mirror of
https://github.com/wassname/catalyst.git
synced 2026-06-28 18:27:14 +08:00
Stephen Diehl
130 lines
4.0 KiB
Python
130 lines
4.0 KiB
Python
"""
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Test the FRAME/UNFRAME functions in the sequence expected from ziplines.
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"""
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import pytz
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from unittest2 import TestCase
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from datetime import datetime, timedelta
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from collections import defaultdict
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from nose.tools import timed
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import zipline.utils.factory as factory
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from zipline.utils import logger
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import zipline.protocol as zp
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from zipline.finance.sources import SpecificEquityTrades
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DEFAULT_TIMEOUT = 5 # seconds
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class ProtocolTestCase(TestCase):
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leased_sockets = defaultdict(list)
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def setUp(self):
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#qutil.configure_logging()
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self.trading_environment = factory.create_trading_environment()
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@timed(DEFAULT_TIMEOUT)
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def test_trade_feed_protocol(self):
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sid = 133
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price = [10.0] * 4
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volume = [100] * 4
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start_date = datetime.strptime("02/15/2012","%m/%d/%Y")
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one_day_td = timedelta(days=1)
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trades = factory.create_trade_history(
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sid,
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price,
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volume,
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one_day_td,
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self.trading_environment
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)
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for trade in trades:
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#simulate data source sending frame
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msg = zp.DATASOURCE_FRAME(zp.ndict(trade))
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#feed unpacking frame
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recovered_trade = zp.DATASOURCE_UNFRAME(msg)
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#feed sending frame
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feed_msg = zp.FEED_FRAME(recovered_trade)
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#transform unframing
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recovered_feed = zp.FEED_UNFRAME(feed_msg)
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#do a transform
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trans_msg = zp.TRANSFORM_FRAME('helloworld', 2345.6)
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#simulate passthrough transform -- passthrough shouldn't even
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# unpack the msg, just resend.
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passthrough_msg = zp.TRANSFORM_FRAME(zp.TRANSFORM_TYPE.PASSTHROUGH,\
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feed_msg)
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#merge unframes transform and passthrough
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trans_recovered = zp.TRANSFORM_UNFRAME(trans_msg)
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pt_recovered = zp.TRANSFORM_UNFRAME(passthrough_msg)
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#simulated merge
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pt_recovered.PASSTHROUGH.merge(trans_recovered)
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#frame the merged event
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merged_msg = zp.MERGE_FRAME(pt_recovered.PASSTHROUGH)
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#unframe the merge and validate values
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event = zp.MERGE_UNFRAME(merged_msg)
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#check the transformed value, should only be in event, not trade.
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self.assertTrue(event.helloworld == 2345.6)
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event.delete('helloworld')
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self.assertEqual(zp.ndict(trade), event)
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@timed(DEFAULT_TIMEOUT)
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def test_order_protocol(self):
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#client places an order
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now = datetime.utcnow().replace(tzinfo=pytz.utc)
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order = zp.ndict({
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'dt':now,
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'sid':133,
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'amount':100
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})
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order_msg = zp.ORDER_FRAME(order)
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#order datasource receives
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order = zp.ORDER_UNFRAME(order_msg)
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self.assertEqual(order.sid, 133)
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self.assertEqual(order.amount, 100)
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self.assertEqual(order.dt, now)
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#order datasource datasource frames the order
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order_event = zp.ndict({
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"sid" : order.sid,
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"amount" : order.amount,
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"dt" : order.dt,
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"source_id" : zp.FINANCE_COMPONENT.ORDER_SOURCE,
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"type" : zp.DATASOURCE_TYPE.ORDER
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})
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order_ds_msg = zp.DATASOURCE_FRAME(order_event)
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#transaction transform unframes
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recovered_order = zp.DATASOURCE_UNFRAME(order_ds_msg)
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self.assertEqual(now, recovered_order.dt)
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#create a transaction from the order
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txn = zp.ndict({
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'sid' : recovered_order.sid,
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'amount' : recovered_order.amount,
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'dt' : recovered_order.dt,
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'price' : 10.0,
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'commission' : 0.50
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})
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#frame that transaction
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txn_msg = zp.TRANSFORM_FRAME(zp.TRANSFORM_TYPE.TRANSACTION, txn)
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#unframe
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recovered_tx = zp.TRANSFORM_UNFRAME(txn_msg).TRANSACTION
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self.assertEqual(recovered_tx.sid, 133)
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self.assertEqual(recovered_tx.amount, 100)
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