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REF: Remove assetfinder from PerformancePeriod

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This commit is contained in:
Jean Bredeche
2017-04-22 14:05:44 -04:00
parent 0b4b058065
commit fe84ff3582
3 changed files with 14 additions and 25 deletions
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tests/test_perf_tracking.py
+12 -19
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@@ -1105,8 +1105,7 @@ class TestPositionPerformance(WithInstanceTmpDir, WithTradingCalendars,
txn2 = create_txn(self.asset2, trades_1[0].dt, 10.0, -100)
pt = perf.PositionTracker(self.sim_params.data_frequency)
pp = perf.PerformancePeriod(1000.0, self.env.asset_finder,
self.sim_params.data_frequency)
pp = perf.PerformancePeriod(1000.0, self.sim_params.data_frequency)
pp.position_tracker = pt
pt.execute_transaction(txn1)
pp.handle_execution(txn1)
@@ -1197,8 +1196,7 @@ class TestPositionPerformance(WithInstanceTmpDir, WithTradingCalendars,
{1: trades})
txn = create_txn(self.asset1, trades[1].dt, 10.0, 1000)
pt = perf.PositionTracker(self.sim_params.data_frequency)
pp = perf.PerformancePeriod(1000.0, self.env.asset_finder,
self.sim_params.data_frequency)
pp = perf.PerformancePeriod(1000.0, self.sim_params.data_frequency)
pp.position_tracker = pt
pt.execute_transaction(txn)
@@ -1288,7 +1286,7 @@ class TestPositionPerformance(WithInstanceTmpDir, WithTradingCalendars,
{1: trades})
txn = create_txn(self.asset1, trades[1].dt, 10.0, 100)
pt = perf.PositionTracker(self.sim_params.data_frequency)
pp = perf.PerformancePeriod(1000.0, self.env.asset_finder,
pp = perf.PerformancePeriod(1000.0,
self.sim_params.data_frequency,
period_open=self.sim_params.start_session,
period_close=self.sim_params.end_session)
@@ -1406,9 +1404,7 @@ single short-sale transaction"""
txn = create_txn(self.asset1, trades[1].dt, 10.0, -100)
pt = perf.PositionTracker(self.sim_params.data_frequency)
pp = perf.PerformancePeriod(
1000.0, self.env.asset_finder,
self.sim_params.data_frequency)
pp = perf.PerformancePeriod(1000.0, self.sim_params.data_frequency)
pp.position_tracker = pt
pt.execute_transaction(txn)
@@ -1525,8 +1521,9 @@ single short-sale transaction"""
# now run a performance period encompassing the entire trade sample.
ptTotal = perf.PositionTracker(self.sim_params.data_frequency)
ppTotal = perf.PerformancePeriod(1000.0, self.env.asset_finder,
self.sim_params.data_frequency)
ppTotal = perf.PerformancePeriod(
1000.0, self.sim_params.data_frequency
)
ppTotal.position_tracker = pt
ptTotal.execute_transaction(txn)
@@ -1632,8 +1629,7 @@ trade after cover"""
short_txn = create_txn(self.asset1, trades[1].dt, 10.0, -100)
cover_txn = create_txn(self.asset1, trades[6].dt, 7.0, 100)
pt = perf.PositionTracker(self.sim_params.data_frequency)
pp = perf.PerformancePeriod(1000.0, self.env.asset_finder,
self.sim_params.data_frequency)
pp = perf.PerformancePeriod(1000.0, self.sim_params.data_frequency)
pp.position_tracker = pt
pt.execute_transaction(short_txn)
@@ -1720,7 +1716,6 @@ shares in position"
pt = perf.PositionTracker(self.sim_params.data_frequency)
pp = perf.PerformancePeriod(
1000.0,
self.env.asset_finder,
self.sim_params.data_frequency,
period_open=self.sim_params.start_session,
period_close=self.sim_params.sessions[-1]
@@ -1784,8 +1779,7 @@ shares in position"
self.assertEqual(pp.pnl, -800, "this period goes from +400 to -400")
pt3 = perf.PositionTracker(self.sim_params.data_frequency)
pp3 = perf.PerformancePeriod(1000.0, self.env.asset_finder,
self.sim_params.data_frequency)
pp3 = perf.PerformancePeriod(1000.0, self.sim_params.data_frequency)
pp3.position_tracker = pt3
average_cost = 0
@@ -1836,8 +1830,7 @@ shares in position"
transactions = factory.create_txn_history(*history_args)
pt = perf.PositionTracker(self.sim_params.data_frequency)
pp = perf.PerformancePeriod(1000.0, self.env.asset_finder,
self.sim_params.data_frequency)
pp = perf.PerformancePeriod(1000.0, self.sim_params.data_frequency)
pp.position_tracker = pt
for idx, (txn, cb) in enumerate(zip(transactions, cost_bases)):
@@ -1875,7 +1868,7 @@ shares in position"
{1: trades})
txn = create_txn(self.asset1, trades[0].dt, 10.0, 100)
pt = perf.PositionTracker(self.sim_params.data_frequency)
pp = perf.PerformancePeriod(1000.0, self.env.asset_finder,
pp = perf.PerformancePeriod(1000.0,
self.sim_params.data_frequency,
period_open=self.sim_params.start_session,
period_close=self.sim_params.end_session)
@@ -1918,7 +1911,7 @@ shares in position"
{1: trades})
txn = create_txn(self.asset1, trades[0].dt, 10.0, 100)
pt = perf.PositionTracker(self.sim_params.data_frequency)
pp = perf.PerformancePeriod(1000.0, self.env.asset_finder,
pp = perf.PerformancePeriod(1000.0,
self.sim_params.data_frequency,
period_open=self.sim_params.start_session,
period_close=self.sim_params.end_session)