mirror of
https://github.com/wassname/catalyst.git
synced 2026-06-30 20:16:30 +08:00
Andrew Daniels
7cde3939bf
Since most brokers will cease accepting trades by the notice date, contracts should not be considered valid after the notice date. This commit adjusts the lookup_future_chain method to consider all contracts with notice dates on or following the current date invalid.
620 lines
22 KiB
Python
620 lines
22 KiB
Python
#
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# Copyright 2015 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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"""
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Tests for the zipline.assets package
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"""
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import sys
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from unittest import TestCase
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from datetime import (
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timedelta,
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datetime
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)
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import pickle
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import uuid
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import warnings
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import pandas as pd
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from nose_parameterized import parameterized
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from zipline.assets import Asset, Equity, Future, AssetFinder
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from zipline.errors import (
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SymbolNotFound,
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MultipleSymbolsFound,
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SidAssignmentError,
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)
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def build_lookup_generic_cases():
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"""
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Generate test cases for AssetFinder test_lookup_generic.
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"""
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unique_start = pd.Timestamp('2013-01-01', tz='UTC')
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unique_end = pd.Timestamp('2014-01-01', tz='UTC')
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dupe_0_start = pd.Timestamp('2013-01-01', tz='UTC')
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dupe_0_end = dupe_0_start + timedelta(days=1)
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dupe_1_start = pd.Timestamp('2013-01-03', tz='UTC')
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dupe_1_end = dupe_1_start + timedelta(days=1)
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frame = pd.DataFrame.from_records(
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[
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{
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'sid': 0,
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'file_name': 'duplicated',
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'company_name': 'duplicated_0',
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'start_date_nano': dupe_0_start.value,
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'end_date_nano': dupe_0_end.value,
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'exchange': '',
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},
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{
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'sid': 1,
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'file_name': 'duplicated',
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'company_name': 'duplicated_1',
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'start_date_nano': dupe_1_start.value,
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'end_date_nano': dupe_1_end.value,
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'exchange': '',
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},
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{
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'sid': 2,
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'file_name': 'unique',
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'company_name': 'unique',
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'start_date_nano': unique_start.value,
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'end_date_nano': unique_end.value,
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'exchange': '',
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},
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],
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)
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finder = AssetFinder(metadata=frame)
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dupe_0, dupe_1, unique = assets = [
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finder.retrieve_asset(i)
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for i in range(3)
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]
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dupe_0_start = dupe_0.start_date
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dupe_1_start = dupe_1.start_date
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cases = [
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##
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# Scalars
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# Asset object
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(finder, assets[0], None, assets[0]),
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(finder, assets[1], None, assets[1]),
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(finder, assets[2], None, assets[2]),
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# int
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(finder, 0, None, assets[0]),
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(finder, 1, None, assets[1]),
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(finder, 2, None, assets[2]),
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# Duplicated symbol with resolution date
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(finder, 'duplicated', dupe_0_start, dupe_0),
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(finder, 'duplicated', dupe_1_start, dupe_1),
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# Unique symbol, with or without resolution date.
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(finder, 'unique', unique_start, unique),
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(finder, 'unique', None, unique),
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##
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# Iterables
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# Iterables of Asset objects.
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(finder, assets, None, assets),
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(finder, iter(assets), None, assets),
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# Iterables of ints
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(finder, (0, 1), None, assets[:-1]),
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(finder, iter((0, 1)), None, assets[:-1]),
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# Iterables of symbols.
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(finder, ('duplicated', 'unique'), dupe_0_start, [dupe_0, unique]),
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(finder, ('duplicated', 'unique'), dupe_1_start, [dupe_1, unique]),
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# Mixed types
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(finder,
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('duplicated', 2, 'unique', 1, dupe_1),
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dupe_0_start,
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[dupe_0, assets[2], unique, assets[1], dupe_1]),
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]
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return cases
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class AssetTestCase(TestCase):
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def test_asset_object(self):
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self.assertEquals({5061: 'foo'}[Asset(5061)], 'foo')
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self.assertEquals(Asset(5061), 5061)
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self.assertEquals(5061, Asset(5061))
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self.assertEquals(Asset(5061), Asset(5061))
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self.assertEquals(int(Asset(5061)), 5061)
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self.assertEquals(str(Asset(5061)), 'Asset(5061)')
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def test_asset_is_pickleable(self):
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# Very wow
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s = Asset(
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1337,
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symbol="DOGE",
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asset_name="DOGECOIN",
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start_date=pd.Timestamp('2013-12-08 9:31AM', tz='UTC'),
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end_date=pd.Timestamp('2014-06-25 11:21AM', tz='UTC'),
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first_traded=pd.Timestamp('2013-12-08 9:31AM', tz='UTC'),
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exchange='THE MOON',
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)
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s_unpickled = pickle.loads(pickle.dumps(s))
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attrs_to_check = ['end_date',
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'exchange',
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'first_traded',
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'end_date',
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'asset_name',
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'start_date',
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'sid',
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'start_date',
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'symbol']
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for attr in attrs_to_check:
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self.assertEqual(getattr(s, attr), getattr(s_unpickled, attr))
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def test_asset_comparisons(self):
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s_23 = Asset(23)
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s_24 = Asset(24)
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self.assertEqual(s_23, s_23)
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self.assertEqual(s_23, 23)
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self.assertEqual(23, s_23)
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self.assertNotEqual(s_23, s_24)
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self.assertNotEqual(s_23, 24)
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self.assertNotEqual(s_23, "23")
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self.assertNotEqual(s_23, 23.5)
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self.assertNotEqual(s_23, [])
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self.assertNotEqual(s_23, None)
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self.assertLess(s_23, s_24)
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self.assertLess(s_23, 24)
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self.assertGreater(24, s_23)
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self.assertGreater(s_24, s_23)
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def test_lt(self):
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self.assertTrue(Asset(3) < Asset(4))
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self.assertFalse(Asset(4) < Asset(4))
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self.assertFalse(Asset(5) < Asset(4))
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def test_le(self):
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self.assertTrue(Asset(3) <= Asset(4))
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self.assertTrue(Asset(4) <= Asset(4))
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self.assertFalse(Asset(5) <= Asset(4))
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def test_eq(self):
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self.assertFalse(Asset(3) == Asset(4))
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self.assertTrue(Asset(4) == Asset(4))
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self.assertFalse(Asset(5) == Asset(4))
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def test_ge(self):
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self.assertFalse(Asset(3) >= Asset(4))
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self.assertTrue(Asset(4) >= Asset(4))
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self.assertTrue(Asset(5) >= Asset(4))
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def test_gt(self):
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self.assertFalse(Asset(3) > Asset(4))
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self.assertFalse(Asset(4) > Asset(4))
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self.assertTrue(Asset(5) > Asset(4))
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def test_type_mismatch(self):
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if sys.version_info.major < 3:
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self.assertIsNotNone(Asset(3) < 'a')
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self.assertIsNotNone('a' < Asset(3))
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else:
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with self.assertRaises(TypeError):
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Asset(3) < 'a'
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with self.assertRaises(TypeError):
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'a' < Asset(3)
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class TestFuture(TestCase):
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future = Future(
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2468,
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symbol='OMH15',
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root_symbol='OM',
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notice_date=pd.Timestamp('2014-01-20', tz='UTC'),
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expiration_date=pd.Timestamp('2014-02-20', tz='UTC'),
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contract_multiplier=500
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)
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def test_str(self):
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strd = self.future.__str__()
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self.assertEqual("Future(2468 [OMH15])", strd)
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def test_repr(self):
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reprd = self.future.__repr__()
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self.assertTrue("Future" in reprd)
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self.assertTrue("2468" in reprd)
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self.assertTrue("OMH15" in reprd)
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self.assertTrue("root_symbol='OM'" in reprd)
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self.assertTrue(("notice_date=Timestamp('2014-01-20 00:00:00+0000', "
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"tz='UTC')") in reprd)
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self.assertTrue("expiration_date=Timestamp('2014-02-20 00:00:00+0000'"
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in reprd)
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self.assertTrue("contract_multiplier=500" in reprd)
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def test_reduce(self):
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reduced = self.future.__reduce__()
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self.assertEqual(Future, reduced[0])
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def test_to_and_from_dict(self):
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dictd = self.future.to_dict()
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self.assertTrue('root_symbol' in dictd)
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self.assertTrue('notice_date' in dictd)
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self.assertTrue('expiration_date' in dictd)
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self.assertTrue('contract_multiplier' in dictd)
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from_dict = Future.from_dict(dictd)
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self.assertTrue(isinstance(from_dict, Future))
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self.assertEqual(self.future, from_dict)
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def test_root_symbol(self):
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self.assertEqual('OM', self.future.root_symbol)
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class AssetFinderTestCase(TestCase):
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def test_lookup_symbol_fuzzy(self):
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as_of = pd.Timestamp('2013-01-01', tz='UTC')
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frame = pd.DataFrame.from_records(
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[
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{
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'sid': i,
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'file_name': 'TEST@%d' % i,
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'company_name': "company%d" % i,
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'start_date_nano': as_of.value,
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'end_date_nano': as_of.value,
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'exchange': uuid.uuid4().hex,
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}
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for i in range(3)
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]
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)
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finder = AssetFinder(frame)
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asset_0, asset_1, asset_2 = (
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finder.retrieve_asset(i) for i in range(3)
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)
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for i in range(2): # we do it twice to test for caching bugs
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self.assertIsNone(finder.lookup_symbol('test', as_of))
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self.assertEqual(
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asset_1,
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finder.lookup_symbol('test@1', as_of)
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)
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# Adding an unnecessary fuzzy shouldn't matter.
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self.assertEqual(
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asset_1,
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finder.lookup_symbol('test@1', as_of, fuzzy='@')
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)
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# Shouldn't find this with no fuzzy_str passed.
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self.assertIsNone(finder.lookup_symbol('test1', as_of))
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# Shouldn't find this with an incorrect fuzzy_str.
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self.assertIsNone(finder.lookup_symbol('test1', as_of, fuzzy='*'))
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# Should find it with the correct fuzzy_str.
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self.assertEqual(
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asset_1,
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finder.lookup_symbol('test1', as_of, fuzzy='@'),
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)
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def test_lookup_symbol_resolve_multiple(self):
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# Incrementing by two so that start and end dates for each
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# generated Asset don't overlap (each Asset's end_date is the
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# day after its start date.)
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dates = pd.date_range('2013-01-01', freq='2D', periods=5, tz='UTC')
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df = pd.DataFrame.from_records(
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[
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{
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'sid': i,
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'file_name': 'existing',
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'company_name': 'existing',
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'start_date_nano': date.value,
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'end_date_nano': (date + timedelta(days=1)).value,
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'exchange': 'NYSE',
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}
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for i, date in enumerate(dates)
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]
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)
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finder = AssetFinder(df)
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for _ in range(2): # Run checks twice to test for caching bugs.
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with self.assertRaises(SymbolNotFound):
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finder.lookup_symbol_resolve_multiple('non_existing', dates[0])
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with self.assertRaises(MultipleSymbolsFound):
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finder.lookup_symbol_resolve_multiple('existing', None)
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for i, date in enumerate(dates):
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# Verify that we correctly resolve multiple symbols using
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# the supplied date
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result = finder.lookup_symbol_resolve_multiple(
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'existing',
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date,
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)
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self.assertEqual(result.symbol, 'existing')
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self.assertEqual(result.sid, i)
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@parameterized.expand(
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build_lookup_generic_cases()
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)
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def test_lookup_generic(self, finder, symbols, reference_date, expected):
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"""
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Ensure that lookup_generic works with various permutations of inputs.
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"""
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results, missing = finder.lookup_generic(symbols, reference_date)
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self.assertEqual(results, expected)
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self.assertEqual(missing, [])
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def test_lookup_generic_handle_missing(self):
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data = pd.DataFrame.from_records(
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[
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# Sids that will be found when we do lookups.
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{
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'sid': 0,
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'file_name': 'real',
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'company_name': 'real',
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'start_date_nano': pd.Timestamp('2013-1-1', tz='UTC'),
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'end_date_nano': pd.Timestamp('2014-1-1', tz='UTC'),
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'exchange': '',
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},
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{
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'sid': 1,
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'file_name': 'also_real',
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'company_name': 'also_real',
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'start_date_nano': pd.Timestamp('2013-1-1', tz='UTC'),
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'end_date_nano': pd.Timestamp('2014-1-1', tz='UTC'),
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'exchange': '',
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},
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# Sid whose end date is before our query date. We should
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# still correctly find it.
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{
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'sid': 2,
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'file_name': 'real_but_old',
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'company_name': 'real_but_old',
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'start_date_nano': pd.Timestamp('2002-1-1', tz='UTC'),
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'end_date_nano': pd.Timestamp('2003-1-1', tz='UTC'),
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'exchange': '',
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},
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# Sid whose end date is before our query date. We should
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# still correctly find it.
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{
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'sid': 3,
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'file_name': 'real_but_in_the_future',
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'company_name': 'real_but_in_the_future',
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'start_date_nano': pd.Timestamp('2014-1-1', tz='UTC'),
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'end_date_nano': pd.Timestamp('2020-1-1', tz='UTC'),
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'exchange': 'THE FUTURE',
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},
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]
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)
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finder = AssetFinder(data)
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results, missing = finder.lookup_generic(
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['real', 1, 'fake', 'real_but_old', 'real_but_in_the_future'],
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pd.Timestamp('2013-02-01', tz='UTC'),
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)
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self.assertEqual(len(results), 3)
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self.assertEqual(results[0].symbol, 'real')
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self.assertEqual(results[0].sid, 0)
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self.assertEqual(results[1].symbol, 'also_real')
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self.assertEqual(results[1].sid, 1)
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self.assertEqual(len(missing), 2)
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self.assertEqual(missing[0], 'fake')
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self.assertEqual(missing[1], 'real_but_in_the_future')
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def test_insert_metadata(self):
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finder = AssetFinder()
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finder.insert_metadata(0,
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asset_type='equity',
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start_date='2014-01-01',
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end_date='2015-01-01',
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symbol="PLAY",
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foo_data="FOO",)
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# Test proper insertion
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self.assertEqual('equity', finder.metadata_cache[0]['asset_type'])
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self.assertEqual('PLAY', finder.metadata_cache[0]['symbol'])
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self.assertEqual('2015-01-01', finder.metadata_cache[0]['end_date'])
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# Test invalid field
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self.assertFalse('foo_data' in finder.metadata_cache[0])
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# Test updating fields
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finder.insert_metadata(0,
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asset_type='equity',
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start_date='2014-01-01',
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end_date='2015-02-01',
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symbol="PLAY",
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exchange="NYSE",)
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self.assertEqual('2015-02-01', finder.metadata_cache[0]['end_date'])
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self.assertEqual('NYSE', finder.metadata_cache[0]['exchange'])
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# Check that old data survived
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self.assertEqual('PLAY', finder.metadata_cache[0]['symbol'])
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def test_consume_metadata(self):
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# Test dict consumption
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finder = AssetFinder({0: {'asset_type': 'equity'}})
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dict_to_consume = {0: {'symbol': 'PLAY'},
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1: {'symbol': 'MSFT'}}
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finder.consume_metadata(dict_to_consume)
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self.assertEqual('equity', finder.metadata_cache[0]['asset_type'])
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self.assertEqual('PLAY', finder.metadata_cache[0]['symbol'])
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# Test dataframe consumption
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df = pd.DataFrame(columns=['asset_name', 'exchange'], index=[0, 1])
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df['asset_name'][0] = "Dave'N'Busters"
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df['exchange'][0] = "NASDAQ"
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df['asset_name'][1] = "Microsoft"
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df['exchange'][1] = "NYSE"
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finder.consume_metadata(df)
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self.assertEqual('NASDAQ', finder.metadata_cache[0]['exchange'])
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self.assertEqual('Microsoft', finder.metadata_cache[1]['asset_name'])
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# Check that old data survived
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self.assertEqual('equity', finder.metadata_cache[0]['asset_type'])
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def test_consume_asset_as_identifier(self):
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# Build some end dates
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eq_end = pd.Timestamp('2012-01-01', tz='UTC')
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fut_end = pd.Timestamp('2008-01-01', tz='UTC')
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# Build some simple Assets
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equity_asset = Equity(1, symbol="TESTEQ", end_date=eq_end)
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future_asset = Future(200, symbol="TESTFUT", end_date=fut_end)
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# Consume the Assets
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finder = AssetFinder()
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finder.consume_identifiers([equity_asset, future_asset])
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finder.populate_cache()
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# Test equality with newly built Assets
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self.assertEqual(equity_asset, finder.retrieve_asset(1))
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self.assertEqual(future_asset, finder.retrieve_asset(200))
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self.assertEqual(eq_end, finder.retrieve_asset(1).end_date)
|
|
self.assertEqual(fut_end, finder.retrieve_asset(200).end_date)
|
|
|
|
def test_sid_assignment(self):
|
|
|
|
# This metadata does not contain SIDs
|
|
metadata = {'PLAY': {'symbol': 'PLAY'},
|
|
'MSFT': {'symbol': 'MSFT'}}
|
|
|
|
# Build a finder that is allowed to assign sids
|
|
finder = AssetFinder(metadata=metadata, allow_sid_assignment=True)
|
|
|
|
# Verify that Assets were built and different sids were assigned
|
|
play = finder.lookup_symbol('PLAY', datetime.now())
|
|
msft = finder.lookup_symbol('MSFT', datetime.now())
|
|
self.assertEqual('PLAY', play.symbol)
|
|
self.assertIsNotNone(play.sid)
|
|
self.assertNotEqual(play.sid, msft.sid)
|
|
|
|
def test_sid_assignment_failure(self):
|
|
|
|
# This metadata does not contain SIDs
|
|
metadata = {'PLAY': {'symbol': 'PLAY'},
|
|
'MSFT': {'symbol': 'MSFT'}}
|
|
|
|
# Build a finder that is not allowed to assign sids, asserting failure
|
|
with self.assertRaises(SidAssignmentError):
|
|
AssetFinder(metadata=metadata, allow_sid_assignment=False)
|
|
|
|
def test_security_dates_warning(self):
|
|
|
|
# Build an asset with an end_date
|
|
eq_end = pd.Timestamp('2012-01-01', tz='UTC')
|
|
equity_asset = Equity(1, symbol="TESTEQ", end_date=eq_end)
|
|
|
|
# Catch all warnings
|
|
with warnings.catch_warnings(record=True) as w:
|
|
# Cause all warnings to always be triggered
|
|
warnings.simplefilter("always")
|
|
equity_asset.security_start_date
|
|
equity_asset.security_end_date
|
|
equity_asset.security_name
|
|
# Verify the warning
|
|
self.assertEqual(3, len(w))
|
|
for warning in w:
|
|
self.assertTrue(issubclass(warning.category,
|
|
DeprecationWarning))
|
|
|
|
def test_lookup_future_chain(self):
|
|
metadata = {
|
|
# Notice day is today, so not valid
|
|
2: {
|
|
'symbol': 'ADN15',
|
|
'root_symbol': 'AD',
|
|
'asset_type': 'future',
|
|
'notice_date': pd.Timestamp('2015-05-14', tz='UTC'),
|
|
'start_date': pd.Timestamp('2015-01-01', tz='UTC')
|
|
},
|
|
1: {
|
|
'symbol': 'ADV15',
|
|
'root_symbol': 'AD',
|
|
'asset_type': 'future',
|
|
'notice_date': pd.Timestamp('2015-08-14', tz='UTC'),
|
|
'start_date': pd.Timestamp('2015-01-01', tz='UTC')
|
|
},
|
|
# Starts trading today, so should be valid.
|
|
0: {
|
|
'symbol': 'ADF16',
|
|
'root_symbol': 'AD',
|
|
'asset_type': 'future',
|
|
'notice_date': pd.Timestamp('2015-11-16', tz='UTC'),
|
|
'start_date': pd.Timestamp('2015-05-14', tz='UTC')
|
|
},
|
|
# Copy of the above future, but starts trading in August,
|
|
# so it isn't valid.
|
|
3: {
|
|
'symbol': 'ADF16',
|
|
'root_symbol': 'AD',
|
|
'asset_type': 'future',
|
|
'notice_date': pd.Timestamp('2015-11-16', tz='UTC'),
|
|
'start_date': pd.Timestamp('2015-08-01', tz='UTC')
|
|
},
|
|
|
|
}
|
|
|
|
finder = AssetFinder(metadata=metadata)
|
|
dt = pd.Timestamp('2015-05-14', tz='UTC')
|
|
last_year = pd.Timestamp('2014-01-01', tz='UTC')
|
|
first_day = pd.Timestamp('2015-01-01', tz='UTC')
|
|
|
|
# Check that we get the expected number of contracts, in the
|
|
# right order
|
|
ad_contracts = finder.lookup_future_chain('AD', dt, dt)
|
|
self.assertEqual(len(ad_contracts), 2)
|
|
self.assertEqual(ad_contracts[0].sid, 1)
|
|
self.assertEqual(ad_contracts[1].sid, 0)
|
|
|
|
# Check that we get nothing if our knowledge date is last year
|
|
ad_contracts = finder.lookup_future_chain('AD', dt, last_year)
|
|
self.assertEqual(len(ad_contracts), 0)
|
|
|
|
# Check that we get things that start on the knowledge date
|
|
ad_contracts = finder.lookup_future_chain('AD', dt, first_day)
|
|
self.assertEqual(len(ad_contracts), 1)
|
|
|
|
def test_map_identifier_index_to_sids(self):
|
|
# Build an empty finder and some Assets
|
|
dt = pd.Timestamp('2014-01-01', tz='UTC')
|
|
finder = AssetFinder()
|
|
asset1 = Equity(1, symbol="AAPL")
|
|
asset2 = Equity(2, symbol="GOOG")
|
|
asset200 = Future(200, symbol="CLK15")
|
|
asset201 = Future(201, symbol="CLM15")
|
|
|
|
# Check for correct mapping and types
|
|
pre_map = [asset1, asset2, asset200, asset201]
|
|
post_map = finder.map_identifier_index_to_sids(pre_map, dt)
|
|
self.assertListEqual([1, 2, 200, 201], post_map)
|
|
for sid in post_map:
|
|
self.assertIsInstance(sid, int)
|
|
|
|
# Change order and check mapping again
|
|
pre_map = [asset201, asset2, asset200, asset1]
|
|
post_map = finder.map_identifier_index_to_sids(pre_map, dt)
|
|
self.assertListEqual([201, 2, 200, 1], post_map)
|