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ENH: Add OHLC to simulated data source

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This commit is contained in:
twiecki
2014-03-26 17:22:17 +09:00
parent c77e840833
commit ecd80b88ba
2 changed files with 7 additions and 4 deletions
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tests/test_sources.py
-3
View File
@@ -56,7 +56,6 @@ class TestDataFrameSource(TestCase):
self.assertTrue('volume' in event)
self.assertTrue('price' in event)
self.assertEquals(event['arbitrary'], 1.)
self.assertEquals(event['volume'], 1000)
self.assertEquals(event['sid'], 0)
self.assertTrue(isinstance(event['volume'], int))
self.assertTrue(isinstance(event['arbitrary'], float))
@@ -102,7 +101,6 @@ class TestRandomWalkSource(TestCase):
self.assertLess(event.dt, end)
self.assertGreater(event.price, 0,
"price should never go negative.")
self.assertEqual(event.volume, 1000)
self.assertTrue(13 <= event.dt.hour <= 21,
"event.dt.hour == %i, not during market \
hours." % event.dt.hour)
@@ -127,7 +125,6 @@ class TestRandomWalkSource(TestCase):
self.assertLess(event.dt, end)
self.assertGreater(event.price, 0,
"price should never go negative.")
self.assertEqual(event.volume, 1000)
self.assertTrue(13 <= event.dt.hour <= 21,
"event.dt.hour == %i, not during market \
hours." % event.dt.hour)
zipline/sources/simulated.py
+7 -1
View File
@@ -97,6 +97,9 @@ class RandomWalkSource(DataSource):
'sid': (lambda x: x, 'sid'),
'price': (float, 'price'),
'volume': (int, 'volume'),
'open_price': (float, 'open_price'),
'high': (float, 'high'),
'low': (float, 'low'),
}
def _gen_next_step(self, x):
@@ -111,7 +114,10 @@ class RandomWalkSource(DataSource):
'dt': current_dt,
'sid': sid,
'price': cur_prices[sid],
'volume': 1000,
'volume': np.random.randint(1e5, 1e6),
'open_price': cur_prices[sid],
'high': cur_prices[sid] + .1,
'low': cur_prices[sid] - .1,
}
yield event