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jfkirk
c8304e8601
Conflicts: tests/data/test_minute_bars.py tests/data/test_us_equity_pricing.py tests/finance/test_slippage.py tests/pipeline/test_engine.py tests/pipeline/test_us_equity_pricing_loader.py tests/serialization_cases.py tests/test_algorithm.py tests/test_assets.py tests/test_bar_data.py tests/test_benchmark.py tests/test_exception_handling.py tests/test_fetcher.py tests/test_finance.py tests/test_history.py tests/test_perf_tracking.py tests/test_security_list.py tests/utils/test_events.py zipline/algorithm.py zipline/data/data_portal.py zipline/data/us_equity_loader.py zipline/errors.py zipline/finance/trading.py zipline/testing/core.py zipline/utils/events.py
59 lines
2.0 KiB
Python
59 lines
2.0 KiB
Python
from unittest import TestCase
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from pandas import (
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Timestamp,
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date_range,
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)
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from zipline.utils.calendars import (
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get_calendar,
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ExchangeTradingSchedule,
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normalize_date,
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)
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class TestExchangeTradingSchedule(TestCase):
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@classmethod
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def setUpClass(cls):
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cls.nyse_cal = get_calendar('NYSE')
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cls.nyse_exchange_schedule = ExchangeTradingSchedule(cal=cls.nyse_cal)
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def test_nyse_data_availability_time(self):
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"""
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Ensure that the NYSE schedule's data availability time is the market
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open.
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"""
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# This is a time on the day after Thanksgiving when the market was open
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test_dt = Timestamp('11/23/2012 11:00AM', tz='EST')
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test_date = normalize_date(test_dt)
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desired_data_time = Timestamp('11/23/2012 9:31AM', tz='EST')
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# Get the data availability time from the NYSE schedule
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data_time = self.nyse_exchange_schedule.data_availability_time(
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date=test_date
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)
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# Check the schedule answer against the hard-coded answer
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self.assertEqual(data_time, desired_data_time,
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"Data availability time is not the market open")
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def test_nyse_execution_time(self):
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"""
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Runs a series of times through both the NYSE calendar and NYSE
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schedule, ensuring that the schedule and calendar agree.
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"""
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# Get all of the minutes in a 24-hour day
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start_range = Timestamp('11/23/2012 12:00AM', tz='EST')
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end_range = Timestamp('11/23/2012 11:59PM', tz='EST')
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time_range = date_range(start_range, end_range, freq='Min')
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for dt in time_range:
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cal_open = self.nyse_cal.is_open_on_minute(dt)
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sched_exec = self.nyse_exchange_schedule.is_executing_on_minute(dt)
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self.assertEqual(
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cal_open, sched_exec,
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"Mismatch between schedule: %s and calendar: %s at time %s"
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% (cal_open, sched_exec, dt)
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)
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