wassname/catalyst
1
0
Fork 0
mirror of https://github.com/wassname/catalyst.git synced 2026-06-28 03:33:01 +08:00
Code Issues Packages Projects Releases Wiki Activity
Files
86f892eade1dcae9eb363256cd9f3842734c2603
catalyst/tests/test_finance.py
T
Conner Fromknecht 99efa7a9f3 Fixed catalyst tests except example tests
2017-06-19 14:43:10 -07:00

458 lines
17 KiB
Python
Raw Blame History

#
# Copyright 2013 Quantopian, Inc.
#
# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
# You may obtain a copy of the License at
#
# http://www.apache.org/licenses/LICENSE-2.0
#
# Unless required by applicable law or agreed to in writing, software
# distributed under the License is distributed on an "AS IS" BASIS,
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
# See the License for the specific language governing permissions and
# limitations under the License.
"""
Tests for the catalyst.finance package
"""
from datetime import datetime, timedelta
import os
from nose.tools import timed
import numpy as np
import pandas as pd
import pytz
from six import iteritems
from six.moves import range
from testfixtures import TempDirectory
from catalyst.assets.synthetic import make_simple_equity_info
from catalyst.finance.blotter import Blotter
from catalyst.finance.execution import MarketOrder, LimitOrder
from catalyst.finance.performance import PerformanceTracker
from catalyst.finance.trading import SimulationParameters
from catalyst.data.us_equity_pricing import BcolzDailyBarReader
from catalyst.data.minute_bars import BcolzMinuteBarReader
from catalyst.data.data_portal import DataPortal
from catalyst.data.us_equity_pricing import BcolzDailyBarWriter
from catalyst.finance.slippage import FixedSlippage
from catalyst.finance.asset_restrictions import NoRestrictions
from catalyst.protocol import BarData
from catalyst.testing import (
tmp_trading_env,
write_bcolz_minute_data,
)
from catalyst.testing.fixtures import (
WithLogger,
WithTradingEnvironment,
ZiplineTestCase,
)
import catalyst.utils.factory as factory
DEFAULT_TIMEOUT = 15 # seconds
EXTENDED_TIMEOUT = 90
_multiprocess_can_split_ = False
class FinanceTestCase(WithLogger,
WithTradingEnvironment,
ZiplineTestCase):
ASSET_FINDER_EQUITY_SIDS = 1, 2, 133
start = START_DATE = pd.Timestamp('2006-01-01', tz='utc')
end = END_DATE = pd.Timestamp('2006-12-31', tz='utc')
def init_instance_fixtures(self):
super(FinanceTestCase, self).init_instance_fixtures()
self.catalyst_test_config = {'sid': 133}
# TODO: write tests for short sales
# TODO: write a test to do massive buying or shorting.
@timed(DEFAULT_TIMEOUT)
def test_partially_filled_orders(self):
# create a scenario where order size and trade size are equal
# so that orders must be spread out over several trades.
params = {
'trade_count': 360,
'trade_interval': timedelta(minutes=1),
'order_count': 2,
'order_amount': 100,
'order_interval': timedelta(minutes=1),
# because we placed two orders for 100 shares each, and the volume
# of each trade is 100, and by default you can take up 2.5% of the
# bar's volume, the simulator should spread the order into 100
# trades of 2 shares per order.
'expected_txn_count': 100,
'expected_txn_volume': 2 * 100,
'default_slippage': True
}
self.transaction_sim(**params)
# same scenario, but with short sales
params2 = {
'trade_count': 360,
'trade_interval': timedelta(minutes=1),
'order_count': 2,
'order_amount': -100,
'order_interval': timedelta(minutes=1),
'expected_txn_count': 100,
'expected_txn_volume': 2 * -100,
'default_slippage': True
}
self.transaction_sim(**params2)
@timed(DEFAULT_TIMEOUT)
def test_collapsing_orders(self):
# create a scenario where order.amount <<< trade.volume
# to test that several orders can be covered properly by one trade,
# but are represented by multiple transactions.
params1 = {
'trade_count': 6,
'trade_interval': timedelta(hours=1),
'order_count': 24,
'order_amount': 1,
'order_interval': timedelta(minutes=1),
# because we placed an orders totaling less than 25% of one trade
# the simulator should produce just one transaction.
'expected_txn_count': 24,
'expected_txn_volume': 24
}
self.transaction_sim(**params1)
# second verse, same as the first. except short!
params2 = {
'trade_count': 6,
'trade_interval': timedelta(hours=1),
'order_count': 24,
'order_amount': -1,
'order_interval': timedelta(minutes=1),
'expected_txn_count': 24,
'expected_txn_volume': -24
}
self.transaction_sim(**params2)
# Runs the collapsed trades over daily trade intervals.
# Ensuring that our delay works for daily intervals as well.
params3 = {
'trade_count': 6,
'trade_interval': timedelta(days=1),
'order_count': 24,
'order_amount': 1,
'order_interval': timedelta(minutes=1),
'expected_txn_count': 24,
'expected_txn_volume': 24
}
self.transaction_sim(**params3)
@timed(DEFAULT_TIMEOUT)
def test_alternating_long_short(self):
# create a scenario where we alternate buys and sells
params1 = {
'trade_count': int(6.5 * 60 * 4),
'trade_interval': timedelta(minutes=1),
'order_count': 4,
'order_amount': 10,
'order_interval': timedelta(hours=24),
'alternate': True,
'complete_fill': True,
'expected_txn_count': 4,
'expected_txn_volume': 0 # equal buys and sells
}
self.transaction_sim(**params1)
def transaction_sim(self, **params):
"""This is a utility method that asserts expected
results for conversion of orders to transactions given a
trade history
"""
trade_count = params['trade_count']
trade_interval = params['trade_interval']
order_count = params['order_count']
order_amount = params['order_amount']
order_interval = params['order_interval']
expected_txn_count = params['expected_txn_count']
expected_txn_volume = params['expected_txn_volume']
# optional parameters
# ---------------------
# if present, alternate between long and short sales
alternate = params.get('alternate')
# if present, expect transaction amounts to match orders exactly.
complete_fill = params.get('complete_fill')
asset1 = self.asset_finder.retrieve_asset(1)
metadata = make_simple_equity_info([asset1.sid], self.start, self.end)
with TempDirectory() as tempdir, \
tmp_trading_env(equities=metadata,
load=self.make_load_function()) as env:
if trade_interval < timedelta(days=1):
sim_params = factory.create_simulation_parameters(
start=self.start,
end=self.end,
data_frequency="minute"
)
minutes = self.trading_calendar.minutes_window(
sim_params.first_open,
int((trade_interval.total_seconds() / 60) * trade_count)
+ 100)
price_data = np.array([10.1] * len(minutes))
assets = {
asset1.sid: pd.DataFrame({
"open": price_data,
"high": price_data,
"low": price_data,
"close": price_data,
"volume": np.array([100] * len(minutes)),
"dt": minutes
}).set_index("dt")
}
write_bcolz_minute_data(
self.trading_calendar,
self.trading_calendar.sessions_in_range(
self.trading_calendar.minute_to_session_label(
minutes[0]
),
self.trading_calendar.minute_to_session_label(
minutes[-1]
)
),
tempdir.path,
iteritems(assets),
)
equity_minute_reader = BcolzMinuteBarReader(tempdir.path)
data_portal = DataPortal(
env.asset_finder, self.trading_calendar,
first_trading_day=equity_minute_reader.first_trading_day,
equity_minute_reader=equity_minute_reader,
)
else:
sim_params = factory.create_simulation_parameters(
data_frequency="daily"
)
days = sim_params.sessions
assets = {
1: pd.DataFrame({
"open": [10.1] * len(days),
"high": [10.1] * len(days),
"low": [10.1] * len(days),
"close": [10.1] * len(days),
"volume": [100] * len(days),
"day": [day.value for day in days]
}, index=days)
}
path = os.path.join(tempdir.path, "testdata.bcolz")
BcolzDailyBarWriter(path, self.trading_calendar, days[0],
days[-1]).write(
assets.items()
)
equity_daily_reader = BcolzDailyBarReader(path)
data_portal = DataPortal(
env.asset_finder, self.trading_calendar,
first_trading_day=equity_daily_reader.first_trading_day,
equity_daily_reader=equity_daily_reader,
)
if "default_slippage" not in params or \
not params["default_slippage"]:
slippage_func = FixedSlippage()
else:
slippage_func = None
blotter = Blotter(sim_params.data_frequency, slippage_func)
start_date = sim_params.first_open
if alternate:
alternator = -1
else:
alternator = 1
tracker = PerformanceTracker(sim_params, self.trading_calendar,
self.env)
# replicate what tradesim does by going through every minute or day
# of the simulation and processing open orders each time
if sim_params.data_frequency == "minute":
ticks = minutes
else:
ticks = days
transactions = []
order_list = []
order_date = start_date
for tick in ticks:
blotter.current_dt = tick
if tick >= order_date and len(order_list) < order_count:
# place an order
direction = alternator ** len(order_list)
order_id = blotter.order(
asset1,
order_amount * direction,
MarketOrder())
order_list.append(blotter.orders[order_id])
order_date = order_date + order_interval
# move after market orders to just after market next
# market open.
if order_date.hour >= 21:
if order_date.minute >= 00:
order_date = order_date + timedelta(days=1)
order_date = order_date.replace(hour=14, minute=30)
else:
bar_data = BarData(
data_portal=data_portal,
simulation_dt_func=lambda: tick,
data_frequency=sim_params.data_frequency,
trading_calendar=self.trading_calendar,
restrictions=NoRestrictions(),
)
txns, _, closed_orders = blotter.get_transactions(bar_data)
for txn in txns:
tracker.process_transaction(txn)
transactions.append(txn)
blotter.prune_orders(closed_orders)
for i in range(order_count):
order = order_list[i]
self.assertEqual(order.asset, asset1)
self.assertEqual(order.amount, order_amount * alternator ** i)
if complete_fill:
self.assertEqual(len(transactions), len(order_list))
total_volume = 0
for i in range(len(transactions)):
txn = transactions[i]
total_volume += txn.amount
if complete_fill:
order = order_list[i]
self.assertEqual(order.amount, txn.amount)
self.assertEqual(total_volume, expected_txn_volume)
self.assertEqual(len(transactions), expected_txn_count)
cumulative_pos = tracker.position_tracker.positions[asset1]
if total_volume == 0:
self.assertIsNone(cumulative_pos)
else:
self.assertEqual(total_volume, cumulative_pos.amount)
# the open orders should not contain the asset.
oo = blotter.open_orders
self.assertNotIn(
asset1,
oo,
"Entry is removed when no open orders"
)
def test_blotter_processes_splits(self):
blotter = Blotter('daily', equity_slippage=FixedSlippage())
# set up two open limit orders with very low limit prices,
# one for sid 1 and one for sid 2
asset1 = self.asset_finder.retrieve_asset(1)
asset2 = self.asset_finder.retrieve_asset(2)
asset133 = self.asset_finder.retrieve_asset(133)
blotter.order(asset1, 100, LimitOrder(10))
blotter.order(asset2, 100, LimitOrder(10))
# send in splits for assets 133 and 2. We have no open orders for
# asset 133 so it should be ignored.
blotter.process_splits([(asset133, 0.5), (asset2, 0.3333)])
for asset in [asset1, asset2]:
order_lists = blotter.open_orders[asset]
self.assertIsNotNone(order_lists)
self.assertEqual(1, len(order_lists))
asset1_order = blotter.open_orders[1][0]
asset2_order = blotter.open_orders[2][0]
# make sure the asset1 order didn't change
self.assertEqual(100, asset1_order.amount)
self.assertEqual(10, asset1_order.limit)
self.assertEqual(1, asset1_order.asset)
# make sure the asset2 order did change
# to 300 shares at 3.33
self.assertEqual(300, asset2_order.amount)
self.assertEqual(3.33, asset2_order.limit)
self.assertEqual(2, asset2_order.asset)
class TradingEnvironmentTestCase(WithLogger,
WithTradingEnvironment,
ZiplineTestCase):
"""
Tests for date management utilities in catalyst.finance.trading.
"""
def test_simulation_parameters(self):
sp = SimulationParameters(
start_session=pd.Timestamp("2008-01-01", tz='UTC'),
end_session=pd.Timestamp("2008-12-31", tz='UTC'),
capital_base=100000,
trading_calendar=self.trading_calendar,
)
self.assertTrue(sp.last_close.month == 12)
self.assertTrue(sp.last_close.day == 31)
@timed(DEFAULT_TIMEOUT)
def test_sim_params_days_in_period(self):
# January 2008
# 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
params = SimulationParameters(
start_session=pd.Timestamp("2007-12-31", tz='UTC'),
end_session=pd.Timestamp("2008-01-07", tz='UTC'),
capital_base=100000,
trading_calendar=self.trading_calendar,
)
expected_trading_days = (
datetime(2007, 12, 31, tzinfo=pytz.utc),
# Skip new years
# holidays taken from: http://www.nyse.com/press/1191407641943.html
datetime(2008, 1, 2, tzinfo=pytz.utc),
datetime(2008, 1, 3, tzinfo=pytz.utc),
datetime(2008, 1, 4, tzinfo=pytz.utc),
# Skip Saturday
# Skip Sunday
datetime(2008, 1, 7, tzinfo=pytz.utc)
)
num_expected_trading_days = 5
self.assertEquals(
num_expected_trading_days,
len(params.sessions)
)
np.testing.assert_array_equal(expected_trading_days,
params.sessions.tolist())
Reference in New Issue View Git Blame Copy Permalink