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https://github.com/wassname/catalyst.git
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Thomas Wiecki
10885e1b77
There were sevaral places you could supply sim_params in TradingAlgorithm (__init__, run). This got confusing as its not clear who updated what and which one was the correct one to use at each time. Then there were to ways to define data_frequency, one in __init__() and one in the sim_params which also added code complexity. This refactor makes it explicit that sim_params are to be passed to __init__() only. Moreover, data_frequency is only stored in sim_params. For backwards compatibility, it can still be supplied separately but will link to the one in sim_params. For example, you could create new sim params via: sim_params = create_simulation_parameters(data_frequency='minute') algo = MyAlgo(sim_params) algo.run(data) In addition, perf_tracker only gets initialized in one place: _create_generator() which should also make the various ways of running an algorithm more deterministic. This also fixes a bug with SimulationParameters where you could not change the period_start. Unfortunately, the current implementation still requieres an implicit call to update the internal variables.
30 lines
1.1 KiB
Python
30 lines
1.1 KiB
Python
#
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# Copyright 2014 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 unittest import TestCase
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from zipline.test_algorithms import NoopAlgorithm
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from zipline.utils import factory
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class TestTradeSimulation(TestCase):
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def test_minutely_emissions_generate_performance_stats_for_last_day(self):
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params = factory.create_simulation_parameters(num_days=1,
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data_frequency='minute',
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emission_rate='minute')
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algo = NoopAlgorithm(sim_params=params)
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algo.run(source=[])
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self.assertEqual(algo.perf_tracker.day_count, 1.0)
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