# # Copyright 2015 Quantopian, Inc. # # Licensed under the Apache License, Version 2.0 (the "License"); # you may not use this file except in compliance with the License. # You may obtain a copy of the License at # # http://www.apache.org/licenses/LICENSE-2.0 # # Unless required by applicable law or agreed to in writing, software # distributed under the License is distributed on an "AS IS" BASIS, # 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. import datetime import pytz from nose_parameterized import parameterized from unittest import TestCase from zipline.finance.blotter import Blotter, Order from zipline.finance.commission import PerShare, PerTrade, PerDollar from zipline.finance.performance.period import PerformancePeriod from zipline.finance.performance.position import Position from zipline.finance.performance.tracker import PerformanceTracker from zipline.finance.risk.cumulative import RiskMetricsCumulative from zipline.finance.risk.period import RiskMetricsPeriod from zipline.finance.risk.report import RiskReport from zipline.finance.slippage import ( FixedSlippage, Transaction, VolumeShareSlippage ) from zipline.protocol import Account from zipline.protocol import Portfolio from zipline.protocol import Position as ProtocolPosition from zipline.finance.trading import SimulationParameters from zipline.utils import factory from six import iteritems sim_params_daily = SimulationParameters( datetime.datetime(2013, 6, 19, tzinfo=pytz.UTC), datetime.datetime(2013, 6, 19, tzinfo=pytz.UTC), 10000, emission_rate='daily') sim_params_minute = SimulationParameters( datetime.datetime(2013, 6, 19, tzinfo=pytz.UTC), datetime.datetime(2013, 6, 19, tzinfo=pytz.UTC), 10000, emission_rate='minute') returns = factory.create_returns_from_list( [1.0], sim_params_daily) def gather_bad_dicts(state): bad = [] for k, v in iteritems(state): if not isinstance(v, dict): continue if type(v) != dict: bad.append((k, v)) bad.extend(gather_bad_dicts(v)) return bad def stringify_cases(cases, func=None): # get better test case names results = [] if func is None: func = lambda case: case[0].__name__ for case in cases: new_case = list(case) key = func(case) new_case.insert(0, key) results.append(new_case) return results class SerializationTestCase(TestCase): object_serialization_cases = stringify_cases([ (Blotter, (), 'repr'), (Order, (datetime.datetime(2013, 6, 19), 8554, 100), 'dict'), (PerShare, (), 'dict'), (PerTrade, (), 'dict'), (PerDollar, (), 'dict'), (PerformancePeriod, (10000,), 'to_dict'), (Position, (8554,), 'dict'), (PerformanceTracker, (sim_params_daily,), 'to_dict'), (PerformanceTracker, (sim_params_minute,), 'to_dict'), (RiskMetricsCumulative, (sim_params_daily,), 'to_dict'), (RiskMetricsCumulative, (sim_params_minute,), 'to_dict'), (RiskMetricsPeriod, (returns.index[0], returns.index[0], returns), 'to_dict'), (RiskReport, (returns, sim_params_daily), 'to_dict'), (RiskReport, (returns, sim_params_minute), 'to_dict'), (FixedSlippage, (), 'dict'), (Transaction, (8554, 10, datetime.datetime(2013, 6, 19), 100, "0000"), 'dict'), (VolumeShareSlippage, (), 'dict'), (Account, (), 'dict'), (Portfolio, (), 'dict'), (ProtocolPosition, (8554,), 'dict') ]) @parameterized.expand(object_serialization_cases) def test_object_serialization(self, _, cls, initargs, comparison_method='dict'): obj = cls(*initargs) state = obj.__getstate__() bad_dicts = gather_bad_dicts(state) bad_template = "type({0}) == {1}".format bad_msgs = [bad_template(k, type(v)) for k, v in bad_dicts] msg = "Only support bare dicts. " + ', '.join(bad_msgs) self.assertEqual(len(bad_dicts), 0, msg) # no state should have a dict subclass. Only regular PyDict if hasattr(obj, '__getinitargs__'): initargs = obj.__getinitargs__() else: initargs = None if hasattr(obj, '__getnewargs__'): newargs = obj.__getnewargs__() else: newargs = None if newargs is not None: obj2 = cls.__new__(cls, *newargs) else: obj2 = cls.__new__(cls) if initargs is not None: obj2.__init__(*initargs) obj2.__setstate__(state) if comparison_method == 'repr': self.assertEqual(obj.__repr__(), obj2.__repr__()) elif comparison_method == 'to_dict': self.assertEqual(obj.to_dict(), obj2.to_dict()) else: self.assertEqual(obj.__dict__, obj2.__dict__)