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ENH: adds lookup_expired_futures to asset_finder

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warren-oneill
2015-11-26 16:46:28 +01:00
parent 987d6d4e48
commit ef323a3165
6 changed files with 51 additions and 34 deletions
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tests/test_algorithm.py
+14 -13
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@@ -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)