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TST: Adds close position tests for both Equity and Future

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jfkirk
2015-06-12 10:07:50 -04:00
parent 4ef8df2fca
commit eced4e700d
1 changed files with 37 additions and 22 deletions
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tests/test_algorithm.py
+37 -22
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@@ -96,7 +96,6 @@ from zipline.finance.trading import SimulationParameters
from zipline.utils.api_support import set_algo_instance from zipline.utils.api_support import set_algo_instance
from zipline.utils.events import DateRuleFactory, TimeRuleFactory from zipline.utils.events import DateRuleFactory, TimeRuleFactory
from zipline.algorithm import TradingAlgorithm from zipline.algorithm import TradingAlgorithm
from zipline.finance import trading
from zipline.protocol import DATASOURCE_TYPE from zipline.protocol import DATASOURCE_TYPE
from zipline.finance.trading import TradingEnvironment from zipline.finance.trading import TradingEnvironment
from zipline.finance.commission import PerShare from zipline.finance.commission import PerShare
@@ -1294,46 +1293,62 @@ class TestAccountControls(TestCase):
class TestClosePosAlgo(TestCase): class TestClosePosAlgo(TestCase):
def setUp(self): def setUp(self):
days = TradingEnvironment().trading_days self.days = TradingEnvironment().trading_days
self.index = [days[0], days[1], days[2]] self.index = [self.days[0], self.days[1], self.days[2]]
pan = pd.Panel({1: pd.DataFrame({ self.panel = pd.Panel({1: pd.DataFrame({
'price': [1, 2, 4], 'volume': [1e9, 0, 0], 'price': [1, 2, 4], 'volume': [1e9, 0, 0],
'type': [DATASOURCE_TYPE.TRADE, 'type': [DATASOURCE_TYPE.TRADE,
DATASOURCE_TYPE.TRADE, DATASOURCE_TYPE.TRADE,
DATASOURCE_TYPE.CLOSE_POSITION]}, DATASOURCE_TYPE.CLOSE_POSITION]},
index=self.index) index=self.index)
}) })
self.data = DataPanelSource(pan)
def test_close_position_equity(self):
metadata = {1: {'symbol': 'TEST', metadata = {1: {'symbol': 'TEST',
'asset_type': 'future', 'asset_type': 'equity',
'notice_date': days[2], 'end_date': self.days[3]}}
'expiration_date': days[3]}}
self.algo = TestAlgorithm(sid=1, amount=1, order_count=1, self.algo = TestAlgorithm(sid=1, amount=1, order_count=1,
instant_fill=True, commission=PerShare(0), instant_fill=True, commission=PerShare(0),
asset_metadata=metadata) asset_metadata=metadata)
self.results = self.run_algo() self.data = DataPanelSource(self.panel)
self.expected_positions = [1, 1, 0]
self.expected_pnl = [0, 1, 2] # Check results
expected_positions = [1, 1, 0]
expected_pnl = [0, 1, 2]
results = self.run_algo()
self.check_algo_pnl(results, expected_pnl)
self.check_algo_positions(results, expected_positions)
def test_close_position_future(self):
metadata = {1: {'symbol': 'TEST',
'asset_type': 'future',
'notice_date': self.days[2],
'expiration_date': self.days[3]}}
self.algo = TestAlgorithm(sid=1, amount=1, order_count=1,
instant_fill=True, commission=PerShare(0),
asset_metadata=metadata)
self.data = DataPanelSource(self.panel)
# Check results
expected_positions = [1, 1, 0]
expected_pnl = [0, 1, 2]
results = self.run_algo()
self.check_algo_pnl(results, expected_pnl)
self.check_algo_positions(results, expected_positions)
def run_algo(self): def run_algo(self):
results = self.algo.run(self.data) results = self.algo.run(self.data)
return results return results
def test_algo_pnl(self): def check_algo_pnl(self, results, expected_pnl):
for i, pnl in enumerate(self.results.pnl): for i, pnl in enumerate(results.pnl):
self.assertEqual(pnl, self.expected_pnl[i]) self.assertEqual(pnl, expected_pnl[i])
def test_algo_positions(self): def check_algo_positions(self, results, expected_positions):
for i, amount in enumerate(self.results.positions): for i, amount in enumerate(results.positions):
if amount: if amount:
actual_position = amount[0]['amount'] actual_position = amount[0]['amount']
else: else:
actual_position = 0 actual_position = 0
self.assertEqual(actual_position, self.expected_positions[i]) self.assertEqual(actual_position, expected_positions[i])
def tearDown(self):
pass
self.algo = None
trading.environment = None