mirror of
https://github.com/wassname/catalyst.git
synced 2026-06-29 00:53:42 +08:00
Eddie Hebert
16fd6681a6
More documentation to follow in release notes. Based on lazy-mainline branch, see for more details. Also-By: Jean Bredeche <jean@quantopian.com> Also-By: Andrew Liang <aliang@quantopian.com> Also-By: Abhijeet Kalyan <akalyan@quantopian.com>
84 lines
3.2 KiB
Python
84 lines
3.2 KiB
Python
#
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# Copyright 2014 Quantopian, Inc.
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#
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# Licensed under the Apache License, Version 2.0 (the "License");
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# you may not use this file except in compliance with the License.
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# You may obtain a copy of the License at
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#
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# http://www.apache.org/licenses/LICENSE-2.0
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#
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# Unless required by applicable law or agreed to in writing, software
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# distributed under the License is distributed on an "AS IS" BASIS,
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# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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# See the License for the specific language governing permissions and
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# limitations under the License.
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import pandas as pd
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from mock import patch
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from nose_parameterized import parameterized
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from six.moves import range
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from unittest import TestCase
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from zipline import TradingAlgorithm
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from zipline.sources.benchmark_source import BenchmarkSource
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from zipline.test_algorithms import NoopAlgorithm
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from zipline.utils import factory
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from zipline.testing.core import FakeDataPortal
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class BeforeTradingAlgorithm(TradingAlgorithm):
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def __init__(self, *args, **kwargs):
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self.before_trading_at = []
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super(BeforeTradingAlgorithm, self).__init__(*args, **kwargs)
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def before_trading_start(self, data):
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self.before_trading_at.append(self.datetime)
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def handle_data(self, data):
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pass
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FREQUENCIES = {'daily': 0, 'minute': 1} # daily is less frequent than minute
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class TestTradeSimulation(TestCase):
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def fake_minutely_benchmark(self, dt):
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return 0.01
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def test_minutely_emissions_generate_performance_stats_for_last_day(self):
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params = factory.create_simulation_parameters(num_days=1,
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data_frequency='minute',
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emission_rate='minute')
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with patch.object(BenchmarkSource, "get_value",
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self.fake_minutely_benchmark):
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algo = NoopAlgorithm(sim_params=params)
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algo.run(FakeDataPortal())
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self.assertEqual(algo.perf_tracker.day_count, 1.0)
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@parameterized.expand([('%s_%s_%s' % (num_days, freq, emission_rate),
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num_days, freq, emission_rate)
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for freq in FREQUENCIES
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for emission_rate in FREQUENCIES
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for num_days in range(1, 4)
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if FREQUENCIES[emission_rate] <= FREQUENCIES[freq]])
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def test_before_trading_start(self, test_name, num_days, freq,
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emission_rate):
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params = factory.create_simulation_parameters(
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num_days=num_days, data_frequency=freq,
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emission_rate=emission_rate)
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def fake_benchmark(self, dt):
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return 0.01
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with patch.object(BenchmarkSource, "get_value",
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self.fake_minutely_benchmark):
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algo = BeforeTradingAlgorithm(sim_params=params)
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algo.run(FakeDataPortal())
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self.assertEqual(algo.perf_tracker.day_count, num_days)
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self.assertTrue(params.trading_days.equals(
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pd.DatetimeIndex(algo.before_trading_at)),
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"Expected %s but was %s."
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% (params.trading_days, algo.before_trading_at))
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