mirror of
https://github.com/wassname/catalyst.git
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Stewart Douglas
930 lines
34 KiB
Python
930 lines
34 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 datetime, timedelta
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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 pandas.tseries.tools import normalize_date
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from pandas.util.testing import assert_frame_equal
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from nose_parameterized import parameterized
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from numpy import full
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from zipline.assets import Asset, Equity, Future, AssetFinder
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from zipline.assets.futures import FutureChain
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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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RootSymbolNotFound,
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)
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from zipline.finance.trading import TradingEnvironment
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from zipline.utils.test_utils import (
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all_subindices,
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make_rotating_asset_info,
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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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'symbol': 'duplicated',
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'start_date': dupe_0_start.value,
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'end_date': 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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'symbol': 'duplicated',
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'start_date': dupe_1_start.value,
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'end_date': 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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'symbol': 'unique',
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'start_date': unique_start.value,
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'end_date': unique_end.value,
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'exchange': '',
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},
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],
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index='sid')
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env = TradingEnvironment()
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env.write_data(equities_df=frame)
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finder = env.asset_finder
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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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auto_close_date=pd.Timestamp('2014-01-18', 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("auto_close_date=Timestamp('2014-01-18 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('auto_close_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 setUp(self):
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self.env = TradingEnvironment()
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def test_lookup_symbol_delimited(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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'symbol': 'TEST.%d' % i,
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'company_name': "company%d" % i,
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'start_date': as_of.value,
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'end_date': 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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self.env.write_data(equities_df=frame)
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finder = AssetFinder(self.env.engine)
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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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# we do it twice to catch caching bugs
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for i in range(2):
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with self.assertRaises(SymbolNotFound):
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finder.lookup_symbol('test', as_of)
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with self.assertRaises(SymbolNotFound):
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finder.lookup_symbol('test1', as_of)
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# '@' is not a supported delimiter
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with self.assertRaises(SymbolNotFound):
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finder.lookup_symbol('test@1', as_of)
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# Adding an unnecessary fuzzy shouldn't matter.
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for fuzzy_char in ['-', '/', '_', '.']:
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self.assertEqual(
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asset_1,
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finder.lookup_symbol('test%s1' % fuzzy_char, as_of)
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)
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def test_lookup_symbol_fuzzy(self):
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metadata = {
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0: {'symbol': 'PRTY_HRD'},
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1: {'symbol': 'BRKA'},
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2: {'symbol': 'BRK_A'},
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}
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self.env.write_data(equities_data=metadata)
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finder = self.env.asset_finder
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dt = pd.Timestamp('2013-01-01', tz='UTC')
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# Try combos of looking up PRTYHRD with and without a time or fuzzy
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# Both non-fuzzys get no result
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with self.assertRaises(SymbolNotFound):
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finder.lookup_symbol('PRTYHRD', None)
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with self.assertRaises(SymbolNotFound):
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finder.lookup_symbol('PRTYHRD', dt)
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# Both fuzzys work
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self.assertEqual(0, finder.lookup_symbol('PRTYHRD', None, fuzzy=True))
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self.assertEqual(0, finder.lookup_symbol('PRTYHRD', dt, fuzzy=True))
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# Try combos of looking up PRTY_HRD, all returning sid 0
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self.assertEqual(0, finder.lookup_symbol('PRTY_HRD', None))
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self.assertEqual(0, finder.lookup_symbol('PRTY_HRD', dt))
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self.assertEqual(0, finder.lookup_symbol('PRTY_HRD', None, fuzzy=True))
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self.assertEqual(0, finder.lookup_symbol('PRTY_HRD', dt, fuzzy=True))
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# Try combos of looking up BRKA, all returning sid 1
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self.assertEqual(1, finder.lookup_symbol('BRKA', None))
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self.assertEqual(1, finder.lookup_symbol('BRKA', dt))
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self.assertEqual(1, finder.lookup_symbol('BRKA', None, fuzzy=True))
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self.assertEqual(1, finder.lookup_symbol('BRKA', dt, fuzzy=True))
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# Try combos of looking up BRK_A, all returning sid 2
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self.assertEqual(2, finder.lookup_symbol('BRK_A', None))
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self.assertEqual(2, finder.lookup_symbol('BRK_A', dt))
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self.assertEqual(2, finder.lookup_symbol('BRK_A', None, fuzzy=True))
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self.assertEqual(2, finder.lookup_symbol('BRK_A', dt, fuzzy=True))
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def test_lookup_symbol(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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'symbol': 'existing',
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'start_date': date.value,
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'end_date': (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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self.env.write_data(equities_df=df)
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finder = AssetFinder(self.env.engine)
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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('non_existing', dates[0])
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with self.assertRaises(MultipleSymbolsFound):
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finder.lookup_symbol('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('existing', date)
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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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{
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'sid': 0,
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'symbol': 'real',
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'start_date': pd.Timestamp('2013-1-1', tz='UTC'),
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'end_date': 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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'symbol': 'also_real',
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'start_date': pd.Timestamp('2013-1-1', tz='UTC'),
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'end_date': 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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'symbol': 'real_but_old',
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'start_date': pd.Timestamp('2002-1-1', tz='UTC'),
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'end_date': pd.Timestamp('2003-1-1', tz='UTC'),
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'exchange': '',
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},
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# Sid whose start_date is **after** our query date. We should
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# **not** find it.
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{
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'sid': 3,
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'symbol': 'real_but_in_the_future',
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'start_date': pd.Timestamp('2014-1-1', tz='UTC'),
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'end_date': 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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self.env.write_data(equities_df=data)
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finder = AssetFinder(self.env.engine)
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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(results[2].symbol, 'REAL_BUT_OLD')
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self.assertEqual(results[2].sid, 2)
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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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data = {0: {'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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self.env.write_data(equities_data=data)
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finder = AssetFinder(self.env.engine)
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# Test proper insertion
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equity = finder.retrieve_asset(0)
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self.assertIsInstance(equity, Equity)
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self.assertEqual('PLAY', equity.symbol)
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self.assertEqual(pd.Timestamp('2015-01-01', tz='UTC'),
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equity.end_date)
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# Test invalid field
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with self.assertRaises(AttributeError):
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equity.foo_data
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def test_consume_metadata(self):
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# Test dict consumption
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dict_to_consume = {0: {'symbol': 'PLAY'},
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1: {'symbol': 'MSFT'}}
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self.env.write_data(equities_data=dict_to_consume)
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finder = AssetFinder(self.env.engine)
|
|
|
|
equity = finder.retrieve_asset(0)
|
|
self.assertIsInstance(equity, Equity)
|
|
self.assertEqual('PLAY', equity.symbol)
|
|
|
|
# Test dataframe consumption
|
|
df = pd.DataFrame(columns=['asset_name', 'exchange'], index=[0, 1])
|
|
df['asset_name'][0] = "Dave'N'Busters"
|
|
df['exchange'][0] = "NASDAQ"
|
|
df['asset_name'][1] = "Microsoft"
|
|
df['exchange'][1] = "NYSE"
|
|
self.env = TradingEnvironment()
|
|
self.env.write_data(equities_df=df)
|
|
finder = AssetFinder(self.env.engine)
|
|
self.assertEqual('NASDAQ', finder.retrieve_asset(0).exchange)
|
|
self.assertEqual('Microsoft', finder.retrieve_asset(1).asset_name)
|
|
|
|
def test_consume_asset_as_identifier(self):
|
|
# Build some end dates
|
|
eq_end = pd.Timestamp('2012-01-01', tz='UTC')
|
|
fut_end = pd.Timestamp('2008-01-01', tz='UTC')
|
|
|
|
# Build some simple Assets
|
|
equity_asset = Equity(1, symbol="TESTEQ", end_date=eq_end)
|
|
future_asset = Future(200, symbol="TESTFUT", end_date=fut_end)
|
|
|
|
# Consume the Assets
|
|
self.env.write_data(equities_identifiers=[equity_asset],
|
|
futures_identifiers=[future_asset])
|
|
finder = AssetFinder(self.env.engine)
|
|
|
|
# Test equality with newly built Assets
|
|
self.assertEqual(equity_asset, finder.retrieve_asset(1))
|
|
self.assertEqual(future_asset, finder.retrieve_asset(200))
|
|
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', 'MSFT']
|
|
|
|
today = normalize_date(pd.Timestamp('2015-07-09', tz='UTC'))
|
|
|
|
# Write data with sid assignment
|
|
self.env.write_data(equities_identifiers=metadata,
|
|
allow_sid_assignment=True)
|
|
|
|
# Verify that Assets were built and different sids were assigned
|
|
finder = AssetFinder(self.env.engine)
|
|
play = finder.lookup_symbol('PLAY', today)
|
|
msft = finder.lookup_symbol('MSFT', today)
|
|
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', 'MSFT']
|
|
|
|
# Write data without sid assignment, asserting failure
|
|
with self.assertRaises(SidAssignmentError):
|
|
self.env.write_data(equities_identifiers=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')
|
|
},
|
|
}
|
|
self.env.write_data(futures_data=metadata)
|
|
finder = AssetFinder(self.env.engine)
|
|
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 pd.NaT for knowledge_date uses the value of as_of_date
|
|
ad_contracts = finder.lookup_future_chain('AD', dt, pd.NaT)
|
|
self.assertEqual(len(ad_contracts), 2)
|
|
|
|
# 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)
|
|
|
|
# Check that pd.NaT for as_of_date gives the whole chain
|
|
ad_contracts = finder.lookup_future_chain('AD', pd.NaT, first_day)
|
|
self.assertEqual(len(ad_contracts), 4)
|
|
|
|
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(self.env.engine)
|
|
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)
|
|
|
|
def test_compute_lifetimes(self):
|
|
num_assets = 4
|
|
env = TradingEnvironment()
|
|
trading_day = env.trading_day
|
|
first_start = pd.Timestamp('2015-04-01', tz='UTC')
|
|
|
|
frame = make_rotating_asset_info(
|
|
num_assets=num_assets,
|
|
first_start=first_start,
|
|
frequency=env.trading_day,
|
|
periods_between_starts=3,
|
|
asset_lifetime=5
|
|
)
|
|
|
|
env.write_data(equities_df=frame)
|
|
finder = env.asset_finder
|
|
|
|
all_dates = pd.date_range(
|
|
start=first_start,
|
|
end=frame.end_date.max(),
|
|
freq=trading_day,
|
|
)
|
|
|
|
for dates in all_subindices(all_dates):
|
|
expected_with_start_raw = full(
|
|
shape=(len(dates), num_assets),
|
|
fill_value=False,
|
|
dtype=bool,
|
|
)
|
|
expected_no_start_raw = full(
|
|
shape=(len(dates), num_assets),
|
|
fill_value=False,
|
|
dtype=bool,
|
|
)
|
|
|
|
for i, date in enumerate(dates):
|
|
it = frame[['start_date', 'end_date']].itertuples()
|
|
for j, start, end in it:
|
|
# This way of doing the checks is redundant, but very
|
|
# clear.
|
|
if start <= date <= end:
|
|
expected_with_start_raw[i, j] = True
|
|
if start < date:
|
|
expected_no_start_raw[i, j] = True
|
|
|
|
expected_with_start = pd.DataFrame(
|
|
data=expected_with_start_raw,
|
|
index=dates,
|
|
columns=frame.index.values,
|
|
)
|
|
result = finder.lifetimes(dates, include_start_date=True)
|
|
assert_frame_equal(result, expected_with_start)
|
|
|
|
expected_no_start = pd.DataFrame(
|
|
data=expected_no_start_raw,
|
|
index=dates,
|
|
columns=frame.index.values,
|
|
)
|
|
result = finder.lifetimes(dates, include_start_date=False)
|
|
assert_frame_equal(result, expected_no_start)
|
|
|
|
def test_sids(self):
|
|
# Ensure that the sids property of the AssetFinder is functioning
|
|
env = TradingEnvironment()
|
|
env.write_data(equities_identifiers=[1, 2, 3])
|
|
sids = env.asset_finder.sids
|
|
self.assertEqual(3, len(sids))
|
|
self.assertTrue(1 in sids)
|
|
self.assertTrue(2 in sids)
|
|
self.assertTrue(3 in sids)
|
|
|
|
|
|
class TestFutureChain(TestCase):
|
|
|
|
@classmethod
|
|
def setUpClass(cls):
|
|
metadata = {
|
|
0: {
|
|
'symbol': 'CLG06',
|
|
'root_symbol': 'CL',
|
|
'asset_type': 'future',
|
|
'start_date': pd.Timestamp('2005-12-01', tz='UTC'),
|
|
'notice_date': pd.Timestamp('2005-12-20', tz='UTC'),
|
|
'expiration_date': pd.Timestamp('2006-01-20', tz='UTC')},
|
|
1: {
|
|
'root_symbol': 'CL',
|
|
'symbol': 'CLK06',
|
|
'asset_type': 'future',
|
|
'start_date': pd.Timestamp('2005-12-01', tz='UTC'),
|
|
'notice_date': pd.Timestamp('2006-03-20', tz='UTC'),
|
|
'expiration_date': pd.Timestamp('2006-04-20', tz='UTC')},
|
|
2: {
|
|
'symbol': 'CLQ06',
|
|
'root_symbol': 'CL',
|
|
'asset_type': 'future',
|
|
'start_date': pd.Timestamp('2005-12-01', tz='UTC'),
|
|
'notice_date': pd.Timestamp('2006-06-20', tz='UTC'),
|
|
'expiration_date': pd.Timestamp('2006-07-20', tz='UTC')},
|
|
3: {
|
|
'symbol': 'CLX06',
|
|
'root_symbol': 'CL',
|
|
'asset_type': 'future',
|
|
'start_date': pd.Timestamp('2006-02-01', tz='UTC'),
|
|
'notice_date': pd.Timestamp('2006-09-20', tz='UTC'),
|
|
'expiration_date': pd.Timestamp('2006-10-20', tz='UTC')}
|
|
}
|
|
|
|
env = TradingEnvironment()
|
|
env.write_data(futures_data=metadata)
|
|
cls.asset_finder = env.asset_finder
|
|
|
|
@classmethod
|
|
def tearDownClass(cls):
|
|
del cls.asset_finder
|
|
|
|
def test_len(self):
|
|
""" Test the __len__ method of FutureChain.
|
|
"""
|
|
# None of the contracts have started yet.
|
|
cl = FutureChain(self.asset_finder, lambda: '2005-11-30', 'CL')
|
|
self.assertEqual(len(cl), 0)
|
|
|
|
# Sids 0, 1, & 2 have started, 3 has not yet started.
|
|
cl = FutureChain(self.asset_finder, lambda: '2005-12-01', 'CL')
|
|
self.assertEqual(len(cl), 3)
|
|
|
|
# Sid 0 is still valid the day before its notice date.
|
|
cl = FutureChain(self.asset_finder, lambda: '2005-12-19', 'CL')
|
|
self.assertEqual(len(cl), 3)
|
|
|
|
# Sid 0 is now invalid, leaving only Sids 1 & 2 valid.
|
|
cl = FutureChain(self.asset_finder, lambda: '2005-12-20', 'CL')
|
|
self.assertEqual(len(cl), 2)
|
|
|
|
# Sid 3 has started, so 1, 2, & 3 are now valid.
|
|
cl = FutureChain(self.asset_finder, lambda: '2006-02-01', 'CL')
|
|
self.assertEqual(len(cl), 3)
|
|
|
|
# All contracts are no longer valid.
|
|
cl = FutureChain(self.asset_finder, lambda: '2006-09-20', 'CL')
|
|
self.assertEqual(len(cl), 0)
|
|
|
|
def test_getitem(self):
|
|
""" Test the __getitem__ method of FutureChain.
|
|
"""
|
|
cl = FutureChain(self.asset_finder, lambda: '2005-12-01', 'CL')
|
|
self.assertEqual(cl[0], 0)
|
|
self.assertEqual(cl[1], 1)
|
|
self.assertEqual(cl[2], 2)
|
|
with self.assertRaises(IndexError):
|
|
cl[3]
|
|
|
|
cl = FutureChain(self.asset_finder, lambda: '2005-12-19', 'CL')
|
|
self.assertEqual(cl[0], 0)
|
|
|
|
cl = FutureChain(self.asset_finder, lambda: '2005-12-20', 'CL')
|
|
self.assertEqual(cl[0], 1)
|
|
|
|
cl = FutureChain(self.asset_finder, lambda: '2006-02-01', 'CL')
|
|
self.assertEqual(cl[-1], 3)
|
|
|
|
def test_root_symbols(self):
|
|
""" Test that different variations on root symbols are handled
|
|
as expected.
|
|
"""
|
|
# Make sure this successfully gets the chain for CL.
|
|
cl = FutureChain(self.asset_finder, lambda: '2005-12-01', 'CL')
|
|
self.assertEqual(cl.root_symbol, 'CL')
|
|
|
|
# These root symbols don't exist, so RootSymbolNotFound should
|
|
# be raised immediately.
|
|
with self.assertRaises(RootSymbolNotFound):
|
|
FutureChain(self.asset_finder, lambda: '2005-12-01', 'CLZ')
|
|
|
|
with self.assertRaises(RootSymbolNotFound):
|
|
FutureChain(self.asset_finder, lambda: '2005-12-01', '')
|
|
|
|
def test_repr(self):
|
|
""" Test the __repr__ method of FutureChain.
|
|
"""
|
|
cl = FutureChain(self.asset_finder, lambda: '2005-12-01', 'CL')
|
|
cl_feb = FutureChain(self.asset_finder, lambda: '2005-12-01', 'CL',
|
|
as_of_date=pd.Timestamp('2006-02-01', tz='UTC'))
|
|
|
|
# The default chain should not include the as of date.
|
|
self.assertEqual(repr(cl), "FutureChain(root_symbol='CL')")
|
|
|
|
# An explicit as of date should show up in the repr.
|
|
self.assertEqual(
|
|
repr(cl_feb),
|
|
("FutureChain(root_symbol='CL', "
|
|
"as_of_date='2006-02-01 00:00:00+00:00')")
|
|
)
|
|
|
|
def test_as_of(self):
|
|
""" Test the as_of method of FutureChain.
|
|
"""
|
|
cl = FutureChain(self.asset_finder, lambda: '2005-12-01', 'CL')
|
|
|
|
# Test that the as_of_date is set correctly to the future
|
|
feb = pd.Timestamp('2006-02-01', tz='UTC')
|
|
cl_feb = cl.as_of(feb)
|
|
self.assertEqual(
|
|
cl_feb.as_of_date,
|
|
pd.Timestamp(feb, tz='UTC')
|
|
)
|
|
|
|
# Test that the as_of_date is set correctly to the past, with
|
|
# args of str, datetime.datetime, and pd.Timestamp.
|
|
feb_prev = pd.Timestamp('2005-02-01', tz='UTC')
|
|
cl_feb_prev = cl.as_of(feb_prev)
|
|
self.assertEqual(
|
|
cl_feb_prev.as_of_date,
|
|
pd.Timestamp(feb_prev, tz='UTC')
|
|
)
|
|
|
|
feb_prev = pd.Timestamp(datetime(year=2005, month=2, day=1), tz='UTC')
|
|
cl_feb_prev = cl.as_of(feb_prev)
|
|
self.assertEqual(
|
|
cl_feb_prev.as_of_date,
|
|
pd.Timestamp(feb_prev, tz='UTC')
|
|
)
|
|
|
|
feb_prev = pd.Timestamp('2005-02-01', tz='UTC')
|
|
cl_feb_prev = cl.as_of(feb_prev)
|
|
self.assertEqual(
|
|
cl_feb_prev.as_of_date,
|
|
pd.Timestamp(feb_prev, tz='UTC')
|
|
)
|
|
|
|
# The chain as of the current dt should always be the same as
|
|
# the defualt chain.
|
|
self.assertEqual(cl[0], cl.as_of(pd.Timestamp('2005-12-01'))[0])
|
|
|
|
def test_offset(self):
|
|
""" Test the offset method of FutureChain.
|
|
"""
|
|
cl = FutureChain(self.asset_finder, lambda: '2005-12-01', 'CL')
|
|
|
|
# Test that an offset forward sets as_of_date as expected
|
|
self.assertEqual(
|
|
cl.offset('3 days').as_of_date,
|
|
cl.as_of_date + pd.Timedelta(days=3)
|
|
)
|
|
|
|
# Test that an offset backward sets as_of_date as expected, with
|
|
# time delta given as str, datetime.timedelta, and pd.Timedelta.
|
|
self.assertEqual(
|
|
cl.offset('-1000 days').as_of_date,
|
|
cl.as_of_date + pd.Timedelta(days=-1000)
|
|
)
|
|
self.assertEqual(
|
|
cl.offset(timedelta(days=-1000)).as_of_date,
|
|
cl.as_of_date + pd.Timedelta(days=-1000)
|
|
)
|
|
self.assertEqual(
|
|
cl.offset(pd.Timedelta('-1000 days')).as_of_date,
|
|
cl.as_of_date + pd.Timedelta(days=-1000)
|
|
)
|
|
|
|
# An offset of zero should give the original chain.
|
|
self.assertEqual(cl[0], cl.offset(0)[0])
|
|
self.assertEqual(cl[0], cl.offset("0 days")[0])
|
|
|
|
# A string that doesn't represent a time delta should raise a
|
|
# ValueError.
|
|
with self.assertRaises(ValueError):
|
|
cl.offset("blah")
|