mirror of
https://github.com/wassname/catalyst.git
synced 2026-06-28 20:38:21 +08:00
fawce
78 lines
2.4 KiB
Python
78 lines
2.4 KiB
Python
"""
|
|
Test the FRAME/UNFRAME functions in the sequence expected from ziplines.
|
|
"""
|
|
import pytz
|
|
|
|
from unittest2 import TestCase
|
|
from datetime import datetime, timedelta
|
|
from collections import defaultdict
|
|
|
|
from nose.tools import timed
|
|
|
|
import zipline.utils.factory as factory
|
|
from zipline.utils import logger
|
|
import zipline.protocol as zp
|
|
|
|
from zipline.finance.sources import SpecificEquityTrades
|
|
|
|
DEFAULT_TIMEOUT = 5 # seconds
|
|
|
|
class ProtocolTestCase(TestCase):
|
|
|
|
leased_sockets = defaultdict(list)
|
|
|
|
def setUp(self):
|
|
#qutil.configure_logging()
|
|
self.trading_environment = factory.create_trading_environment()
|
|
|
|
@timed(DEFAULT_TIMEOUT)
|
|
def test_trade_feed_protocol(self):
|
|
|
|
sid = 133
|
|
price = [10.0] * 4
|
|
volume = [100] * 4
|
|
|
|
start_date = datetime.strptime("02/15/2012","%m/%d/%Y")
|
|
one_day_td = timedelta(days=1)
|
|
|
|
trades = factory.create_trade_history(
|
|
sid,
|
|
price,
|
|
volume,
|
|
one_day_td,
|
|
self.trading_environment
|
|
)
|
|
|
|
for trade in trades:
|
|
#simulate data source sending frame
|
|
msg = zp.DATASOURCE_FRAME(zp.ndict(trade))
|
|
#feed unpacking frame
|
|
recovered_trade = zp.DATASOURCE_UNFRAME(msg)
|
|
#feed sending frame
|
|
feed_msg = zp.FEED_FRAME(recovered_trade)
|
|
#transform unframing
|
|
recovered_feed = zp.FEED_UNFRAME(feed_msg)
|
|
#do a transform
|
|
trans_msg = zp.TRANSFORM_FRAME('helloworld', 2345.6)
|
|
#simulate passthrough transform -- passthrough shouldn't even
|
|
# unpack the msg, just resend.
|
|
|
|
passthrough_msg = zp.TRANSFORM_FRAME(zp.TRANSFORM_TYPE.PASSTHROUGH,\
|
|
feed_msg)
|
|
|
|
#merge unframes transform and passthrough
|
|
trans_recovered = zp.TRANSFORM_UNFRAME(trans_msg)
|
|
pt_recovered = zp.TRANSFORM_UNFRAME(passthrough_msg)
|
|
#simulated merge
|
|
pt_recovered.PASSTHROUGH.merge(trans_recovered)
|
|
#frame the merged event
|
|
merged_msg = zp.MERGE_FRAME(pt_recovered.PASSTHROUGH)
|
|
#unframe the merge and validate values
|
|
event = zp.MERGE_UNFRAME(merged_msg)
|
|
|
|
#check the transformed value, should only be in event, not trade.
|
|
self.assertTrue(event.helloworld == 2345.6)
|
|
event.delete('helloworld')
|
|
|
|
self.assertEqual(zp.ndict(trade), event)
|