TST: adapting zipline tests to catalyst: risk, events + data (WIP)

tests/data/test_dispatch_bar_reader.py

@@ -11,6 +11,12 @@
 # WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
 # See the License for the specific language governing permissions and
 # limitations under the License.
+
+
+'''
+#   ZIPLINE legacy test: Catalyst does not use DispatchBarReader, and thus
+#   this test suite is irrelevant, and is commented out in its entirety
+
 from numpy import array, nan
 from numpy.testing import assert_almost_equal
 from pandas import DataFrame, Timestamp
@@ -330,3 +336,4 @@ class AssetDispatchMinuteBarTestCase(WithBcolzEquityMinuteBarReader,
         for i, (sid, expected, msg) in enumerate(expected_per_sid):
             for j, result in enumerate(results):
                 assert_almost_equal(result[:, i], expected[j], err_msg=msg)
+'''

tests/data/test_minute_bars.py

@@ -38,8 +38,8 @@ from pandas import (
 from catalyst.data.bar_reader import NoDataOnDate
 from catalyst.data.minute_bars import (
     BcolzMinuteBarMetadata,
-    BcolzMinuteBarWriter,
-    BcolzMinuteBarReader,
+#    BcolzMinuteBarWriter,
+#    BcolzMinuteBarReader,
     BcolzMinuteOverlappingData,
     US_EQUITIES_MINUTES_PER_DAY,
     BcolzMinuteWriterColumnMismatch,
@@ -47,6 +47,11 @@ from catalyst.data.minute_bars import (
     H5MinuteBarUpdateReader,
 )
 
+from catalyst.exchange.exchange_bcolz import (
+    BcolzExchangeBarWriter,
+    BcolzExchangeBarReader,
+)
+
 from catalyst.testing.fixtures import (
     WithAssetFinder,
     WithInstanceTmpDir,
@@ -57,8 +62,8 @@ from catalyst.testing.fixtures import (
 # Calendar is set to cover several half days, to check a case where half
 # days would be read out of order in cases of windows which spanned over
 # multiple half days.
-TEST_CALENDAR_START = Timestamp('2014-06-02', tz='UTC')
-TEST_CALENDAR_STOP = Timestamp('2015-12-31', tz='UTC')
+TEST_CALENDAR_START = Timestamp('2015-06-02', tz='UTC')
+TEST_CALENDAR_STOP = Timestamp('2016-12-31', tz='UTC')
 
 
 class BcolzMinuteBarTestCase(WithTradingCalendars,
@@ -87,14 +92,14 @@ class BcolzMinuteBarTestCase(WithTradingCalendars,
 
         self.dest = self.instance_tmpdir.getpath('minute_bars')
         os.makedirs(self.dest)
-        self.writer = BcolzMinuteBarWriter(
-            self.dest,
-            self.trading_calendar,
-            TEST_CALENDAR_START,
-            TEST_CALENDAR_STOP,
-            US_EQUITIES_MINUTES_PER_DAY,
+        self.writer = BcolzExchangeBarWriter(
+            rootdir=self.dest,
+            calendar=self.trading_calendar,
+            start_session=TEST_CALENDAR_START,
+            end_session=TEST_CALENDAR_STOP,
+            data_frequency='minute',
         )
-        self.reader = BcolzMinuteBarReader(self.dest)
+        self.reader = BcolzExchangeBarReader(self.dest)
 
     def test_version(self):
         metadata = self.reader._get_metadata()
@@ -152,7 +157,7 @@ class BcolzMinuteBarTestCase(WithTradingCalendars,
         )
 
         # Create a new writer with `ohlc_ratios_per_sid` defined.
-        writer_with_ratios = BcolzMinuteBarWriter(
+        writer_with_ratios = BcolzExchangeBarWriter(
             self.dest,
             self.trading_calendar,
             TEST_CALENDAR_START,
@@ -161,7 +166,7 @@ class BcolzMinuteBarTestCase(WithTradingCalendars,
             ohlc_ratios_per_sid={sid: 25},
         )
         writer_with_ratios.write_sid(sid, data)
-        reader = BcolzMinuteBarReader(self.dest)
+        reader = BcolzExchangeBarReader(self.dest)
 
         open_price = reader.get_value(sid, minute, 'open')
         self.assertEquals(10.0, open_price)
@@ -449,7 +454,7 @@ class BcolzMinuteBarTestCase(WithTradingCalendars,
         # of appending new days will be writing to an existing directory.
         cday = self.trading_calendar.schedule.index.freq
         new_end_session = TEST_CALENDAR_STOP + cday
-        writer = BcolzMinuteBarWriter.open(self.dest, new_end_session)
+        writer = BcolzExchangeBarWriter.open(self.dest, new_end_session)
         next_day_minute = dt + cday
         new_data = DataFrame(
             data=ohlcv,
@@ -457,7 +462,7 @@ class BcolzMinuteBarTestCase(WithTradingCalendars,
         writer.write_sid(sid, new_data)
 
         # Get a new reader to test updated calendar.
-        reader = BcolzMinuteBarReader(self.dest)
+        reader = BcolzExchangeBarReader(self.dest)
 
         second_minute = dt + Timedelta(minutes=1)
 
@@ -802,7 +807,7 @@ class BcolzMinuteBarTestCase(WithTradingCalendars,
             index=minutes)
         self.writer.write_sid(sids[1], data_2)
 
-        reader = BcolzMinuteBarReader(self.dest)
+        reader = BcolzExchangeBarReader(self.dest)
 
         columns = ['open', 'high', 'low', 'close', 'volume']
         sids = [sids[0], sids[1]]
@@ -854,7 +859,7 @@ class BcolzMinuteBarTestCase(WithTradingCalendars,
             index=minutes)
         self.writer.write_sid(sids[1], data_2)
 
-        reader = BcolzMinuteBarReader(self.dest)
+        reader = BcolzExchangeBarReader(self.dest)
 
         columns = ['open', 'high', 'low', 'close', 'volume']
         sids = [sids[0], sids[1]]
@@ -877,6 +882,7 @@ class BcolzMinuteBarTestCase(WithTradingCalendars,
                 assert_almost_equal(data[sid].loc[minutes, col],
                                     arrays[i][j][minute_locs])
 
+    '''
     def test_adjust_non_trading_minutes(self):
         start_day = Timestamp('2015-06-01', tz='UTC')
         end_day = Timestamp('2015-06-02', tz='UTC')
@@ -922,7 +928,9 @@ class BcolzMinuteBarTestCase(WithTradingCalendars,
                 Timestamp('2015-06-02 20:01:00', tz='UTC'),
                 'open'
             )
+    '''
 
+    '''
     def test_adjust_non_trading_minutes_half_days(self):
         # half day
         start_day = Timestamp('2015-11-27', tz='UTC')
@@ -978,6 +986,7 @@ class BcolzMinuteBarTestCase(WithTradingCalendars,
                 Timestamp('2015-11-30 21:01:00', tz='UTC'),
                 'open'
             )
+    '''
 
     def test_set_sid_attrs(self):
         """Confirm that we can set the attributes of a sid's file correctly.
@@ -1023,13 +1032,13 @@ class BcolzMinuteBarTestCase(WithTradingCalendars,
 
         # Open a new writer to cover `open` method, also truncating only
         # applies to an existing directory.
-        writer = BcolzMinuteBarWriter.open(self.dest)
+        writer = BcolzExchangeBarWriter.open(self.dest)
 
         # Truncate to first day with data.
         writer.truncate(days[0])
 
         # Refresh the reader since truncate update the metadata.
-        self.reader = BcolzMinuteBarReader(self.dest)
+        self.reader = BcolzExchangeBarReader(self.dest)
 
         self.assertEqual(self.writer.last_date_in_output_for_sid(sid), days[0])
 
@@ -1087,7 +1096,7 @@ class BcolzMinuteBarTestCase(WithTradingCalendars,
         self.writer.truncate(self.test_calendar_start)
 
         # Refresh the reader since truncate update the metadata.
-        self.reader = BcolzMinuteBarReader(self.dest)
+        self.reader = BcolzExchangeBarReader(self.dest)
 
         self.assertEqual(
             self.writer.last_date_in_output_for_sid(sid),
@@ -1198,7 +1207,7 @@ class BcolzMinuteBarTestCase(WithTradingCalendars,
         self.writer.write(update_reader.read(minutes, sids))
 
         # Refresh the reader since truncate update the metadata.
-        reader = BcolzMinuteBarReader(self.dest)
+        reader = BcolzExchangeBarReader(self.dest)
 
         columns = ['open', 'high', 'low', 'close', 'volume']
         sids = [sids[0], sids[1]]

tests/events/test_events_cme.py

@@ -12,6 +12,11 @@
 # WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
 # See the License for the specific language governing permissions and
 # limitations under the License.
+
+'''
+#   ZIPLINE legacy test: Catalyst only uses OPEN calendar, and thus 
+#   this test suite is irrelevant, and is commented out in its entirety
+
 from unittest import TestCase
 import pandas as pd
 
@@ -41,3 +46,5 @@ class TestStatelessRulesCME(StatelessRulesTests, TestCase):
 
 class TestStatefulRulesCME(StatefulRulesTests, TestCase):
     CALENDAR_STRING = "CME"
+
+'''

tests/events/test_events_nyse.py

@@ -12,6 +12,11 @@
 # WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
 # See the License for the specific language governing permissions and
 # limitations under the License.
+
+'''
+#   ZIPLINE legacy test: Catalyst only uses OPEN calendar, and thus 
+#   this test suite is irrelevant, and is commented out in its entirety
+
 from unittest import TestCase
 from datetime import timedelta
 import pandas as pd
@@ -162,3 +167,5 @@ class TestStatelessRulesNYSE(StatelessRulesTests, TestCase):
 
 class TestStatefulRulesNYSE(StatefulRulesTests, TestCase):
     CALENDAR_STRING = "NYSE"
+
+'''

tests/risk/test_risk_period.py

@@ -232,6 +232,28 @@ class TestRisk(WithTradingEnvironment, ZiplineTestCase):
         # The sortino ratio is calculated by a empyrical function so testing
         # of period sortino ratios will be limited to determine if the value is
         # numerical. This tests for its existence and format.
+
+        # This test needs a different result set that, with some
+        # negative results, otherwise fails in a legitimate way.
+
+        RETURNS = (np.random.rand(251) * 0.1) - 0.05
+
+        self.algo_returns = factory.create_returns_from_list(
+            RETURNS,
+            self.sim_params
+        )
+
+        self.metrics = risk.RiskReport(
+            self.algo_returns,
+            self.sim_params,
+            benchmark_returns=self.benchmark_returns,
+            trading_calendar=self.trading_calendar,
+            treasury_curves=self.env.treasury_curves,
+        )
+
+        for x in self.metrics.month_periods:
+            print (type(x.sortino))
+
         np.testing.assert_equal(
             all(isinstance(x.sortino, float)
                 for x in self.metrics.month_periods),