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catalyst/tests/history_cases.py
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"""
Test case definitions for history tests.
"""
import pandas as pd
import numpy as np
from zipline.finance.trading import TradingEnvironment
from zipline.history.history import HistorySpec
from zipline.protocol import BarData
from zipline.utils.test_utils import to_utc
def mixed_frequency_expected_index(count, frequency):
"""
Helper for enumerating expected indices for test_mixed_frequency.
"""
env = TradingEnvironment.instance()
minute = MIXED_FREQUENCY_MINUTES[count]
if frequency == '1d':
return [env.previous_open_and_close(minute)[1], minute]
elif frequency == '1m':
return [env.previous_market_minute(minute), minute]
def mixed_frequency_expected_data(count, frequency):
"""
Helper for enumerating expected data test_mixed_frequency.
"""
if frequency == '1d':
# First day of this test is July 3rd, which is a half day.
if count < 210:
return [np.nan, count]
else:
return [209, count]
elif frequency == '1m':
if count == 0:
return [np.nan, count]
else:
return [count - 1, count]
MIXED_FREQUENCY_MINUTES = TradingEnvironment.instance().market_minute_window(
to_utc('2013-07-03 9:31AM'), 600,
)
ONE_MINUTE_PRICE_ONLY_SPECS = [
HistorySpec(1, '1m', 'price', True),
]
DAILY_OPEN_CLOSE_SPECS = [
HistorySpec(3, '1d', 'open_price', False),
HistorySpec(3, '1d', 'close_price', False),
]
ILLIQUID_PRICES_SPECS = [
HistorySpec(3, '1m', 'price', False),
HistorySpec(5, '1m', 'price', True),
]
MIXED_FREQUENCY_SPECS = [
HistorySpec(1, '1m', 'price', False),
HistorySpec(2, '1m', 'price', False),
HistorySpec(2, '1d', 'price', False),
]
MIXED_FIELDS_SPECS = [
HistorySpec(3, '1m', 'price', True),
HistorySpec(3, '1m', 'open_price', True),
HistorySpec(3, '1m', 'close_price', True),
HistorySpec(3, '1m', 'high', True),
HistorySpec(3, '1m', 'low', True),
HistorySpec(3, '1m', 'volume', True),
]
HISTORY_CONTAINER_TEST_CASES = {
# June 2013
# Su Mo Tu We Th Fr Sa
# 1
# 2 3 4 5 6 7 8
# 9 10 11 12 13 14 15
# 16 17 18 19 20 21 22
# 23 24 25 26 27 28 29
# 30
'test one minute price only': {
# A list of HistorySpec objects.
'specs': ONE_MINUTE_PRICE_ONLY_SPECS,
# Sids for the test.
'sids': [1],
# Start date for test.
'dt': to_utc('2013-06-21 9:31AM'),
# Sequency of updates to the container
'updates': [
BarData(
{
1: {
'price': 5,
'dt': to_utc('2013-06-21 9:31AM'),
},
},
),
BarData(
{
1: {
'price': 6,
'dt': to_utc('2013-06-21 9:32AM'),
},
},
),
],
# Expected results
'expected': {
ONE_MINUTE_PRICE_ONLY_SPECS[0].key_str: [
pd.DataFrame(
data={
1: [5],
},
index=[
to_utc('2013-06-21 9:31AM'),
],
),
pd.DataFrame(
data={
1: [6],
},
index=[
to_utc('2013-06-21 9:32AM'),
],
),
],
},
},
'test daily open close': {
# A list of HistorySpec objects.
'specs': DAILY_OPEN_CLOSE_SPECS,
# Sids for the test.
'sids': [1],
# Start date for test.
'dt': to_utc('2013-06-21 9:31AM'),
# Sequence of updates to the container
'updates': [
BarData(
{
1: {
'open_price': 10,
'close_price': 11,
'dt': to_utc('2013-06-21 10:00AM'),
},
},
),
BarData(
{
1: {
'open_price': 12,
'close_price': 13,
'dt': to_utc('2013-06-21 3:30PM'),
},
},
),
BarData(
{
1: {
'open_price': 14,
'close_price': 15,
# Wait a full market day before the next bar.
# We should end up with nans for Monday the 24th.
'dt': to_utc('2013-06-25 9:31AM'),
},
},
),
],
# Dictionary mapping spec_key -> list of expected outputs
'expected': {
# open
DAILY_OPEN_CLOSE_SPECS[0].key_str: [
pd.DataFrame(
data={
1: [np.nan, np.nan, 10]
},
index=[
to_utc('2013-06-19 4:00PM'),
to_utc('2013-06-20 4:00PM'),
to_utc('2013-06-21 10:00AM'),
],
),
pd.DataFrame(
data={
1: [np.nan, np.nan, 10]
},
index=[
to_utc('2013-06-19 4:00PM'),
to_utc('2013-06-20 4:00PM'),
to_utc('2013-06-21 3:30PM'),
],
),
pd.DataFrame(
data={
1: [10, np.nan, 14]
},
index=[
to_utc('2013-06-21 4:00PM'),
to_utc('2013-06-24 4:00PM'),
to_utc('2013-06-25 9:31AM'),
],
),
],
# close
DAILY_OPEN_CLOSE_SPECS[1].key_str: [
pd.DataFrame(
data={
1: [np.nan, np.nan, 11]
},
index=[
to_utc('2013-06-19 4:00PM'),
to_utc('2013-06-20 4:00PM'),
to_utc('2013-06-21 10:00AM'),
],
),
pd.DataFrame(
data={
1: [np.nan, np.nan, 13]
},
index=[
to_utc('2013-06-19 4:00PM'),
to_utc('2013-06-20 4:00PM'),
to_utc('2013-06-21 3:30PM'),
],
),
pd.DataFrame(
data={
1: [13, np.nan, 15]
},
index=[
to_utc('2013-06-21 4:00PM'),
to_utc('2013-06-24 4:00PM'),
to_utc('2013-06-25 9:31AM'),
],
),
],
},
},
'test illiquid prices': {
# A list of HistorySpec objects.
'specs': ILLIQUID_PRICES_SPECS,
# Sids for the test.
'sids': [1],
# Start date for test.
'dt': to_utc('2013-06-28 9:31AM'),
# Sequence of updates to the container
'updates': [
BarData(
{
1: {
'price': 10,
'dt': to_utc('2013-06-28 9:31AM'),
},
},
),
BarData(
{
1: {
'price': 11,
'dt': to_utc('2013-06-28 9:32AM'),
},
},
),
BarData(
{
1: {
'price': 12,
'dt': to_utc('2013-06-28 9:33AM'),
},
},
),
BarData(
{
1: {
'price': 13,
# Note: Skipping 9:34 to simulate illiquid bar/missing
# data.
'dt': to_utc('2013-06-28 9:35AM'),
},
},
),
],
# Dictionary mapping spec_key -> list of expected outputs
'expected': {
ILLIQUID_PRICES_SPECS[0].key_str: [
pd.DataFrame(
data={
1: [np.nan, np.nan, 10],
},
index=[
to_utc('2013-06-27 3:59PM'),
to_utc('2013-06-27 4:00PM'),
to_utc('2013-06-28 9:31AM'),
],
),
pd.DataFrame(
data={
1: [np.nan, 10, 11],
},
index=[
to_utc('2013-06-27 4:00PM'),
to_utc('2013-06-28 9:31AM'),
to_utc('2013-06-28 9:32AM'),
],
),
pd.DataFrame(
data={
1: [10, 11, 12],
},
index=[
to_utc('2013-06-28 9:31AM'),
to_utc('2013-06-28 9:32AM'),
to_utc('2013-06-28 9:33AM'),
],
),
# Since there's no update for 9:34, this is called at 9:35.
pd.DataFrame(
data={
1: [12, np.nan, 13],
},
index=[
to_utc('2013-06-28 9:33AM'),
to_utc('2013-06-28 9:34AM'),
to_utc('2013-06-28 9:35AM'),
],
),
],
ILLIQUID_PRICES_SPECS[1].key_str: [
pd.DataFrame(
data={
1: [np.nan, np.nan, np.nan, np.nan, 10],
},
index=[
to_utc('2013-06-27 3:57PM'),
to_utc('2013-06-27 3:58PM'),
to_utc('2013-06-27 3:59PM'),
to_utc('2013-06-27 4:00PM'),
to_utc('2013-06-28 9:31AM'),
],
),
pd.DataFrame(
data={
1: [np.nan, np.nan, np.nan, 10, 11],
},
index=[
to_utc('2013-06-27 3:58PM'),
to_utc('2013-06-27 3:59PM'),
to_utc('2013-06-27 4:00PM'),
to_utc('2013-06-28 9:31AM'),
to_utc('2013-06-28 9:32AM'),
],
),
pd.DataFrame(
data={
1: [np.nan, np.nan, 10, 11, 12],
},
index=[
to_utc('2013-06-27 3:59PM'),
to_utc('2013-06-27 4:00PM'),
to_utc('2013-06-28 9:31AM'),
to_utc('2013-06-28 9:32AM'),
to_utc('2013-06-28 9:33AM'),
],
),
# Since there's no update for 9:34, this is called at 9:35.
# The 12 value from 9:33 should be forward-filled.
pd.DataFrame(
data={
1: [10, 11, 12, 12, 13],
},
index=[
to_utc('2013-06-28 9:31AM'),
to_utc('2013-06-28 9:32AM'),
to_utc('2013-06-28 9:33AM'),
to_utc('2013-06-28 9:34AM'),
to_utc('2013-06-28 9:35AM'),
],
),
],
},
},
'test mixed frequencies': {
# A list of HistorySpec objects.
'specs': MIXED_FREQUENCY_SPECS,
# Sids for the test.
'sids': [1],
# Start date for test.
# July 2013
# Su Mo Tu We Th Fr Sa
# 1 2 3 4 5 6
# 7 8 9 10 11 12 13
# 14 15 16 17 18 19 20
# 21 22 23 24 25 26 27
# 28 29 30 31
'dt': to_utc('2013-07-03 9:31AM'),
# Sequence of updates to the container
'updates': [
BarData(
{
1: {
'price': count,
'dt': dt,
}
}
)
for count, dt in enumerate(MIXED_FREQUENCY_MINUTES)
],
# Dictionary mapping spec_key -> list of expected outputs.
'expected': {
MIXED_FREQUENCY_SPECS[0].key_str: [
pd.DataFrame(
data={
1: [count],
},
index=[minute],
)
for count, minute in enumerate(MIXED_FREQUENCY_MINUTES)
],
MIXED_FREQUENCY_SPECS[1].key_str: [
pd.DataFrame(
data={
1: mixed_frequency_expected_data(count, '1m'),
},
index=mixed_frequency_expected_index(count, '1m'),
)
for count in range(len(MIXED_FREQUENCY_MINUTES))
],
MIXED_FREQUENCY_SPECS[2].key_str: [
pd.DataFrame(
data={
1: mixed_frequency_expected_data(count, '1d'),
},
index=mixed_frequency_expected_index(count, '1d'),
)
for count in range(len(MIXED_FREQUENCY_MINUTES))
]
},
},
'test multiple fields and sids': {
# A list of HistorySpec objects.
'specs': MIXED_FIELDS_SPECS,
# Sids for the test.
'sids': [1, 10],
# Start date for test.
'dt': to_utc('2013-06-28 9:31AM'),
# Sequence of updates to the container
'updates': [
BarData(
{
1: {
'dt': dt,
'price': count,
'open_price': count,
'close_price': count,
'high': count,
'low': count,
'volume': count,
},
10: {
'dt': dt,
'price': count * 10,
'open_price': count * 10,
'close_price': count * 10,
'high': count * 10,
'low': count * 10,
'volume': count * 10,
},
},
)
for count, dt in enumerate([
to_utc('2013-06-28 9:31AM'),
to_utc('2013-06-28 9:32AM'),
to_utc('2013-06-28 9:33AM'),
# NOTE: No update for 9:34
to_utc('2013-06-28 9:35AM'),
])
],
# Dictionary mapping spec_key -> list of expected outputs
'expected': dict(
# Build a dict from a list of tuples. Doing it this way because
# there are two distinct cases we want to test: forward-fillable
# fields and non-forward-fillable fields.
[
(
# Non forward-fill fields
key,
[
pd.DataFrame(
data={
1: [np.nan, np.nan, 0],
10: [np.nan, np.nan, 0],
},
index=[
to_utc('2013-06-27 3:59PM'),
to_utc('2013-06-27 4:00PM'),
to_utc('2013-06-28 9:31AM'),
],
# Missing volume data should manifest as 0's rather
# than nans.
).fillna(0 if 'volume' in key else np.nan),
pd.DataFrame(
data={
1: [np.nan, 0, 1],
10: [np.nan, 0, 10],
},
index=[
to_utc('2013-06-27 4:00PM'),
to_utc('2013-06-28 9:31AM'),
to_utc('2013-06-28 9:32AM'),
],
).fillna(0 if 'volume' in key else np.nan),
pd.DataFrame(
data={
1: [0, 1, 2],
10: [0, 10, 20],
},
index=[
to_utc('2013-06-28 9:31AM'),
to_utc('2013-06-28 9:32AM'),
to_utc('2013-06-28 9:33AM'),
],
# Note: Calling fillna() here even though there are
# no NaNs because this makes it less likely
# for us to introduce a stupid bug by
# copy/pasting in the future.
).fillna(0 if 'volume' in key else np.nan),
pd.DataFrame(
data={
1: [2, np.nan, 3],
10: [20, np.nan, 30],
},
index=[
to_utc('2013-06-28 9:33AM'),
to_utc('2013-06-28 9:34AM'),
to_utc('2013-06-28 9:35AM'),
],
).fillna(0 if 'volume' in key else np.nan),
],
)
for key in [spec.key_str for spec in MIXED_FIELDS_SPECS
if spec.field not in HistorySpec.FORWARD_FILLABLE]
]
+ # Concatenate the expected results for non-ffillable with
# expected result for ffillable.
[
(
# Forward-fillable fields
key,
[
pd.DataFrame(
data={
1: [np.nan, np.nan, 0],
10: [np.nan, np.nan, 0],
},
index=[
to_utc('2013-06-27 3:59PM'),
to_utc('2013-06-27 4:00PM'),
to_utc('2013-06-28 9:31AM'),
],
),
pd.DataFrame(
data={
1: [np.nan, 0, 1],
10: [np.nan, 0, 10],
},
index=[
to_utc('2013-06-27 4:00PM'),
to_utc('2013-06-28 9:31AM'),
to_utc('2013-06-28 9:32AM'),
],
),
pd.DataFrame(
data={
1: [0, 1, 2],
10: [0, 10, 20],
},
index=[
to_utc('2013-06-28 9:31AM'),
to_utc('2013-06-28 9:32AM'),
to_utc('2013-06-28 9:33AM'),
],
),
pd.DataFrame(
data={
1: [2, 2, 3],
10: [20, 20, 30],
},
index=[
to_utc('2013-06-28 9:33AM'),
to_utc('2013-06-28 9:34AM'),
to_utc('2013-06-28 9:35AM'),
],
),
],
)
for key in [spec.key_str for spec in MIXED_FIELDS_SPECS
if spec.field in HistorySpec.FORWARD_FILLABLE]
]
),
},
}
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