wassname/catalyst
1
0
Fork 0
mirror of https://github.com/wassname/catalyst.git synced 2026-07-06 05:14:38 +08:00
Code Issues Packages Projects Releases Wiki Activity

TST: Changed test_mixed_frequencies to use a half day.

Browse Source 
Also adds a length-1 HistorySpec to the test.
This commit is contained in:
Scott Sanderson
2014-06-05 13:55:21 -04:00
parent cfe00b0c37
commit fba649dd7a
1 changed files with 25 additions and 5 deletions
Download Patch File Download Diff File Expand all files Collapse all files
tests/history_cases.py
+25 -5
View File
@@ -32,10 +32,11 @@ def mixed_frequency_expected_data(count, frequency):
Helper for enumerating expected data test_mixed_frequency.
"""
if frequency == '1d':
if count < 390:
# First day of this test is July 3rd, which is a half day.
if count < 210:
return [np.nan, count]
else:
return [389, count]
return [209, count]
elif frequency == '1m':
if count == 0:
return [np.nan, count]
@@ -44,7 +45,7 @@ def mixed_frequency_expected_data(count, frequency):
MIXED_FREQUENCY_MINUTES = TradingEnvironment.instance().market_minute_window(
to_utc('2013-06-28 9:31AM'), 780,
to_utc('2013-07-03 9:31AM'), 600,
)
DAILY_OPEN_CLOSE_SPECS = [
HistorySpec(3, '1d', 'open_price', False),
@@ -55,6 +56,7 @@ ILLIQUID_PRICES_SPECS = [
HistorySpec(5, '1m', 'price', True),
]
MIXED_FREQUENCY_SPECS = [
HistorySpec(1, '1m', 'price', False),
HistorySpec(2, '1m', 'price', False),
HistorySpec(2, '1d', 'price', False),
]
@@ -361,7 +363,14 @@ HISTORY_CONTAINER_TEST_CASES = {
'sids': [1],
# Start date for test.
'dt': to_utc('2013-06-28 9:31AM'),
# July 2013
# Su Mo Tu We Th Fr Sa
# 1 2 3 4 5 6
# 7 8 9 10 11 12 13
# 14 15 16 17 18 19 20
# 21 22 23 24 25 26 27
# 28 29 30 31
'dt': to_utc('2013-07-03 9:31AM'),
# Sequence of updates to the container
'updates': [
@@ -378,7 +387,18 @@ HISTORY_CONTAINER_TEST_CASES = {
# Dictionary mapping spec_key -> list of expected outputs.
'expected': {
MIXED_FREQUENCY_SPECS[0].key_str: [
pd.DataFrame(
data={
1: [count],
},
index=[minute],
)
for count, minute in enumerate(MIXED_FREQUENCY_MINUTES)
],
MIXED_FREQUENCY_SPECS[1].key_str: [
pd.DataFrame(
data={
1: mixed_frequency_expected_data(count, '1m'),
@@ -388,7 +408,7 @@ HISTORY_CONTAINER_TEST_CASES = {
for count in range(len(MIXED_FREQUENCY_MINUTES))
],
MIXED_FREQUENCY_SPECS[1].key_str: [
MIXED_FREQUENCY_SPECS[2].key_str: [
pd.DataFrame(
data={
1: mixed_frequency_expected_data(count, '1d'),