mirror of
https://github.com/wassname/catalyst.git
synced 2026-06-29 03:19:15 +08:00
Jonathan Kamens
67 lines
2.7 KiB
Python
67 lines
2.7 KiB
Python
#
|
|
# Copyright 2014 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.
|
|
import pandas as pd
|
|
|
|
from nose_parameterized import parameterized
|
|
from six.moves import range
|
|
from unittest import TestCase
|
|
from zipline import TradingAlgorithm
|
|
from zipline.test_algorithms import NoopAlgorithm
|
|
from zipline.utils import factory
|
|
|
|
|
|
class BeforeTradingAlgorithm(TradingAlgorithm):
|
|
def __init__(self, *args, **kwargs):
|
|
self.before_trading_at = []
|
|
super(BeforeTradingAlgorithm, self).__init__(*args, **kwargs)
|
|
|
|
def before_trading_start(self):
|
|
self.before_trading_at.append(self.datetime)
|
|
|
|
|
|
FREQUENCIES = {'daily': 0, 'minute': 1} # daily is less frequent than minute
|
|
|
|
|
|
class TestTradeSimulation(TestCase):
|
|
|
|
def test_minutely_emissions_generate_performance_stats_for_last_day(self):
|
|
params = factory.create_simulation_parameters(num_days=1,
|
|
data_frequency='minute',
|
|
emission_rate='minute')
|
|
algo = NoopAlgorithm(sim_params=params)
|
|
algo.run(source=[], overwrite_sim_params=False)
|
|
self.assertEqual(algo.perf_tracker.day_count, 1.0)
|
|
|
|
@parameterized.expand([('%s_%s_%s' % (num_days, freq, emission_rate),
|
|
num_days, freq, emission_rate)
|
|
for freq in FREQUENCIES
|
|
for emission_rate in FREQUENCIES
|
|
for num_days in range(1, 4)
|
|
if FREQUENCIES[emission_rate] <= FREQUENCIES[freq]])
|
|
def test_before_trading_start(self, test_name, num_days, freq,
|
|
emission_rate):
|
|
params = factory.create_simulation_parameters(
|
|
num_days=num_days, data_frequency=freq,
|
|
emission_rate=emission_rate)
|
|
|
|
algo = BeforeTradingAlgorithm(sim_params=params)
|
|
algo.run(source=[], overwrite_sim_params=False)
|
|
|
|
self.assertEqual(algo.perf_tracker.day_count, num_days)
|
|
self.assertTrue(params.trading_days.equals(
|
|
pd.DatetimeIndex(algo.before_trading_at)),
|
|
"Expected %s but was %s."
|
|
% (params.trading_days, algo.before_trading_at))
|