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95 lines
2.6 KiB
Python
95 lines
2.6 KiB
Python
from datetime import timedelta
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from collections import defaultdict
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from unittest2 import TestCase
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import zipline.test.factory as factory
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import zipline.util as qutil
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from zipline.finance.vwap import DailyVWAP, VWAPTransform, DailyVWAP_df
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from zipline.finance.returns import ReturnsFromPriorClose
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from zipline.finance.movingaverage import MovingAverage
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from zipline.lines import SimulatedTrading
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from zipline.simulator import AddressAllocator, Simulator
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allocator = AddressAllocator(1000)
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class ZiplineWithTransformsTestCase(TestCase):
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leased_sockets = defaultdict(list)
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def setUp(self):
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qutil.configure_logging()
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self.trading_environment = factory.create_trading_environment()
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self.zipline_test_config = {
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'allocator':allocator,
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'sid':133
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}
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def test_vwap_tnfm(self):
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zipline = SimulatedTrading.create_test_zipline(
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**self.zipline_test_config
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)
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vwap = VWAPTransform("vwap_10", daycount=10)
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zipline.add_transform(vwap)
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zipline.simulate(blocking=True)
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self.assertTrue(zipline.sim.ready())
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self.assertFalse(zipline.sim.exception)
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class FinanceTransformsTestCase(TestCase):
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def setUp(self):
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self.trading_environment = factory.create_trading_environment()
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def test_vwap(self):
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trade_history = factory.create_trade_history(
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133,
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[10.0, 10.0, 10.0, 11.0],
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[100, 100, 100, 300],
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timedelta(days=1),
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self.trading_environment
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)
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vwap = DailyVWAP(daycount=2)
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for trade in trade_history:
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vwap.update(trade)
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self.assertEqual(vwap.vwap, 10.75)
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def test_returns(self):
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trade_history = factory.create_trade_history(
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133,
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[10.0, 10.0, 10.0, 11.0],
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[100, 100, 100, 300],
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timedelta(days=1),
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self.trading_environment
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)
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returns = ReturnsFromPriorClose()
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for trade in trade_history:
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returns.update(trade)
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self.assertEqual(returns.returns, .1)
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def test_moving_average(self):
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trade_history = factory.create_trade_history(
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133,
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[10.0, 10.0, 10.0, 11.0],
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[100, 100, 100, 300],
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timedelta(days=1),
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self.trading_environment
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)
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ma = MovingAverage(daycount=2)
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for trade in trade_history:
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ma.update(trade)
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self.assertEqual(ma.average, 10.5)
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