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301 lines
10 KiB
Python
301 lines
10 KiB
Python
#
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# Copyright 2016 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 os.path import (
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abspath,
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dirname,
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join,
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)
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from unittest import TestCase
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import pandas as pd
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import pytz
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from pandas import (
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read_csv,
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datetime,
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Timestamp,
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Timedelta,
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date_range,
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)
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from pandas.util.testing import assert_frame_equal
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from zipline.utils.calendars.nyse_exchange_calendar import NYSEExchangeCalendar
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class ExchangeCalendarTestBase(object):
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# Override in subclasses.
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answer_key_filename = None
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calendar_class = None
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@staticmethod
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def load_answer_key(filename):
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"""
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Load a CSV from tests/resources/calendars/{filename}.csv
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"""
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fullpath = join(
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dirname(abspath(__file__)),
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'resources',
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'calendars',
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filename + '.csv',
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)
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return read_csv(
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fullpath,
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index_col=0,
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# NOTE: Merely passing parse_dates=True doesn't cause pandas to set
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# the dtype correctly, and passing all reasonable inputs to the
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# dtype kwarg cause read_csv to barf.
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parse_dates=[0, 1, 2],
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).tz_localize('UTC')
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@classmethod
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def setupClass(cls):
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cls.answers = cls.load_answer_key(cls.answer_key_filename)
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cls.start_date = cls.answers.index[0]
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cls.end_date = cls.answers.index[-1]
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cls.calendar = cls.calendar_class(cls.start_date, cls.end_date)
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def test_calculated_against_csv(self):
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assert_frame_equal(self.calendar.schedule, self.answers)
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def test_is_open_on_minute(self):
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for market_minute in self.answers.market_open:
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market_minute_utc = market_minute.tz_localize('UTC')
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# The exchange should be classified as open on its first minute
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self.assertTrue(
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self.calendar.is_open_on_minute(market_minute_utc)
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)
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# Decrement minute by one, to minute where the market was not open
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pre_market = market_minute_utc - pd.Timedelta(minutes=1)
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self.assertFalse(
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self.calendar.is_open_on_minute(pre_market)
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)
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def test_open_and_close(self):
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for index, row in self.answers.iterrows():
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o_and_c = self.calendar.open_and_close(index)
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self.assertEqual(o_and_c[0],
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row['market_open'].tz_localize('UTC'))
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self.assertEqual(o_and_c[1],
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row['market_close'].tz_localize('UTC'))
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def test_no_nones_from_open_and_close(self):
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"""
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Ensures that, for all minutes in a week, the open_and_close method
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never returns a tuple of Nones.
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"""
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start_week = Timestamp('11/18/2012 12:00AM', tz='EST')
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end_week = start_week + Timedelta(days=7)
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minutes_in_week = date_range(start_week, end_week, freq='Min')
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for dt in minutes_in_week:
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open, close = self.calendar.open_and_close(dt)
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self.assertIsNotNone(open, "Open value is None")
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self.assertIsNotNone(close, "Close value is None")
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# def test_minutes_for_date(self):
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# for date in self.answers.index:
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# mins_for_date = self.calendar.minutes_for_date(date)
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def test_minute_window(self):
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for open in self.answers.market_open:
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open_tz = open.tz_localize('UTC')
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window = self.calendar.trading_minute_window(open_tz, 390, step=1)
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self.assertEqual(len(window), 390)
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class NYSECalendarTestCase(ExchangeCalendarTestBase, TestCase):
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answer_key_filename = 'nyse'
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calendar_class = NYSEExchangeCalendar
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def test_newyears(self):
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"""
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Check whether the ExchangeCalendar contains certain dates.
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"""
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# January 2012
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# Su Mo Tu We Th Fr Sa
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# 1 2 3 4 5 6 7
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# 8 9 10 11 12 13 14
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# 15 16 17 18 19 20 21
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# 22 23 24 25 26 27 28
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# 29 30 31
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start_dt = Timestamp('1/1/12', tz='UTC')
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end_dt = Timestamp('12/31/13', tz='UTC')
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trading_days = self.calendar.trading_days(start=start_dt, end=end_dt)
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day_after_new_years_sunday = datetime(
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2012, 1, 2, tzinfo=pytz.utc)
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self.assertNotIn(day_after_new_years_sunday,
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trading_days.index,
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"""
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If NYE falls on a weekend, {0} the Monday after is a holiday.
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""".strip().format(day_after_new_years_sunday)
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)
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first_trading_day_after_new_years_sunday = datetime(
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2012, 1, 3, tzinfo=pytz.utc)
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self.assertIn(first_trading_day_after_new_years_sunday,
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trading_days.index,
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"""
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If NYE falls on a weekend, {0} the Tuesday after is the first trading day.
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""".strip().format(first_trading_day_after_new_years_sunday)
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)
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# January 2013
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# Su Mo Tu We Th Fr Sa
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# 1 2 3 4 5
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# 6 7 8 9 10 11 12
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# 13 14 15 16 17 18 19
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# 20 21 22 23 24 25 26
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# 27 28 29 30 31
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new_years_day = datetime(
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2013, 1, 1, tzinfo=pytz.utc)
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self.assertNotIn(new_years_day,
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trading_days.index,
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"""
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If NYE falls during the week, e.g. {0}, it is a holiday.
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""".strip().format(new_years_day)
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)
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first_trading_day_after_new_years = datetime(
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2013, 1, 2, tzinfo=pytz.utc)
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self.assertIn(first_trading_day_after_new_years,
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trading_days.index,
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"""
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If the day after NYE falls during the week, {0} \
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is the first trading day.
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""".strip().format(first_trading_day_after_new_years)
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)
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def test_thanksgiving(self):
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"""
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Check ExchangeCalendar Thanksgiving dates.
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"""
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# November 2005
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# Su Mo Tu We Th Fr Sa
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# 1 2 3 4 5
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# 6 7 8 9 10 11 12
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# 13 14 15 16 17 18 19
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# 20 21 22 23 24 25 26
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# 27 28 29 30
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start_dt = Timestamp('1/1/05', tz='UTC')
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end_dt = Timestamp('12/31/12', tz='UTC')
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trading_days = self.calendar.trading_days(start=start_dt,
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end=end_dt)
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thanksgiving_with_four_weeks = datetime(
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2005, 11, 24, tzinfo=pytz.utc)
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self.assertNotIn(thanksgiving_with_four_weeks,
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trading_days.index,
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"""
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If Nov has 4 Thursdays, {0} Thanksgiving is the last Thursady.
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""".strip().format(thanksgiving_with_four_weeks)
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)
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# November 2006
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# Su Mo Tu We Th Fr Sa
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# 1 2 3 4
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# 5 6 7 8 9 10 11
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# 12 13 14 15 16 17 18
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# 19 20 21 22 23 24 25
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# 26 27 28 29 30
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thanksgiving_with_five_weeks = datetime(
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2006, 11, 23, tzinfo=pytz.utc)
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self.assertNotIn(thanksgiving_with_five_weeks,
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trading_days.index,
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"""
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If Nov has 5 Thursdays, {0} Thanksgiving is not the last week.
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""".strip().format(thanksgiving_with_five_weeks)
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)
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first_trading_day_after_new_years_sunday = datetime(
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2012, 1, 3, tzinfo=pytz.utc)
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self.assertIn(first_trading_day_after_new_years_sunday,
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trading_days.index,
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"""
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If NYE falls on a weekend, {0} the Tuesday after is the first trading day.
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""".strip().format(first_trading_day_after_new_years_sunday)
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)
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def test_day_after_thanksgiving(self):
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# November 2012
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# Su Mo Tu We Th Fr Sa
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# 1 2 3
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# 4 5 6 7 8 9 10
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# 11 12 13 14 15 16 17
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# 18 19 20 21 22 23 24
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# 25 26 27 28 29 30
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fourth_friday_open = Timestamp('11/23/2012 11:00AM', tz='EST')
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fourth_friday = Timestamp('11/23/2012 3:00PM', tz='EST')
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self.assertTrue(self.calendar.is_open_on_minute(fourth_friday_open))
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self.assertFalse(self.calendar.is_open_on_minute(fourth_friday))
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# November 2013
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# Su Mo Tu We Th Fr Sa
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# 1 2
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# 3 4 5 6 7 8 9
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# 10 11 12 13 14 15 16
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# 17 18 19 20 21 22 23
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# 24 25 26 27 28 29 30
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fifth_friday_open = Timestamp('11/29/2013 11:00AM', tz='EST')
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fifth_friday = Timestamp('11/29/2013 3:00PM', tz='EST')
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self.assertTrue(self.calendar.is_open_on_minute(fifth_friday_open))
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self.assertFalse(self.calendar.is_open_on_minute(fifth_friday))
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def test_early_close_independence_day_thursday(self):
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"""
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Until 2013, the market closed early the Friday after an
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Independence Day on Thursday. Since then, the early close is on
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Wednesday.
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"""
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# July 2002
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# Su Mo Tu We Th Fr Sa
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# 1 2 3 4 5 6
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# 7 8 9 10 11 12 13
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# 14 15 16 17 18 19 20
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# 21 22 23 24 25 26 27
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# 28 29 30 31
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wednesday_before = Timestamp('7/3/2002 3:00PM', tz='EST')
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friday_after_open = Timestamp('7/5/2002 11:00AM', tz='EST')
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friday_after = Timestamp('7/5/2002 3:00PM', tz='EST')
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self.assertTrue(self.calendar.is_open_on_minute(wednesday_before))
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self.assertTrue(self.calendar.is_open_on_minute(friday_after_open))
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self.assertFalse(self.calendar.is_open_on_minute(friday_after))
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# July 2013
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# Su Mo Tu We Th Fr Sa
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# 1 2 3 4 5 6
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# 7 8 9 10 11 12 13
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# 14 15 16 17 18 19 20
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# 21 22 23 24 25 26 27
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# 28 29 30 31
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wednesday_before = Timestamp('7/3/2013 3:00PM', tz='EST')
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friday_after_open = Timestamp('7/5/2013 11:00AM', tz='EST')
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friday_after = Timestamp('7/5/2013 3:00PM', tz='EST')
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self.assertFalse(self.calendar.is_open_on_minute(wednesday_before))
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self.assertTrue(self.calendar.is_open_on_minute(friday_after_open))
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self.assertTrue(self.calendar.is_open_on_minute(friday_after))
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