mirror of
https://github.com/wassname/catalyst.git
synced 2026-06-28 02:44:59 +08:00
Thomas Wiecki
76 lines
3.0 KiB
Python
76 lines
3.0 KiB
Python
#
|
|
# Copyright 2012 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 pandas as pd
|
|
import pytz
|
|
from itertools import cycle
|
|
|
|
from unittest import TestCase
|
|
|
|
import zipline.utils.factory as factory
|
|
from zipline.sources import DataFrameSource, DataPanelSource
|
|
|
|
|
|
class TestDataFrameSource(TestCase):
|
|
def test_df_source(self):
|
|
source, df = factory.create_test_df_source()
|
|
assert isinstance(source.start, pd.lib.Timestamp)
|
|
assert isinstance(source.end, pd.lib.Timestamp)
|
|
|
|
for expected_dt, expected_price in df.iterrows():
|
|
sid0 = source.next()
|
|
|
|
assert expected_dt == sid0.dt
|
|
assert expected_price[0] == sid0.price
|
|
|
|
def test_df_sid_filtering(self):
|
|
_, df = factory.create_test_df_source()
|
|
source = DataFrameSource(df, sids=[0])
|
|
assert 1 not in [event.sid for event in source], \
|
|
"DataFrameSource should only stream selected sid 0, not sid 1."
|
|
|
|
def test_panel_source(self):
|
|
source, panel = factory.create_test_panel_source()
|
|
assert isinstance(source.start, pd.lib.Timestamp)
|
|
assert isinstance(source.end, pd.lib.Timestamp)
|
|
for event in source:
|
|
self.assertTrue('sid' in event)
|
|
self.assertTrue('arbitrary' in event)
|
|
self.assertTrue('volume' in event)
|
|
self.assertTrue('price' in event)
|
|
self.assertEquals(event['arbitrary'], 1.)
|
|
self.assertEquals(event['volume'], 1000)
|
|
self.assertEquals(event['sid'], 0)
|
|
self.assertTrue(isinstance(event['volume'], int))
|
|
self.assertTrue(isinstance(event['arbitrary'], float))
|
|
|
|
def test_yahoo_bars_to_panel_source(self):
|
|
stocks = ['AAPL', 'GE']
|
|
start = pd.datetime(1993, 1, 1, 0, 0, 0, 0, pytz.utc)
|
|
end = pd.datetime(2002, 1, 1, 0, 0, 0, 0, pytz.utc)
|
|
data = factory.load_bars_from_yahoo(stocks=stocks,
|
|
indexes={},
|
|
start=start,
|
|
end=end)
|
|
|
|
check_fields = ['sid', 'open', 'high', 'low', 'close',
|
|
'volume', 'price']
|
|
source = DataPanelSource(data)
|
|
stocks_iter = cycle(stocks)
|
|
for event in source:
|
|
for check_field in check_fields:
|
|
self.assertIn(check_field, event)
|
|
self.assertTrue(isinstance(event['volume'], (int, long)))
|
|
self.assertEqual(stocks_iter.next(), event['sid'])
|