# # 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. """ Tests for the zipline.assets package """ import sys from unittest import TestCase from datetime import datetime, timedelta import pickle import uuid import warnings import pandas as pd from pandas.tseries.tools import normalize_date from pandas.util.testing import assert_frame_equal from nose_parameterized import parameterized from numpy import full from zipline.assets import Asset, Equity, Future, AssetFinder from zipline.assets.futures import FutureChain from zipline.errors import ( SymbolNotFound, MultipleSymbolsFound, SidAssignmentError, RootSymbolNotFound, ) from zipline.finance.trading import TradingEnvironment from zipline.utils.test_utils import ( all_subindices, make_rotating_asset_info, ) def build_lookup_generic_cases(): """ Generate test cases for AssetFinder test_lookup_generic. """ unique_start = pd.Timestamp('2013-01-01', tz='UTC') unique_end = pd.Timestamp('2014-01-01', tz='UTC') dupe_0_start = pd.Timestamp('2013-01-01', tz='UTC') dupe_0_end = dupe_0_start + timedelta(days=1) dupe_1_start = pd.Timestamp('2013-01-03', tz='UTC') dupe_1_end = dupe_1_start + timedelta(days=1) frame = pd.DataFrame.from_records( [ { 'sid': 0, 'symbol': 'duplicated', 'start_date': dupe_0_start.value, 'end_date': dupe_0_end.value, 'exchange': '', }, { 'sid': 1, 'symbol': 'duplicated', 'start_date': dupe_1_start.value, 'end_date': dupe_1_end.value, 'exchange': '', }, { 'sid': 2, 'symbol': 'unique', 'start_date': unique_start.value, 'end_date': unique_end.value, 'exchange': '', }, ], index='sid') env = TradingEnvironment() env.write_data(equities_df=frame) finder = env.asset_finder dupe_0, dupe_1, unique = assets = [ finder.retrieve_asset(i) for i in range(3) ] dupe_0_start = dupe_0.start_date dupe_1_start = dupe_1.start_date cases = [ ## # Scalars # Asset object (finder, assets[0], None, assets[0]), (finder, assets[1], None, assets[1]), (finder, assets[2], None, assets[2]), # int (finder, 0, None, assets[0]), (finder, 1, None, assets[1]), (finder, 2, None, assets[2]), # Duplicated symbol with resolution date (finder, 'duplicated', dupe_0_start, dupe_0), (finder, 'duplicated', dupe_1_start, dupe_1), # Unique symbol, with or without resolution date. (finder, 'unique', unique_start, unique), (finder, 'unique', None, unique), ## # Iterables # Iterables of Asset objects. (finder, assets, None, assets), (finder, iter(assets), None, assets), # Iterables of ints (finder, (0, 1), None, assets[:-1]), (finder, iter((0, 1)), None, assets[:-1]), # Iterables of symbols. (finder, ('duplicated', 'unique'), dupe_0_start, [dupe_0, unique]), (finder, ('duplicated', 'unique'), dupe_1_start, [dupe_1, unique]), # Mixed types (finder, ('duplicated', 2, 'unique', 1, dupe_1), dupe_0_start, [dupe_0, assets[2], unique, assets[1], dupe_1]), ] return cases class AssetTestCase(TestCase): def test_asset_object(self): self.assertEquals({5061: 'foo'}[Asset(5061)], 'foo') self.assertEquals(Asset(5061), 5061) self.assertEquals(5061, Asset(5061)) self.assertEquals(Asset(5061), Asset(5061)) self.assertEquals(int(Asset(5061)), 5061) self.assertEquals(str(Asset(5061)), 'Asset(5061)') def test_asset_is_pickleable(self): # Very wow s = Asset( 1337, symbol="DOGE", asset_name="DOGECOIN", start_date=pd.Timestamp('2013-12-08 9:31AM', tz='UTC'), end_date=pd.Timestamp('2014-06-25 11:21AM', tz='UTC'), first_traded=pd.Timestamp('2013-12-08 9:31AM', tz='UTC'), exchange='THE MOON', ) s_unpickled = pickle.loads(pickle.dumps(s)) attrs_to_check = ['end_date', 'exchange', 'first_traded', 'end_date', 'asset_name', 'start_date', 'sid', 'start_date', 'symbol'] for attr in attrs_to_check: self.assertEqual(getattr(s, attr), getattr(s_unpickled, attr)) def test_asset_comparisons(self): s_23 = Asset(23) s_24 = Asset(24) self.assertEqual(s_23, s_23) self.assertEqual(s_23, 23) self.assertEqual(23, s_23) self.assertNotEqual(s_23, s_24) self.assertNotEqual(s_23, 24) self.assertNotEqual(s_23, "23") self.assertNotEqual(s_23, 23.5) self.assertNotEqual(s_23, []) self.assertNotEqual(s_23, None) self.assertLess(s_23, s_24) self.assertLess(s_23, 24) self.assertGreater(24, s_23) self.assertGreater(s_24, s_23) def test_lt(self): self.assertTrue(Asset(3) < Asset(4)) self.assertFalse(Asset(4) < Asset(4)) self.assertFalse(Asset(5) < Asset(4)) def test_le(self): self.assertTrue(Asset(3) <= Asset(4)) self.assertTrue(Asset(4) <= Asset(4)) self.assertFalse(Asset(5) <= Asset(4)) def test_eq(self): self.assertFalse(Asset(3) == Asset(4)) self.assertTrue(Asset(4) == Asset(4)) self.assertFalse(Asset(5) == Asset(4)) def test_ge(self): self.assertFalse(Asset(3) >= Asset(4)) self.assertTrue(Asset(4) >= Asset(4)) self.assertTrue(Asset(5) >= Asset(4)) def test_gt(self): self.assertFalse(Asset(3) > Asset(4)) self.assertFalse(Asset(4) > Asset(4)) self.assertTrue(Asset(5) > Asset(4)) def test_type_mismatch(self): if sys.version_info.major < 3: self.assertIsNotNone(Asset(3) < 'a') self.assertIsNotNone('a' < Asset(3)) else: with self.assertRaises(TypeError): Asset(3) < 'a' with self.assertRaises(TypeError): 'a' < Asset(3) class TestFuture(TestCase): future = Future( 2468, symbol='OMH15', root_symbol='OM', notice_date=pd.Timestamp('2014-01-20', tz='UTC'), expiration_date=pd.Timestamp('2014-02-20', tz='UTC'), auto_close_date=pd.Timestamp('2014-01-18', tz='UTC'), contract_multiplier=500 ) def test_str(self): strd = self.future.__str__() self.assertEqual("Future(2468 [OMH15])", strd) def test_repr(self): reprd = self.future.__repr__() self.assertTrue("Future" in reprd) self.assertTrue("2468" in reprd) self.assertTrue("OMH15" in reprd) self.assertTrue("root_symbol='OM'" in reprd) self.assertTrue(("notice_date=Timestamp('2014-01-20 00:00:00+0000', " "tz='UTC')") in reprd) self.assertTrue("expiration_date=Timestamp('2014-02-20 00:00:00+0000'" in reprd) self.assertTrue("auto_close_date=Timestamp('2014-01-18 00:00:00+0000'" in reprd) self.assertTrue("contract_multiplier=500" in reprd) def test_reduce(self): reduced = self.future.__reduce__() self.assertEqual(Future, reduced[0]) def test_to_and_from_dict(self): dictd = self.future.to_dict() self.assertTrue('root_symbol' in dictd) self.assertTrue('notice_date' in dictd) self.assertTrue('expiration_date' in dictd) self.assertTrue('auto_close_date' in dictd) self.assertTrue('contract_multiplier' in dictd) from_dict = Future.from_dict(dictd) self.assertTrue(isinstance(from_dict, Future)) self.assertEqual(self.future, from_dict) def test_root_symbol(self): self.assertEqual('OM', self.future.root_symbol) class AssetFinderTestCase(TestCase): def setUp(self): self.env = TradingEnvironment() def test_lookup_symbol_delimited(self): as_of = pd.Timestamp('2013-01-01', tz='UTC') frame = pd.DataFrame.from_records( [ { 'sid': i, 'symbol': 'TEST.%d' % i, 'company_name': "company%d" % i, 'start_date': as_of.value, 'end_date': as_of.value, 'exchange': uuid.uuid4().hex } for i in range(3) ] ) self.env.write_data(equities_df=frame) finder = AssetFinder(self.env.engine) asset_0, asset_1, asset_2 = ( finder.retrieve_asset(i) for i in range(3) ) # we do it twice to catch caching bugs for i in range(2): with self.assertRaises(SymbolNotFound): finder.lookup_symbol('test', as_of) with self.assertRaises(SymbolNotFound): finder.lookup_symbol('test1', as_of) # '@' is not a supported delimiter with self.assertRaises(SymbolNotFound): finder.lookup_symbol('test@1', as_of) # Adding an unnecessary fuzzy shouldn't matter. for fuzzy_char in ['-', '/', '_', '.']: self.assertEqual( asset_1, finder.lookup_symbol('test%s1' % fuzzy_char, as_of) ) def test_lookup_symbol_fuzzy(self): metadata = { 0: {'symbol': 'PRTY_HRD'}, 1: {'symbol': 'BRKA'}, 2: {'symbol': 'BRK_A'}, } self.env.write_data(equities_data=metadata) finder = self.env.asset_finder dt = pd.Timestamp('2013-01-01', tz='UTC') # Try combos of looking up PRTYHRD with and without a time or fuzzy # Both non-fuzzys get no result with self.assertRaises(SymbolNotFound): finder.lookup_symbol('PRTYHRD', None) with self.assertRaises(SymbolNotFound): finder.lookup_symbol('PRTYHRD', dt) # Both fuzzys work self.assertEqual(0, finder.lookup_symbol('PRTYHRD', None, fuzzy=True)) self.assertEqual(0, finder.lookup_symbol('PRTYHRD', dt, fuzzy=True)) # Try combos of looking up PRTY_HRD, all returning sid 0 self.assertEqual(0, finder.lookup_symbol('PRTY_HRD', None)) self.assertEqual(0, finder.lookup_symbol('PRTY_HRD', dt)) self.assertEqual(0, finder.lookup_symbol('PRTY_HRD', None, fuzzy=True)) self.assertEqual(0, finder.lookup_symbol('PRTY_HRD', dt, fuzzy=True)) # Try combos of looking up BRKA, all returning sid 1 self.assertEqual(1, finder.lookup_symbol('BRKA', None)) self.assertEqual(1, finder.lookup_symbol('BRKA', dt)) self.assertEqual(1, finder.lookup_symbol('BRKA', None, fuzzy=True)) self.assertEqual(1, finder.lookup_symbol('BRKA', dt, fuzzy=True)) # Try combos of looking up BRK_A, all returning sid 2 self.assertEqual(2, finder.lookup_symbol('BRK_A', None)) self.assertEqual(2, finder.lookup_symbol('BRK_A', dt)) self.assertEqual(2, finder.lookup_symbol('BRK_A', None, fuzzy=True)) self.assertEqual(2, finder.lookup_symbol('BRK_A', dt, fuzzy=True)) def test_lookup_symbol(self): # Incrementing by two so that start and end dates for each # generated Asset don't overlap (each Asset's end_date is the # day after its start date.) dates = pd.date_range('2013-01-01', freq='2D', periods=5, tz='UTC') df = pd.DataFrame.from_records( [ { 'sid': i, 'symbol': 'existing', 'start_date': date.value, 'end_date': (date + timedelta(days=1)).value, 'exchange': 'NYSE', } for i, date in enumerate(dates) ] ) self.env.write_data(equities_df=df) finder = AssetFinder(self.env.engine) for _ in range(2): # Run checks twice to test for caching bugs. with self.assertRaises(SymbolNotFound): finder.lookup_symbol('non_existing', dates[0]) with self.assertRaises(MultipleSymbolsFound): finder.lookup_symbol('existing', None) for i, date in enumerate(dates): # Verify that we correctly resolve multiple symbols using # the supplied date result = finder.lookup_symbol('existing', date) self.assertEqual(result.symbol, 'EXISTING') self.assertEqual(result.sid, i) @parameterized.expand( build_lookup_generic_cases() ) def test_lookup_generic(self, finder, symbols, reference_date, expected): """ Ensure that lookup_generic works with various permutations of inputs. """ results, missing = finder.lookup_generic(symbols, reference_date) self.assertEqual(results, expected) self.assertEqual(missing, []) def test_lookup_generic_handle_missing(self): data = pd.DataFrame.from_records( [ { 'sid': 0, 'symbol': 'real', 'start_date': pd.Timestamp('2013-1-1', tz='UTC'), 'end_date': pd.Timestamp('2014-1-1', tz='UTC'), 'exchange': '', }, { 'sid': 1, 'symbol': 'also_real', 'start_date': pd.Timestamp('2013-1-1', tz='UTC'), 'end_date': pd.Timestamp('2014-1-1', tz='UTC'), 'exchange': '', }, # Sid whose end date is before our query date. We should # still correctly find it. { 'sid': 2, 'symbol': 'real_but_old', 'start_date': pd.Timestamp('2002-1-1', tz='UTC'), 'end_date': pd.Timestamp('2003-1-1', tz='UTC'), 'exchange': '', }, # Sid whose start_date is **after** our query date. We should # **not** find it. { 'sid': 3, 'symbol': 'real_but_in_the_future', 'start_date': pd.Timestamp('2014-1-1', tz='UTC'), 'end_date': pd.Timestamp('2020-1-1', tz='UTC'), 'exchange': 'THE FUTURE', }, ] ) self.env.write_data(equities_df=data) finder = AssetFinder(self.env.engine) results, missing = finder.lookup_generic( ['real', 1, 'fake', 'real_but_old', 'real_but_in_the_future'], pd.Timestamp('2013-02-01', tz='UTC'), ) self.assertEqual(len(results), 3) self.assertEqual(results[0].symbol, 'REAL') self.assertEqual(results[0].sid, 0) self.assertEqual(results[1].symbol, 'ALSO_REAL') self.assertEqual(results[1].sid, 1) self.assertEqual(results[2].symbol, 'REAL_BUT_OLD') self.assertEqual(results[2].sid, 2) self.assertEqual(len(missing), 2) self.assertEqual(missing[0], 'fake') self.assertEqual(missing[1], 'real_but_in_the_future') def test_insert_metadata(self): data = {0: {'asset_type': 'equity', 'start_date': '2014-01-01', 'end_date': '2015-01-01', 'symbol': "PLAY", 'foo_data': "FOO"}} self.env.write_data(equities_data=data) finder = AssetFinder(self.env.engine) # Test proper insertion equity = finder.retrieve_asset(0) self.assertIsInstance(equity, Equity) self.assertEqual('PLAY', equity.symbol) self.assertEqual(pd.Timestamp('2015-01-01', tz='UTC'), equity.end_date) # Test invalid field with self.assertRaises(AttributeError): equity.foo_data def test_consume_metadata(self): # Test dict consumption dict_to_consume = {0: {'symbol': 'PLAY'}, 1: {'symbol': 'MSFT'}} self.env.write_data(equities_data=dict_to_consume) finder = AssetFinder(self.env.engine) equity = finder.retrieve_asset(0) self.assertIsInstance(equity, Equity) self.assertEqual('PLAY', equity.symbol) # Test dataframe consumption df = pd.DataFrame(columns=['asset_name', 'exchange'], index=[0, 1]) df['asset_name'][0] = "Dave'N'Busters" df['exchange'][0] = "NASDAQ" df['asset_name'][1] = "Microsoft" df['exchange'][1] = "NYSE" self.env = TradingEnvironment() self.env.write_data(equities_df=df) finder = AssetFinder(self.env.engine) self.assertEqual('NASDAQ', finder.retrieve_asset(0).exchange) self.assertEqual('Microsoft', finder.retrieve_asset(1).asset_name) def test_consume_asset_as_identifier(self): # Build some end dates eq_end = pd.Timestamp('2012-01-01', tz='UTC') fut_end = pd.Timestamp('2008-01-01', tz='UTC') # Build some simple Assets equity_asset = Equity(1, symbol="TESTEQ", end_date=eq_end) future_asset = Future(200, symbol="TESTFUT", end_date=fut_end) # Consume the Assets self.env.write_data(equities_identifiers=[equity_asset], futures_identifiers=[future_asset]) finder = AssetFinder(self.env.engine) # Test equality with newly built Assets self.assertEqual(equity_asset, finder.retrieve_asset(1)) self.assertEqual(future_asset, finder.retrieve_asset(200)) self.assertEqual(eq_end, finder.retrieve_asset(1).end_date) self.assertEqual(fut_end, finder.retrieve_asset(200).end_date) def test_sid_assignment(self): # This metadata does not contain SIDs metadata = ['PLAY', 'MSFT'] today = normalize_date(pd.Timestamp('2015-07-09', tz='UTC')) # Write data with sid assignment self.env.write_data(equities_identifiers=metadata, allow_sid_assignment=True) # Verify that Assets were built and different sids were assigned finder = AssetFinder(self.env.engine) play = finder.lookup_symbol('PLAY', today) msft = finder.lookup_symbol('MSFT', today) self.assertEqual('PLAY', play.symbol) self.assertIsNotNone(play.sid) self.assertNotEqual(play.sid, msft.sid) def test_sid_assignment_failure(self): # This metadata does not contain SIDs metadata = ['PLAY', 'MSFT'] # Write data without sid assignment, asserting failure with self.assertRaises(SidAssignmentError): self.env.write_data(equities_identifiers=metadata, allow_sid_assignment=False) def test_security_dates_warning(self): # Build an asset with an end_date eq_end = pd.Timestamp('2012-01-01', tz='UTC') equity_asset = Equity(1, symbol="TESTEQ", end_date=eq_end) # Catch all warnings with warnings.catch_warnings(record=True) as w: # Cause all warnings to always be triggered warnings.simplefilter("always") equity_asset.security_start_date equity_asset.security_end_date equity_asset.security_name # Verify the warning self.assertEqual(3, len(w)) for warning in w: self.assertTrue(issubclass(warning.category, DeprecationWarning)) def test_lookup_future_chain(self): metadata = { # Notice day is today, so not valid 2: { 'symbol': 'ADN15', 'root_symbol': 'AD', 'asset_type': 'future', 'notice_date': pd.Timestamp('2015-05-14', tz='UTC'), 'start_date': pd.Timestamp('2015-01-01', tz='UTC') }, 1: { 'symbol': 'ADV15', 'root_symbol': 'AD', 'asset_type': 'future', 'notice_date': pd.Timestamp('2015-08-14', tz='UTC'), 'start_date': pd.Timestamp('2015-01-01', tz='UTC') }, # Starts trading today, so should be valid. 0: { 'symbol': 'ADF16', 'root_symbol': 'AD', 'asset_type': 'future', 'notice_date': pd.Timestamp('2015-11-16', tz='UTC'), 'start_date': pd.Timestamp('2015-05-14', tz='UTC') }, # Copy of the above future, but starts trading in August, # so it isn't valid. 3: { 'symbol': 'ADF16', 'root_symbol': 'AD', 'asset_type': 'future', 'notice_date': pd.Timestamp('2015-11-16', tz='UTC'), 'start_date': pd.Timestamp('2015-08-01', tz='UTC') }, } self.env.write_data(futures_data=metadata) finder = AssetFinder(self.env.engine) dt = pd.Timestamp('2015-05-14', tz='UTC') last_year = pd.Timestamp('2014-01-01', tz='UTC') first_day = pd.Timestamp('2015-01-01', tz='UTC') # Check that we get the expected number of contracts, in the # right order ad_contracts = finder.lookup_future_chain('AD', dt, dt) self.assertEqual(len(ad_contracts), 2) self.assertEqual(ad_contracts[0].sid, 1) self.assertEqual(ad_contracts[1].sid, 0) # Check that pd.NaT for knowledge_date uses the value of as_of_date ad_contracts = finder.lookup_future_chain('AD', dt, pd.NaT) self.assertEqual(len(ad_contracts), 2) # Check that we get nothing if our knowledge date is last year ad_contracts = finder.lookup_future_chain('AD', dt, last_year) self.assertEqual(len(ad_contracts), 0) # Check that we get things that start on the knowledge date ad_contracts = finder.lookup_future_chain('AD', dt, first_day) self.assertEqual(len(ad_contracts), 1) # Check that pd.NaT for as_of_date gives the whole chain ad_contracts = finder.lookup_future_chain('AD', pd.NaT, first_day) self.assertEqual(len(ad_contracts), 4) def test_map_identifier_index_to_sids(self): # Build an empty finder and some Assets dt = pd.Timestamp('2014-01-01', tz='UTC') finder = AssetFinder(self.env.engine) asset1 = Equity(1, symbol="AAPL") asset2 = Equity(2, symbol="GOOG") asset200 = Future(200, symbol="CLK15") asset201 = Future(201, symbol="CLM15") # Check for correct mapping and types pre_map = [asset1, asset2, asset200, asset201] post_map = finder.map_identifier_index_to_sids(pre_map, dt) self.assertListEqual([1, 2, 200, 201], post_map) for sid in post_map: self.assertIsInstance(sid, int) # Change order and check mapping again pre_map = [asset201, asset2, asset200, asset1] post_map = finder.map_identifier_index_to_sids(pre_map, dt) self.assertListEqual([201, 2, 200, 1], post_map) def test_compute_lifetimes(self): num_assets = 4 env = TradingEnvironment() trading_day = env.trading_day first_start = pd.Timestamp('2015-04-01', tz='UTC') frame = make_rotating_asset_info( num_assets=num_assets, first_start=first_start, frequency=env.trading_day, periods_between_starts=3, asset_lifetime=5 ) env.write_data(equities_df=frame) finder = env.asset_finder all_dates = pd.date_range( start=first_start, end=frame.end_date.max(), freq=trading_day, ) for dates in all_subindices(all_dates): expected_with_start_raw = full( shape=(len(dates), num_assets), fill_value=False, dtype=bool, ) expected_no_start_raw = full( shape=(len(dates), num_assets), fill_value=False, dtype=bool, ) for i, date in enumerate(dates): it = frame[['start_date', 'end_date']].itertuples() for j, start, end in it: # This way of doing the checks is redundant, but very # clear. if start <= date <= end: expected_with_start_raw[i, j] = True if start < date: expected_no_start_raw[i, j] = True expected_with_start = pd.DataFrame( data=expected_with_start_raw, index=dates, columns=frame.index.values, ) result = finder.lifetimes(dates, include_start_date=True) assert_frame_equal(result, expected_with_start) expected_no_start = pd.DataFrame( data=expected_no_start_raw, index=dates, columns=frame.index.values, ) result = finder.lifetimes(dates, include_start_date=False) assert_frame_equal(result, expected_no_start) def test_sids(self): # Ensure that the sids property of the AssetFinder is functioning env = TradingEnvironment() env.write_data(equities_identifiers=[1, 2, 3]) sids = env.asset_finder.sids self.assertEqual(3, len(sids)) self.assertTrue(1 in sids) self.assertTrue(2 in sids) self.assertTrue(3 in sids) class TestFutureChain(TestCase): @classmethod def setUpClass(cls): metadata = { 0: { 'symbol': 'CLG06', 'root_symbol': 'CL', 'asset_type': 'future', 'start_date': pd.Timestamp('2005-12-01', tz='UTC'), 'notice_date': pd.Timestamp('2005-12-20', tz='UTC'), 'expiration_date': pd.Timestamp('2006-01-20', tz='UTC')}, 1: { 'root_symbol': 'CL', 'symbol': 'CLK06', 'asset_type': 'future', 'start_date': pd.Timestamp('2005-12-01', tz='UTC'), 'notice_date': pd.Timestamp('2006-03-20', tz='UTC'), 'expiration_date': pd.Timestamp('2006-04-20', tz='UTC')}, 2: { 'symbol': 'CLQ06', 'root_symbol': 'CL', 'asset_type': 'future', 'start_date': pd.Timestamp('2005-12-01', tz='UTC'), 'notice_date': pd.Timestamp('2006-06-20', tz='UTC'), 'expiration_date': pd.Timestamp('2006-07-20', tz='UTC')}, 3: { 'symbol': 'CLX06', 'root_symbol': 'CL', 'asset_type': 'future', 'start_date': pd.Timestamp('2006-02-01', tz='UTC'), 'notice_date': pd.Timestamp('2006-09-20', tz='UTC'), 'expiration_date': pd.Timestamp('2006-10-20', tz='UTC')} } env = TradingEnvironment() env.write_data(futures_data=metadata) cls.asset_finder = env.asset_finder @classmethod def tearDownClass(cls): del cls.asset_finder def test_len(self): """ Test the __len__ method of FutureChain. """ # None of the contracts have started yet. cl = FutureChain(self.asset_finder, lambda: '2005-11-30', 'CL') self.assertEqual(len(cl), 0) # Sids 0, 1, & 2 have started, 3 has not yet started. cl = FutureChain(self.asset_finder, lambda: '2005-12-01', 'CL') self.assertEqual(len(cl), 3) # Sid 0 is still valid the day before its notice date. cl = FutureChain(self.asset_finder, lambda: '2005-12-19', 'CL') self.assertEqual(len(cl), 3) # Sid 0 is now invalid, leaving only Sids 1 & 2 valid. cl = FutureChain(self.asset_finder, lambda: '2005-12-20', 'CL') self.assertEqual(len(cl), 2) # Sid 3 has started, so 1, 2, & 3 are now valid. cl = FutureChain(self.asset_finder, lambda: '2006-02-01', 'CL') self.assertEqual(len(cl), 3) # All contracts are no longer valid. cl = FutureChain(self.asset_finder, lambda: '2006-09-20', 'CL') self.assertEqual(len(cl), 0) def test_getitem(self): """ Test the __getitem__ method of FutureChain. """ cl = FutureChain(self.asset_finder, lambda: '2005-12-01', 'CL') self.assertEqual(cl[0], 0) self.assertEqual(cl[1], 1) self.assertEqual(cl[2], 2) with self.assertRaises(IndexError): cl[3] cl = FutureChain(self.asset_finder, lambda: '2005-12-19', 'CL') self.assertEqual(cl[0], 0) cl = FutureChain(self.asset_finder, lambda: '2005-12-20', 'CL') self.assertEqual(cl[0], 1) cl = FutureChain(self.asset_finder, lambda: '2006-02-01', 'CL') self.assertEqual(cl[-1], 3) def test_root_symbols(self): """ Test that different variations on root symbols are handled as expected. """ # Make sure this successfully gets the chain for CL. cl = FutureChain(self.asset_finder, lambda: '2005-12-01', 'CL') self.assertEqual(cl.root_symbol, 'CL') # These root symbols don't exist, so RootSymbolNotFound should # be raised immediately. with self.assertRaises(RootSymbolNotFound): FutureChain(self.asset_finder, lambda: '2005-12-01', 'CLZ') with self.assertRaises(RootSymbolNotFound): FutureChain(self.asset_finder, lambda: '2005-12-01', '') def test_repr(self): """ Test the __repr__ method of FutureChain. """ cl = FutureChain(self.asset_finder, lambda: '2005-12-01', 'CL') cl_feb = FutureChain(self.asset_finder, lambda: '2005-12-01', 'CL', as_of_date=pd.Timestamp('2006-02-01', tz='UTC')) # The default chain should not include the as of date. self.assertEqual(repr(cl), "FutureChain(root_symbol='CL')") # An explicit as of date should show up in the repr. self.assertEqual( repr(cl_feb), ("FutureChain(root_symbol='CL', " "as_of_date='2006-02-01 00:00:00+00:00')") ) def test_as_of(self): """ Test the as_of method of FutureChain. """ cl = FutureChain(self.asset_finder, lambda: '2005-12-01', 'CL') # Test that the as_of_date is set correctly to the future feb = pd.Timestamp('2006-02-01', tz='UTC') cl_feb = cl.as_of(feb) self.assertEqual( cl_feb.as_of_date, pd.Timestamp(feb, tz='UTC') ) # Test that the as_of_date is set correctly to the past, with # args of str, datetime.datetime, and pd.Timestamp. feb_prev = pd.Timestamp('2005-02-01', tz='UTC') cl_feb_prev = cl.as_of(feb_prev) self.assertEqual( cl_feb_prev.as_of_date, pd.Timestamp(feb_prev, tz='UTC') ) feb_prev = pd.Timestamp(datetime(year=2005, month=2, day=1), tz='UTC') cl_feb_prev = cl.as_of(feb_prev) self.assertEqual( cl_feb_prev.as_of_date, pd.Timestamp(feb_prev, tz='UTC') ) feb_prev = pd.Timestamp('2005-02-01', tz='UTC') cl_feb_prev = cl.as_of(feb_prev) self.assertEqual( cl_feb_prev.as_of_date, pd.Timestamp(feb_prev, tz='UTC') ) # The chain as of the current dt should always be the same as # the defualt chain. self.assertEqual(cl[0], cl.as_of(pd.Timestamp('2005-12-01'))[0]) def test_offset(self): """ Test the offset method of FutureChain. """ cl = FutureChain(self.asset_finder, lambda: '2005-12-01', 'CL') # Test that an offset forward sets as_of_date as expected self.assertEqual( cl.offset('3 days').as_of_date, cl.as_of_date + pd.Timedelta(days=3) ) # Test that an offset backward sets as_of_date as expected, with # time delta given as str, datetime.timedelta, and pd.Timedelta. self.assertEqual( cl.offset('-1000 days').as_of_date, cl.as_of_date + pd.Timedelta(days=-1000) ) self.assertEqual( cl.offset(timedelta(days=-1000)).as_of_date, cl.as_of_date + pd.Timedelta(days=-1000) ) self.assertEqual( cl.offset(pd.Timedelta('-1000 days')).as_of_date, cl.as_of_date + pd.Timedelta(days=-1000) ) # An offset of zero should give the original chain. self.assertEqual(cl[0], cl.offset(0)[0]) self.assertEqual(cl[0], cl.offset("0 days")[0]) # A string that doesn't represent a time delta should raise a # ValueError. with self.assertRaises(ValueError): cl.offset("blah")