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Eddie Hebert
e53622c930
Instead of using ndict, changing over to using the objects that are created used when an algorithm is run.
79 lines
2.1 KiB
Python
79 lines
2.1 KiB
Python
#
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# Copyright 2012 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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Unit tests for finance.slippage
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"""
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import datetime
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import pytz
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from unittest import TestCase
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from zipline.finance.slippage import VolumeShareSlippage
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from zipline.protocol import Event
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from zipline.gens.tradesimulation import Order
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class SlippageTestCase(TestCase):
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def test_volume_share_slippage(self):
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event = Event(
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{'volume': 200,
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'TRANSACTION': None,
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'type': 4,
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'price': 3.0,
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'datetime': datetime.datetime(
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2006, 1, 5, 14, 31, tzinfo=pytz.utc),
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'high': 3.15,
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'low': 2.85,
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'sid': 133,
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'source_id': 'test_source',
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'close': 3.0,
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'dt':
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datetime.datetime(2006, 1, 5, 14, 31, tzinfo=pytz.utc),
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'open': 3.0}
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)
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slippage_model = VolumeShareSlippage()
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open_orders = {133: [
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Order(
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{'dt': datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc),
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'amount': 100,
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'filled': 0, 'sid': 133})
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]}
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txn = slippage_model.simulate(
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event,
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open_orders
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)
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expected_txn = {
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'price': float(3.01875),
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'dt': datetime.datetime(
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2006, 1, 5, 14, 31, tzinfo=pytz.utc),
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'amount': int(50),
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'sid': int(133)
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}
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self.assertIsNotNone(txn)
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# TODO: Make expected_txn an Transaction object and ensure there
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# is a __eq__ for that class.
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self.assertEquals(expected_txn, txn.__dict__)
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