ENH: adds lookup_expired_futures to asset_finder

tests/test_algorithm.py

@@ -1973,22 +1973,24 @@ class TestRemoveData(TestCase):
     tests if futures data is removed after expiry
     """
     def setUp(self):
-        dt = pd.Timestamp('2015-01-01', tz='UTC')
-        metadata = {0: {'symbol': 'X',
-                        'expiration_date': dt + timedelta(days=5),
-                        'end_date': dt + timedelta(days=5)},
-                    1: {'symbol': 'Y',
-                        'expiration_date': dt + timedelta(days=7),
-                        'end_date': dt + timedelta(days=7)}}
-
+        dt = pd.Timestamp('2015-01-02', tz='UTC')
         env = TradingEnvironment()
+        ix = env.trading_days.get_loc(dt)
+
+        metadata = {0: {'symbol': 'X',
+                        'expiration_date': env.trading_days[ix + 5],
+                        'end_date': env.trading_days[ix + 6]},
+                    1: {'symbol': 'Y',
+                        'expiration_date': env.trading_days[ix + 7],
+                        'end_date': env.trading_days[ix + 8]}}
+
         env.write_data(futures_data=metadata)
 
-        index_x = pd.date_range(dt, periods=5)
+        index_x = env.trading_days[ix:ix + 5]
         data_x = pd.DataFrame([[1, 100], [2, 100], [3, 100], [4, 100],
                                [5, 100]],
                               index=index_x, columns=['price', 'volume'])
-        index_y = index_x.shift(2)
+        index_y = env.trading_days[ix:ix + 5].shift(2)
         data_y = pd.DataFrame([[6, 100], [7, 100], [8, 100], [9, 100],
                                [10, 100]],
                               index=index_y, columns=['price', 'volume'])
@@ -2000,8 +2002,7 @@ class TestRemoveData(TestCase):
     def test_remove_data(self):
         self.algo.run(self.source)
 
-        expected_length = [1, 2, 2, 2, 2, 1]
+        expected_lengths = [1, 1, 2, 2, 2, 2, 1]
         # initially only data for X should be sent and on the last day only
         # data for Y should be sent since X is expired
-        for i, length in enumerate(self.algo.data):
-            self.assertEqual(expected_length[i], length, i)
+        np.testing.assert_array_equal(self.algo.data, expected_lengths)

tests/test_events_through_risk.py

@@ -15,6 +15,7 @@
 
 import unittest
 import datetime
+import pandas as pd
 import pytz
 
 import numpy as np
@@ -77,9 +78,9 @@ class TestEventsThroughRisk(unittest.TestCase):
 
         algo = BuyAndHoldAlgorithm(sim_params=sim_params, env=self.env)
 
-        first_date = datetime.datetime(2006, 1, 3, tzinfo=pytz.utc)
-        second_date = datetime.datetime(2006, 1, 4, tzinfo=pytz.utc)
-        third_date = datetime.datetime(2006, 1, 5, tzinfo=pytz.utc)
+        first_date = pd.Timestamp('2006-01-03', tz='UTC')
+        second_date = pd.Timestamp('2006-01-04', tz='UTC')
+        third_date = pd.Timestamp('2006-01-05', tz='UTC')
 
         trade_bar_data = [
             Event({

tests/test_sources.py

@@ -123,12 +123,7 @@ class TestDataFrameSource(TestCase):
         self.assertEqual(5, event.sid)
         event = next(source)
         self.assertEqual(4, event.sid)
-        try:
-            x = False
-            event = next(source)
-        except StopIteration:
-            x = True
-        self.assertTrue(x)
+        self.assertRaises(StopIteration, next, source)
 
 
 class TestRandomWalkSource(TestCase):