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https://github.com/wassname/catalyst.git
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twiecki
131 lines
5.3 KiB
Python
131 lines
5.3 KiB
Python
#
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# Copyright 2013 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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import pandas as pd
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import pytz
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from itertools import cycle
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import numpy as np
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from six import integer_types
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from unittest import TestCase
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import zipline.utils.factory as factory
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from zipline.sources import (DataFrameSource,
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DataPanelSource,
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RandomWalkSource)
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from zipline.utils import tradingcalendar as calendar_nyse
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class TestDataFrameSource(TestCase):
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def test_df_source(self):
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source, df = factory.create_test_df_source()
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assert isinstance(source.start, pd.lib.Timestamp)
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assert isinstance(source.end, pd.lib.Timestamp)
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for expected_dt, expected_price in df.iterrows():
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sid0 = next(source)
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assert expected_dt == sid0.dt
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assert expected_price[0] == sid0.price
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def test_df_sid_filtering(self):
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_, df = factory.create_test_df_source()
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source = DataFrameSource(df, sids=[0])
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assert 1 not in [event.sid for event in source], \
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"DataFrameSource should only stream selected sid 0, not sid 1."
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def test_panel_source(self):
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source, panel = factory.create_test_panel_source()
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assert isinstance(source.start, pd.lib.Timestamp)
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assert isinstance(source.end, pd.lib.Timestamp)
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for event in source:
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self.assertTrue('sid' in event)
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self.assertTrue('arbitrary' in event)
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self.assertTrue('volume' in event)
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self.assertTrue('price' in event)
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self.assertEquals(event['arbitrary'], 1.)
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self.assertEquals(event['sid'], 0)
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self.assertTrue(isinstance(event['volume'], int))
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self.assertTrue(isinstance(event['arbitrary'], float))
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def test_yahoo_bars_to_panel_source(self):
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stocks = ['AAPL', 'GE']
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start = pd.datetime(1993, 1, 1, 0, 0, 0, 0, pytz.utc)
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end = pd.datetime(2002, 1, 1, 0, 0, 0, 0, pytz.utc)
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data = factory.load_bars_from_yahoo(stocks=stocks,
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indexes={},
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start=start,
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end=end)
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check_fields = ['sid', 'open', 'high', 'low', 'close',
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'volume', 'price']
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source = DataPanelSource(data)
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stocks_iter = cycle(stocks)
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for event in source:
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for check_field in check_fields:
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self.assertIn(check_field, event)
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self.assertTrue(isinstance(event['volume'], (integer_types)))
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self.assertEqual(next(stocks_iter), event['sid'])
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class TestRandomWalkSource(TestCase):
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def test_minute(self):
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np.random.seed(123)
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start_prices = {0: 100,
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1: 500}
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start = pd.Timestamp('1990-01-01', tz='UTC')
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end = pd.Timestamp('1991-01-01', tz='UTC')
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source = RandomWalkSource(start_prices=start_prices,
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calendar=calendar_nyse, start=start,
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end=end)
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self.assertIsInstance(source.start, pd.lib.Timestamp)
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self.assertIsInstance(source.end, pd.lib.Timestamp)
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for event in source:
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self.assertIn(event.sid, start_prices.keys())
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self.assertIn(event.dt.replace(minute=0, hour=0),
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calendar_nyse.trading_days)
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self.assertGreater(event.dt, start)
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self.assertLess(event.dt, end)
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self.assertGreater(event.price, 0,
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"price should never go negative.")
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self.assertTrue(13 <= event.dt.hour <= 21,
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"event.dt.hour == %i, not during market \
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hours." % event.dt.hour)
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def test_day(self):
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np.random.seed(123)
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start_prices = {0: 100,
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1: 500}
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start = pd.Timestamp('1990-01-01', tz='UTC')
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end = pd.Timestamp('1992-01-01', tz='UTC')
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source = RandomWalkSource(start_prices=start_prices,
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calendar=calendar_nyse, start=start,
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end=end, freq='day')
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self.assertIsInstance(source.start, pd.lib.Timestamp)
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self.assertIsInstance(source.end, pd.lib.Timestamp)
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for event in source:
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self.assertIn(event.sid, start_prices.keys())
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self.assertIn(event.dt.replace(minute=0, hour=0),
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calendar_nyse.trading_days)
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self.assertGreater(event.dt, start)
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self.assertLess(event.dt, end)
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self.assertGreater(event.price, 0,
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"price should never go negative.")
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self.assertTrue(13 <= event.dt.hour <= 21,
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"event.dt.hour == %i, not during market \
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hours." % event.dt.hour)
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