
])
tests/test_benchmark.py
+8 -4
View File
@@ -47,22 +47,26 @@ class TestBenchmark(WithDataPortal, WithSimParams, WithTradingCalendar,
1: {
'symbol': 'A',
'start_date': cls.START_DATE,
'end_date': cls.END_DATE + pd.Timedelta(days=1)
'end_date': cls.END_DATE + pd.Timedelta(days=1),
"exchange": "TEST",
},
2: {
'symbol': 'B',
'start_date': cls.START_DATE,
'end_date': cls.END_DATE + pd.Timedelta(days=1)
'end_date': cls.END_DATE + pd.Timedelta(days=1),
"exchange": "TEST",
},
3: {
'symbol': 'C',
'start_date': pd.Timestamp('2006-05-26', tz='utc'),
'end_date': pd.Timestamp('2006-08-09', tz='utc')
'end_date': pd.Timestamp('2006-08-09', tz='utc'),
"exchange": "TEST",
},
4: {
'symbol': 'D',
'start_date': cls.START_DATE,
'end_date': cls.END_DATE + pd.Timedelta(days=1)
'end_date': cls.END_DATE + pd.Timedelta(days=1),
"exchange": "TEST",
},
},
orient='index',
tests/test_history.py
+16 -8
View File
@@ -121,42 +121,50 @@ class WithHistory(WithDataPortal):
1: {
'start_date': pd.Timestamp('2014-01-03', tz='UTC'),
'end_date': cls.TRADING_END_DT,
'symbol': 'ASSET1'
'symbol': 'ASSET1',
'exchange': "TEST",
},
2: {
'start_date': jan_5_2015,
'end_date': day_after_12312015,
'symbol': 'ASSET2'
'symbol': 'ASSET2',
'exchange': "TEST",
},
3: {
'start_date': jan_5_2015,
'end_date': day_after_12312015,
'symbol': 'ASSET3'
'symbol': 'ASSET3',
'exchange': "TEST",
},
cls.SPLIT_ASSET_SID: {
'start_date': jan_5_2015,
'end_date': day_after_12312015,
'symbol': 'SPLIT_ASSET'
'symbol': 'SPLIT_ASSET',
'exchange': "TEST",
},
cls.DIVIDEND_ASSET_SID: {
'start_date': jan_5_2015,
'end_date': day_after_12312015,
'symbol': 'DIVIDEND_ASSET'
'symbol': 'DIVIDEND_ASSET',
'exchange': "TEST",
},
cls.MERGER_ASSET_SID: {
'start_date': jan_5_2015,
'end_date': day_after_12312015,
'symbol': 'MERGER_ASSET'
'symbol': 'MERGER_ASSET',
'exchange': "TEST",
},
cls.HALF_DAY_TEST_ASSET_SID: {
'start_date': pd.Timestamp('2014-07-02', tz='UTC'),
'end_date': day_after_12312015,
'symbol': 'HALF_DAY_TEST_ASSET'
'symbol': 'HALF_DAY_TEST_ASSET',
'exchange': "TEST",
},
cls.SHORT_ASSET_SID: {
'start_date': pd.Timestamp('2015-01-05', tz='UTC'),
'end_date': pd.Timestamp('2015-01-06', tz='UTC'),
'symbol': 'SHORT_ASSET'
'symbol': 'SHORT_ASSET',
'exchange': "TEST",
}
},
orient='index',
tests/test_perf_tracking.py
+4 -3
View File
@@ -1046,6 +1046,7 @@ class TestPositionPerformance(WithInstanceTmpDir, WithTradingCalendar,
'start_date': start,
'end_date': end,
'multiplier': 100,
'exchange': "TEST",
}
for sid in futures_sids
},
@@ -2345,9 +2346,9 @@ class TestPositionTracker(WithTradingEnvironment,
def make_futures_info(cls):
return pd.DataFrame.from_dict(
{
3: {'multiplier': 1000},
4: {'multiplier': 1000},
1032201401: {'multiplier': 50},
3: {'multiplier': 1000, 'exchange': 'TEST'},
4: {'multiplier': 1000, 'exchange': 'TEST'},
1032201401: {'multiplier': 50, 'exchange': 'TEST'},
},
orient='index',
)
tests/test_security_list.py
+5 -2
View File
@@ -85,7 +85,8 @@ class SecurityListTestCase(WithLogger, WithTradingCalendar, ZiplineTestCase):
equities=pd.DataFrame.from_records([{
'start_date': cls.start,
'end_date': end,
'symbol': symbol
'symbol': symbol,
'exchange': "TEST",
} for symbol in symbols]),
))
@@ -103,7 +104,8 @@ class SecurityListTestCase(WithLogger, WithTradingCalendar, ZiplineTestCase):
equities=pd.DataFrame.from_records([{
'start_date': sp2.start_session,
'end_date': sp2.end_session,
'symbol': symbol
'symbol': symbol,
'exchange': "TEST",
} for symbol in symbols]),
))
@@ -267,6 +269,7 @@ class SecurityListTestCase(WithLogger, WithTradingCalendar, ZiplineTestCase):
'symbol': 'BZQ',
'start_date': sim_params.start_session,
'end_date': sim_params.end_session,
'exchange': "TEST",
}])
with TempDirectory() as new_tempdir, \
security_list_copy(), \
zipline/assets/_assets.pyx
+7 -7
View File
@@ -72,13 +72,13 @@ cdef class Asset:
def __init__(self,
int sid, # sid is required
object exchange, # exchange is required
object symbol="",
object asset_name="",
object start_date=None,
object end_date=None,
object first_traded=None,
object auto_close_date=None,
object exchange=""):
object auto_close_date=None):
self.sid = sid
self.sid_hash = hash(sid)
@@ -158,13 +158,13 @@ cdef class Asset:
be serialized/deserialized during pickling.
"""
return (self.__class__, (self.sid,
self.exchange,
self.symbol,
self.asset_name,
self.start_date,
self.end_date,
self.first_traded,
self.auto_close_date,
self.exchange,))
self.auto_close_date,))
cpdef to_dict(self):
"""
@@ -295,6 +295,7 @@ cdef class Future(Asset):
def __init__(self,
int sid, # sid is required
object exchange, # exchange is required
object symbol="",
object root_symbol="",
object asset_name="",
@@ -304,19 +305,18 @@ cdef class Future(Asset):
object expiration_date=None,
object auto_close_date=None,
object first_traded=None,
object exchange="",
object tick_size="",
float multiplier=1.0):
super().__init__(
sid,
exchange,
symbol=symbol,
asset_name=asset_name,
start_date=start_date,
end_date=end_date,
first_traded=first_traded,
auto_close_date=auto_close_date,
exchange=exchange,
)
self.root_symbol = root_symbol
self.notice_date = notice_date
@@ -351,6 +351,7 @@ cdef class Future(Asset):
be serialized/deserialized during pickling.
"""
return (self.__class__, (self.sid,
self.exchange,
self.symbol,
self.root_symbol,
self.asset_name,
@@ -360,7 +361,6 @@ cdef class Future(Asset):
self.expiration_date,
self.auto_close_date,
self.first_traded,
self.exchange,
self.tick_size,
self.multiplier,))
zipline/assets/synthetic.py
+1
View File
@@ -217,6 +217,7 @@ def make_future_info(first_sid,
'notice_date': notice_date_func(month_begin),
'expiration_date': notice_date_func(month_begin),
'multiplier': 500,
'exchange': "TEST",
})
return pd.DataFrame.from_records(contracts, index='sid').convert_objects()
zipline/test_algorithms.py
+2 -2
View File
@@ -525,14 +525,14 @@ class SetLongOnlyAlgorithm(TradingAlgorithm):
class SetAssetDateBoundsAlgorithm(TradingAlgorithm):
"""
Algorithm that tries to order 1 share of sid 0 on every bar and has an
Algorithm that tries to order 1 share of sid 999 on every bar and has an
AssetDateBounds() trading control in place.
"""
def initialize(self):
self.register_trading_control(AssetDateBounds())
def handle_data(algo, data):
algo.order(algo.sid(0), 1)
algo.order(algo.sid(999), 1)
class TestRegisterTransformAlgorithm(TradingAlgorithm):