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Merge pull request #1583 from quantopian/allow-sliding-window-to-reset

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ENH: Allow arbitrary history queries.
This commit is contained in:
Eddie Hebert
2016-11-07 22:31:13 -05:00
committed by GitHub
parent f94a161c7a 6ff1d55504
commit f7fdc56777
2 changed files with 73 additions and 6 deletions
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tests/test_history.py
+58
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@@ -1761,6 +1761,64 @@ class DailyEquityHistoryTestCase(WithHistory, ZiplineTestCase):
np.testing.assert_almost_equal(window_1[self.ASSET2].values,
window_2[self.ASSET2].values)
def test_history_window_out_of_order_dates(self):
"""
Use a history window with non-monotonically increasing dates.
A scenario which does not occur during simulations, but useful
for using a history loader in a notebook.
"""
window_1 = self.data_portal.get_history_window(
[self.ASSET1],
pd.Timestamp('2014-02-07', tz='UTC'),
4,
"1d",
"close"
)
window_2 = self.data_portal.get_history_window(
[self.ASSET1],
pd.Timestamp('2014-02-05', tz='UTC'),
4,
"1d",
"close"
)
window_3 = self.data_portal.get_history_window(
[self.ASSET1],
pd.Timestamp('2014-02-07', tz='UTC'),
4,
"1d",
"close"
)
window_4 = self.data_portal.get_history_window(
[self.ASSET1],
pd.Timestamp('2014-01-22', tz='UTC'),
4,
"1d",
"close"
)
# Calling 02-07 after resetting the window should not affect the
# results.
np.testing.assert_almost_equal(window_1.values, window_3.values)
offsets = np.arange(4)
def assert_window_prices(window, starting_price):
np.testing.assert_almost_equal(window.loc[:, self.ASSET1],
starting_price + offsets)
# Window 1 starts on the 23rd day of data for ASSET 1.
assert_window_prices(window_1, 23)
# Window 2 starts on the 21st day of data for ASSET 1.
assert_window_prices(window_2, 21)
# Window 3 starts on the 23rd day of data for ASSET 1.
assert_window_prices(window_3, 23)
# Window 4 starts on the 11th day of data for ASSET 1.
assert_window_prices(window_4, 11)
class NoPrefetchDailyEquityHistoryTestCase(DailyEquityHistoryTestCase):
DATA_PORTAL_MINUTE_HISTORY_PREFETCH = 0