catalyst/tests/test_serialization.py

#
# 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.

import datetime
import pytz

from nose_parameterized import parameterized
from unittest import TestCase

from zipline.finance.blotter import Blotter, Order
from zipline.finance.commission import PerShare, PerTrade, PerDollar
from zipline.finance.performance.period import PerformancePeriod
from zipline.finance.performance.position import Position
from zipline.finance.performance.tracker import PerformanceTracker
from zipline.finance.risk.cumulative import RiskMetricsCumulative
from zipline.finance.risk.period import RiskMetricsPeriod
from zipline.finance.risk.report import RiskReport
from zipline.finance.slippage import (
    FixedSlippage,
    Transaction,
    VolumeShareSlippage
)
from zipline.protocol import Account
from zipline.protocol import Portfolio
from zipline.protocol import Position as ProtocolPosition


from zipline.finance.trading import SimulationParameters

from zipline.utils import factory

from six import iteritems

sim_params_daily = SimulationParameters(
    datetime.datetime(2013, 6, 19, tzinfo=pytz.UTC),
    datetime.datetime(2013, 6, 19, tzinfo=pytz.UTC),
    10000,
    emission_rate='daily')
sim_params_minute = SimulationParameters(
    datetime.datetime(2013, 6, 19, tzinfo=pytz.UTC),
    datetime.datetime(2013, 6, 19, tzinfo=pytz.UTC),
    10000,
    emission_rate='minute')
returns = factory.create_returns_from_list(
    [1.0], sim_params_daily)


def gather_bad_dicts(state):
    bad = []
    for k, v in iteritems(state):
        if not isinstance(v, dict):
            continue
        if type(v) != dict:
            bad.append((k, v))
        bad.extend(gather_bad_dicts(v))
    return bad


def stringify_cases(cases, func=None):
    # get better test case names
    results = []
    if func is None:
        func = lambda case: case[0].__name__
    for case in cases:
        new_case = list(case)
        key = func(case)
        new_case.insert(0, key)
        results.append(new_case)
    return results


class SerializationTestCase(TestCase):

    object_serialization_cases = stringify_cases([
        (Blotter, (), 'repr'),
        (Order, (datetime.datetime(2013, 6, 19), 8554, 100), 'dict'),
        (PerShare, (), 'dict'),
        (PerTrade, (), 'dict'),
        (PerDollar, (), 'dict'),
        (PerformancePeriod, (10000,), 'to_dict'),
        (Position, (8554,), 'dict'),
        (PerformanceTracker, (sim_params_daily,), 'to_dict'),
        (PerformanceTracker, (sim_params_minute,), 'to_dict'),
        (RiskMetricsCumulative, (sim_params_daily,), 'to_dict'),
        (RiskMetricsCumulative, (sim_params_minute,), 'to_dict'),
        (RiskMetricsPeriod,
            (returns.index[0], returns.index[0], returns), 'to_dict'),
        (RiskReport, (returns, sim_params_daily), 'to_dict'),
        (RiskReport, (returns, sim_params_minute), 'to_dict'),
        (FixedSlippage, (), 'dict'),
        (Transaction,
            (8554, 10, datetime.datetime(2013, 6, 19), 100, "0000"), 'dict'),
        (VolumeShareSlippage, (), 'dict'),
        (Account, (), 'dict'),
        (Portfolio, (), 'dict'),
        (ProtocolPosition, (8554,), 'dict')
    ])

    @parameterized.expand(object_serialization_cases)
    def test_object_serialization(self,
                                  _,
                                  cls,
                                  initargs,
                                  comparison_method='dict'):

        obj = cls(*initargs)
        state = obj.__getstate__()

        bad_dicts = gather_bad_dicts(state)
        bad_template = "type({0}) == {1}".format
        bad_msgs = [bad_template(k, type(v)) for k, v in bad_dicts]
        msg = "Only support bare dicts. " + ', '.join(bad_msgs)
        self.assertEqual(len(bad_dicts), 0, msg)
        # no state should have a dict subclass. Only regular PyDict

        if hasattr(obj, '__getinitargs__'):
            initargs = obj.__getinitargs__()
        else:
            initargs = None
        if hasattr(obj, '__getnewargs__'):
            newargs = obj.__getnewargs__()
        else:
            newargs = None

        if newargs is not None:
            obj2 = cls.__new__(cls, *newargs)
        else:
            obj2 = cls.__new__(cls)
        if initargs is not None:
            obj2.__init__(*initargs)
        obj2.__setstate__(state)

        if comparison_method == 'repr':
            self.assertEqual(obj.__repr__(), obj2.__repr__())
        elif comparison_method == 'to_dict':
            self.assertEqual(obj.to_dict(), obj2.to_dict())
        else:
            self.assertEqual(obj.__dict__, obj2.__dict__)