mirror of
https://github.com/wassname/catalyst.git
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Eddie Hebert
5338c8e611
Add new method to BcolzDailyBarReader, `spot_price` which returns the unadjusted price for the specified day and sid.
304 lines
10 KiB
Python
304 lines
10 KiB
Python
#
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# Copyright 2015 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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from unittest import TestCase
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from nose_parameterized import parameterized
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from numpy import (
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arange,
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datetime64,
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)
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from numpy.testing import (
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assert_array_equal,
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)
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from pandas import (
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DataFrame,
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DatetimeIndex,
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Timestamp,
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)
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from pandas.util.testing import assert_index_equal
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from testfixtures import TempDirectory
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from zipline.pipeline.loaders.synthetic import (
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SyntheticDailyBarWriter,
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)
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from zipline.data.us_equity_pricing import (
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BcolzDailyBarReader,
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NoDataOnDate
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)
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from zipline.finance.trading import TradingEnvironment
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from zipline.pipeline.data import USEquityPricing
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from zipline.utils.test_utils import (
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seconds_to_timestamp,
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)
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TEST_CALENDAR_START = Timestamp('2015-06-01', tz='UTC')
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TEST_CALENDAR_STOP = Timestamp('2015-06-30', tz='UTC')
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TEST_QUERY_START = Timestamp('2015-06-10', tz='UTC')
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TEST_QUERY_STOP = Timestamp('2015-06-19', tz='UTC')
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# One asset for each of the cases enumerated in load_raw_arrays_from_bcolz.
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EQUITY_INFO = DataFrame(
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[
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# 1) The equity's trades start and end before query.
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{'start_date': '2015-06-01', 'end_date': '2015-06-05'},
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# 2) The equity's trades start and end after query.
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{'start_date': '2015-06-22', 'end_date': '2015-06-30'},
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# 3) The equity's data covers all dates in range.
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{'start_date': '2015-06-02', 'end_date': '2015-06-30'},
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# 4) The equity's trades start before the query start, but stop
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# before the query end.
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{'start_date': '2015-06-01', 'end_date': '2015-06-15'},
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# 5) The equity's trades start and end during the query.
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{'start_date': '2015-06-12', 'end_date': '2015-06-18'},
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# 6) The equity's trades start during the query, but extend through
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# the whole query.
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{'start_date': '2015-06-15', 'end_date': '2015-06-25'},
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],
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index=arange(1, 7),
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columns=['start_date', 'end_date'],
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).astype(datetime64)
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TEST_QUERY_ASSETS = EQUITY_INFO.index
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class BcolzDailyBarTestCase(TestCase):
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@classmethod
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def setUpClass(cls):
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all_trading_days = TradingEnvironment().trading_days
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cls.trading_days = all_trading_days[
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all_trading_days.get_loc(TEST_CALENDAR_START):
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all_trading_days.get_loc(TEST_CALENDAR_STOP) + 1
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]
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def setUp(self):
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self.asset_info = EQUITY_INFO
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self.writer = SyntheticDailyBarWriter(
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self.asset_info,
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self.trading_days,
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)
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self.dir_ = TempDirectory()
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self.dir_.create()
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self.dest = self.dir_.getpath('daily_equity_pricing.bcolz')
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def tearDown(self):
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self.dir_.cleanup()
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@property
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def assets(self):
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return self.asset_info.index
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def trading_days_between(self, start, end):
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return self.trading_days[self.trading_days.slice_indexer(start, end)]
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def asset_start(self, asset_id):
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return self.writer.asset_start(asset_id)
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def asset_end(self, asset_id):
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return self.writer.asset_end(asset_id)
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def dates_for_asset(self, asset_id):
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start, end = self.asset_start(asset_id), self.asset_end(asset_id)
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return self.trading_days_between(start, end)
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def test_write_ohlcv_content(self):
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result = self.writer.write(self.dest, self.trading_days, self.assets)
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for column in SyntheticDailyBarWriter.OHLCV:
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idx = 0
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data = result[column][:]
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multiplier = 1 if column == 'volume' else 1000
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for asset_id in self.assets:
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for date in self.dates_for_asset(asset_id):
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self.assertEqual(
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SyntheticDailyBarWriter.expected_value(
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asset_id,
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date,
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column
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) * multiplier,
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data[idx],
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)
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idx += 1
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self.assertEqual(idx, len(data))
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def test_write_day_and_id(self):
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result = self.writer.write(self.dest, self.trading_days, self.assets)
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idx = 0
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ids = result['id']
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days = result['day']
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for asset_id in self.assets:
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for date in self.dates_for_asset(asset_id):
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self.assertEqual(ids[idx], asset_id)
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self.assertEqual(date, seconds_to_timestamp(days[idx]))
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idx += 1
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def test_write_attrs(self):
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result = self.writer.write(self.dest, self.trading_days, self.assets)
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expected_first_row = {
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'1': 0,
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'2': 5, # Asset 1 has 5 trading days.
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'3': 12, # Asset 2 has 7 trading days.
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'4': 33, # Asset 3 has 21 trading days.
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'5': 44, # Asset 4 has 11 trading days.
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'6': 49, # Asset 5 has 5 trading days.
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}
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expected_last_row = {
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'1': 4,
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'2': 11,
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'3': 32,
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'4': 43,
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'5': 48,
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'6': 57, # Asset 6 has 9 trading days.
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}
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expected_calendar_offset = {
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'1': 0, # Starts on 6-01, 1st trading day of month.
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'2': 15, # Starts on 6-22, 16th trading day of month.
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'3': 1, # Starts on 6-02, 2nd trading day of month.
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'4': 0, # Starts on 6-01, 1st trading day of month.
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'5': 9, # Starts on 6-12, 10th trading day of month.
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'6': 10, # Starts on 6-15, 11th trading day of month.
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}
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self.assertEqual(result.attrs['first_row'], expected_first_row)
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self.assertEqual(result.attrs['last_row'], expected_last_row)
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self.assertEqual(
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result.attrs['calendar_offset'],
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expected_calendar_offset,
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)
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assert_index_equal(
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self.trading_days,
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DatetimeIndex(result.attrs['calendar'], tz='UTC'),
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)
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def _check_read_results(self, columns, assets, start_date, end_date):
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table = self.writer.write(self.dest, self.trading_days, self.assets)
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reader = BcolzDailyBarReader(table)
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results = reader.load_raw_arrays(columns, start_date, end_date, assets)
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dates = self.trading_days_between(start_date, end_date)
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for column, result in zip(columns, results):
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assert_array_equal(
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result,
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self.writer.expected_values_2d(
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dates,
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assets,
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column.name,
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)
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)
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@parameterized.expand([
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([USEquityPricing.open],),
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([USEquityPricing.close, USEquityPricing.volume],),
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([USEquityPricing.volume, USEquityPricing.high, USEquityPricing.low],),
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(USEquityPricing.columns,),
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])
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def test_read(self, columns):
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self._check_read_results(
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columns,
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self.assets,
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TEST_QUERY_START,
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TEST_QUERY_STOP,
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)
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def test_start_on_asset_start(self):
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"""
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Test loading with queries that starts on the first day of each asset's
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lifetime.
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"""
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columns = [USEquityPricing.high, USEquityPricing.volume]
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for asset in self.assets:
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self._check_read_results(
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columns,
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self.assets,
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start_date=self.asset_start(asset),
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end_date=self.trading_days[-1],
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)
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def test_start_on_asset_end(self):
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"""
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Test loading with queries that start on the last day of each asset's
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lifetime.
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"""
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columns = [USEquityPricing.close, USEquityPricing.volume]
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for asset in self.assets:
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self._check_read_results(
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columns,
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self.assets,
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start_date=self.asset_end(asset),
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end_date=self.trading_days[-1],
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)
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def test_end_on_asset_start(self):
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"""
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Test loading with queries that end on the first day of each asset's
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lifetime.
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"""
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columns = [USEquityPricing.close, USEquityPricing.volume]
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for asset in self.assets:
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self._check_read_results(
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columns,
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self.assets,
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start_date=self.trading_days[0],
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end_date=self.asset_start(asset),
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)
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def test_end_on_asset_end(self):
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"""
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Test loading with queries that end on the last day of each asset's
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lifetime.
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"""
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columns = [USEquityPricing.close, USEquityPricing.volume]
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for asset in self.assets:
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self._check_read_results(
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columns,
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self.assets,
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start_date=self.trading_days[0],
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end_date=self.asset_end(asset),
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)
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def test_unadjusted_spot_price(self):
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table = self.writer.write(self.dest, self.trading_days, self.assets)
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reader = BcolzDailyBarReader(table)
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# At beginning
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price = reader.spot_price(1, Timestamp('2015-06-01', tz='UTC'),
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'close')
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# Synthetic writes price for date.
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self.assertEqual(135630.0, price)
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# Middle
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price = reader.spot_price(1, Timestamp('2015-06-02', tz='UTC'),
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'close')
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self.assertEqual(135631.0, price)
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# End
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price = reader.spot_price(1, Timestamp('2015-06-05', tz='UTC'),
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'close')
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self.assertEqual(135634.0, price)
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# Another sid at beginning.
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price = reader.spot_price(2, Timestamp('2015-06-22', tz='UTC'),
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'close')
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self.assertEqual(235651.0, price)
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def test_unadjusted_spot_price_no_data(self):
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table = self.writer.write(self.dest, self.trading_days, self.assets)
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reader = BcolzDailyBarReader(table)
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# before
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with self.assertRaises(NoDataOnDate):
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reader.spot_price(2, Timestamp('2015-06-08', tz='UTC'), 'close')
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# after
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with self.assertRaises(NoDataOnDate):
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reader.spot_price(4, Timestamp('2015-06-16', tz='UTC'), 'close')
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