mirror of
https://github.com/wassname/catalyst.git
synced 2026-06-29 02:28:29 +08:00
fawce
412baa3c3f
and added a new test case was not iterating over lookup date directory names, and therefore mising all by one list of stocks. discovered because of differing sort orders between my local machine, other devs, and travis ci.
319 lines
11 KiB
Python
319 lines
11 KiB
Python
import pytz
|
|
from datetime import datetime, timedelta
|
|
from unittest import TestCase
|
|
|
|
|
|
from zipline.algorithm import TradingAlgorithm
|
|
from zipline.errors import TradingControlViolation
|
|
from zipline.sources import SpecificEquityTrades
|
|
from zipline.utils.test_utils import (
|
|
setup_logger, add_security_data, remove_security_data_directory)
|
|
from zipline.utils import factory
|
|
from zipline.utils.security_list import (
|
|
SecurityListSet, load_from_directory)
|
|
|
|
LEVERAGED_ETFS = load_from_directory('leveraged_etf_list')
|
|
|
|
|
|
class RestrictedAlgoWithCheck(TradingAlgorithm):
|
|
def initialize(self, sid):
|
|
self.rl = SecurityListSet(self.get_datetime)
|
|
self.set_do_not_order_list(self.rl.leveraged_etf_list)
|
|
self.order_count = 0
|
|
self.sid = sid
|
|
|
|
def handle_data(self, data):
|
|
if not self.order_count:
|
|
if self.sid not in \
|
|
self.rl.leveraged_etf_list:
|
|
self.order(self.sid, 100)
|
|
self.order_count += 1
|
|
|
|
|
|
class RestrictedAlgoWithoutCheck(TradingAlgorithm):
|
|
def initialize(self, sid):
|
|
self.rl = SecurityListSet(self.get_datetime)
|
|
self.set_do_not_order_list(self.rl.leveraged_etf_list)
|
|
self.order_count = 0
|
|
self.sid = sid
|
|
|
|
def handle_data(self, data):
|
|
self.order(self.sid, 100)
|
|
self.order_count += 1
|
|
|
|
|
|
class IterateRLAlgo(TradingAlgorithm):
|
|
def initialize(self, sid):
|
|
self.rl = SecurityListSet(self.get_datetime)
|
|
self.set_do_not_order_list(self.rl.leveraged_etf_list)
|
|
self.order_count = 0
|
|
self.sid = sid
|
|
self.found = False
|
|
|
|
def handle_data(self, data):
|
|
for stock in self.rl.leveraged_etf_list:
|
|
if stock == self.sid:
|
|
self.found = True
|
|
|
|
|
|
class SecurityListTestCase(TestCase):
|
|
|
|
def setUp(self):
|
|
self.extra_knowledge_date = \
|
|
datetime(2015, 1, 27, 0, 0, tzinfo=pytz.utc)
|
|
self.trading_day_before_first_kd = datetime(
|
|
2015, 1, 23, 0, 0, tzinfo=pytz.utc)
|
|
|
|
setup_logger(self)
|
|
|
|
def test_iterate_over_rl(self):
|
|
sim_params = factory.create_simulation_parameters(
|
|
start=list(LEVERAGED_ETFS.keys())[0], num_days=4)
|
|
|
|
trade_history = factory.create_trade_history(
|
|
'BZQ',
|
|
[10.0, 10.0, 11.0, 11.0],
|
|
[100, 100, 100, 300],
|
|
timedelta(days=1),
|
|
sim_params
|
|
)
|
|
self.source = SpecificEquityTrades(event_list=trade_history)
|
|
algo = IterateRLAlgo(sid='BZQ', sim_params=sim_params)
|
|
algo.run(self.source)
|
|
self.assertTrue(algo.found)
|
|
|
|
def test_security_list(self):
|
|
|
|
# set the knowledge date to the first day of the
|
|
# leveraged etf knowledge date.
|
|
def get_datetime():
|
|
return list(LEVERAGED_ETFS.keys())[0]
|
|
|
|
rl = SecurityListSet(get_datetime)
|
|
# assert that a sample from the leveraged list are in restricted
|
|
|
|
self.assertIn("BZQ", rl.leveraged_etf_list)
|
|
self.assertIn("URTY", rl.leveraged_etf_list)
|
|
self.assertIn("JFT", rl.leveraged_etf_list)
|
|
|
|
# assert that a sample of allowed stocks are not in restricted
|
|
# AAPL
|
|
self.assertNotIn("AAPL", rl.leveraged_etf_list)
|
|
# GOOG
|
|
self.assertNotIn("GOOG", rl.leveraged_etf_list)
|
|
|
|
def test_security_add(self):
|
|
def get_datetime():
|
|
return datetime(2015, 1, 27, tzinfo=pytz.utc)
|
|
try:
|
|
add_security_data(['AAPL', 'GOOG'], [])
|
|
rl = SecurityListSet(get_datetime)
|
|
self.assertIn("AAPL", rl.leveraged_etf_list)
|
|
self.assertIn("GOOG", rl.leveraged_etf_list)
|
|
self.assertIn("BZQ", rl.leveraged_etf_list)
|
|
self.assertIn("URTY", rl.leveraged_etf_list)
|
|
finally:
|
|
remove_security_data_directory()
|
|
|
|
def test_security_add_delete(self):
|
|
try:
|
|
def get_datetime():
|
|
return datetime(2015, 1, 27, tzinfo=pytz.utc)
|
|
add_security_data([], ['BZQ', 'URTY'])
|
|
rl = SecurityListSet(get_datetime)
|
|
self.assertNotIn("BZQ", rl.leveraged_etf_list)
|
|
self.assertNotIn("URTY", rl.leveraged_etf_list)
|
|
finally:
|
|
remove_security_data_directory()
|
|
|
|
def test_algo_without_rl_violation_via_check(self):
|
|
sim_params = factory.create_simulation_parameters(
|
|
start=list(LEVERAGED_ETFS.keys())[0], num_days=4)
|
|
|
|
trade_history = factory.create_trade_history(
|
|
'BZQ',
|
|
[10.0, 10.0, 11.0, 11.0],
|
|
[100, 100, 100, 300],
|
|
timedelta(days=1),
|
|
sim_params
|
|
)
|
|
self.source = SpecificEquityTrades(event_list=trade_history)
|
|
|
|
algo = RestrictedAlgoWithCheck(sid='BZQ', sim_params=sim_params)
|
|
algo.run(self.source)
|
|
|
|
def test_algo_without_rl_violation(self):
|
|
sim_params = factory.create_simulation_parameters(
|
|
start=list(LEVERAGED_ETFS.keys())[0], num_days=4)
|
|
|
|
trade_history = factory.create_trade_history(
|
|
'AAPL',
|
|
[10.0, 10.0, 11.0, 11.0],
|
|
[100, 100, 100, 300],
|
|
timedelta(days=1),
|
|
sim_params
|
|
)
|
|
self.source = SpecificEquityTrades(event_list=trade_history)
|
|
algo = RestrictedAlgoWithoutCheck(sid='AAPL', sim_params=sim_params)
|
|
algo.run(self.source)
|
|
|
|
def test_algo_with_rl_violation(self):
|
|
sim_params = factory.create_simulation_parameters(
|
|
start=list(LEVERAGED_ETFS.keys())[0], num_days=4)
|
|
|
|
trade_history = factory.create_trade_history(
|
|
'BZQ',
|
|
[10.0, 10.0, 11.0, 11.0],
|
|
[100, 100, 100, 300],
|
|
timedelta(days=1),
|
|
sim_params
|
|
)
|
|
self.source = SpecificEquityTrades(event_list=trade_history)
|
|
|
|
self.df_source, self.df = \
|
|
factory.create_test_df_source(sim_params)
|
|
|
|
algo = RestrictedAlgoWithoutCheck(sid='BZQ', sim_params=sim_params)
|
|
with self.assertRaises(TradingControlViolation) as ctx:
|
|
algo.run(self.source)
|
|
|
|
self.check_algo_exception(algo, ctx, 0)
|
|
|
|
# repeat with a symbol from a different lookup date
|
|
|
|
trade_history = factory.create_trade_history(
|
|
'JFT',
|
|
[10.0, 10.0, 11.0, 11.0],
|
|
[100, 100, 100, 300],
|
|
timedelta(days=1),
|
|
sim_params
|
|
)
|
|
self.source = SpecificEquityTrades(event_list=trade_history)
|
|
|
|
self.df_source, self.df = \
|
|
factory.create_test_df_source(sim_params)
|
|
|
|
algo = RestrictedAlgoWithoutCheck(sid='JFT', sim_params=sim_params)
|
|
with self.assertRaises(TradingControlViolation) as ctx:
|
|
algo.run(self.source)
|
|
|
|
self.check_algo_exception(algo, ctx, 0)
|
|
|
|
def test_algo_with_rl_violation_on_knowledge_date(self):
|
|
|
|
sim_params = factory.create_simulation_parameters(
|
|
start=self.trading_day_before_first_kd, num_days=4)
|
|
trade_history = factory.create_trade_history(
|
|
'BZQ',
|
|
[10.0, 10.0, 11.0, 11.0],
|
|
[100, 100, 100, 300],
|
|
timedelta(days=1),
|
|
sim_params
|
|
)
|
|
self.source = SpecificEquityTrades(event_list=trade_history)
|
|
|
|
algo = RestrictedAlgoWithoutCheck(sid='BZQ', sim_params=sim_params)
|
|
with self.assertRaises(TradingControlViolation) as ctx:
|
|
algo.run(self.source)
|
|
|
|
self.check_algo_exception(algo, ctx, 1)
|
|
|
|
def test_algo_with_rl_violation_after_knowledge_date(self):
|
|
sim_params = factory.create_simulation_parameters(
|
|
start=list(
|
|
LEVERAGED_ETFS.keys())[0] + timedelta(days=7), num_days=5)
|
|
|
|
trade_history = factory.create_trade_history(
|
|
'BZQ',
|
|
[10.0, 10.0, 11.0, 11.0],
|
|
[100, 100, 100, 300],
|
|
timedelta(days=1),
|
|
sim_params
|
|
)
|
|
self.source = SpecificEquityTrades(event_list=trade_history)
|
|
algo = RestrictedAlgoWithoutCheck(sid='BZQ', sim_params=sim_params)
|
|
with self.assertRaises(TradingControlViolation) as ctx:
|
|
algo.run(self.source)
|
|
|
|
self.check_algo_exception(algo, ctx, 0)
|
|
|
|
def test_algo_with_rl_violation_cumulative(self):
|
|
"""
|
|
Add a new restriction, run a test long after both
|
|
knowledge dates, make sure stock from original restriction
|
|
set is still disallowed.
|
|
"""
|
|
sim_params = factory.create_simulation_parameters(
|
|
start=list(
|
|
LEVERAGED_ETFS.keys())[0] + timedelta(days=7), num_days=4)
|
|
|
|
try:
|
|
add_security_data(['AAPL'], [])
|
|
trade_history = factory.create_trade_history(
|
|
'BZQ',
|
|
[10.0, 10.0, 11.0, 11.0],
|
|
[100, 100, 100, 300],
|
|
timedelta(days=1),
|
|
sim_params
|
|
)
|
|
self.source = SpecificEquityTrades(event_list=trade_history)
|
|
algo = RestrictedAlgoWithoutCheck(
|
|
sid='BZQ', sim_params=sim_params)
|
|
with self.assertRaises(TradingControlViolation) as ctx:
|
|
algo.run(self.source)
|
|
|
|
self.check_algo_exception(algo, ctx, 0)
|
|
finally:
|
|
remove_security_data_directory()
|
|
|
|
def test_algo_without_rl_violation_after_delete(self):
|
|
try:
|
|
# add a delete statement removing bzq
|
|
# write a new delete statement file to disk
|
|
add_security_data([], ['BZQ'])
|
|
|
|
sim_params = factory.create_simulation_parameters(
|
|
start=self.extra_knowledge_date, num_days=3)
|
|
trade_history = factory.create_trade_history(
|
|
'BZQ',
|
|
[10.0, 10.0, 11.0, 11.0],
|
|
[100, 100, 100, 300],
|
|
timedelta(days=1),
|
|
sim_params
|
|
)
|
|
self.source = SpecificEquityTrades(event_list=trade_history)
|
|
algo = RestrictedAlgoWithoutCheck(
|
|
sid='BZQ', sim_params=sim_params)
|
|
algo.run(self.source)
|
|
finally:
|
|
remove_security_data_directory()
|
|
|
|
def test_algo_with_rl_violation_after_add(self):
|
|
try:
|
|
add_security_data(['AAPL'], [])
|
|
sim_params = factory.create_simulation_parameters(
|
|
start=self.trading_day_before_first_kd, num_days=4)
|
|
trade_history = factory.create_trade_history(
|
|
'AAPL',
|
|
[10.0, 10.0, 11.0, 11.0],
|
|
[100, 100, 100, 300],
|
|
timedelta(days=1),
|
|
sim_params
|
|
)
|
|
self.source = SpecificEquityTrades(event_list=trade_history)
|
|
algo = RestrictedAlgoWithoutCheck(
|
|
sid='AAPL', sim_params=sim_params)
|
|
with self.assertRaises(TradingControlViolation) as ctx:
|
|
algo.run(self.source)
|
|
|
|
self.check_algo_exception(algo, ctx, 2)
|
|
finally:
|
|
remove_security_data_directory()
|
|
|
|
def check_algo_exception(self, algo, ctx, expected_order_count):
|
|
self.assertEqual(algo.order_count, expected_order_count)
|
|
exc = ctx.exception
|
|
self.assertEqual(TradingControlViolation, type(exc))
|
|
exc_msg = str(ctx.exception)
|
|
self.assertTrue("RestrictedListOrder" in exc_msg)
|