mirror of
https://github.com/wassname/catalyst.git
synced 2026-07-03 23:48:25 +08:00
Stewart Douglas
746f70a133
The AssetDBWriter class and its subclasses will ultimately be responsible for creating the SQLite database tables and writing data to these tables. In the longer term AssetDBWriter and AssetFinder will be decoupled, sharing only an SQLite connection. However, for backward compatibility reasons this has not yet been fully implemented. Modify tests since AssetFinder no longer has a metadata_cache attribute.
860 lines
30 KiB
Python
860 lines
30 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 with_environment
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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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'file_name': 'duplicated',
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'company_name': 'duplicated_0',
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'start_date_nano': dupe_0_start.value,
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'end_date_nano': 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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'file_name': 'duplicated',
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'company_name': 'duplicated_1',
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'start_date_nano': dupe_1_start.value,
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'end_date_nano': 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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'file_name': 'unique',
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'company_name': 'unique',
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'start_date_nano': unique_start.value,
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'end_date_nano': unique_end.value,
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'exchange': '',
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},
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],
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)
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finder = AssetFinder(metadata=frame)
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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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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("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('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 test_lookup_symbol_fuzzy(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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'file_name': 'TEST@%d' % i,
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'company_name': "company%d" % i,
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'start_date_nano': as_of.value,
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'end_date_nano': 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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finder = AssetFinder(frame, fuzzy_char='@')
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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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for i in range(2): # we do it twice to test for caching bugs
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self.assertIsNone(finder.lookup_symbol('test', as_of))
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self.assertEqual(
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asset_1,
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finder.lookup_symbol('test@1', as_of)
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)
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# Adding an unnecessary fuzzy shouldn't matter.
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self.assertEqual(
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asset_1,
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finder.lookup_symbol('test@1', as_of, fuzzy=True)
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)
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# Shouldn't find this with no fuzzy_str passed.
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self.assertIsNone(finder.lookup_symbol('test1', as_of))
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# Should find exact match.
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self.assertEqual(
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asset_1,
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finder.lookup_symbol('test1', as_of, fuzzy=True),
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)
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def test_lookup_symbol_resolve_multiple(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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'file_name': 'existing',
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'company_name': 'existing',
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'start_date_nano': date.value,
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'end_date_nano': (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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finder = AssetFinder(df)
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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_resolve_multiple('non_existing', dates[0])
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with self.assertRaises(MultipleSymbolsFound):
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finder.lookup_symbol_resolve_multiple('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_resolve_multiple(
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'existing',
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date,
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)
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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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'file_name': 'real',
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'company_name': 'real',
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'start_date_nano': pd.Timestamp('2013-1-1', tz='UTC'),
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'end_date_nano': 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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'file_name': 'also_real',
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'company_name': 'also_real',
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'start_date_nano': pd.Timestamp('2013-1-1', tz='UTC'),
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'end_date_nano': 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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'file_name': 'real_but_old',
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'company_name': 'real_but_old',
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'start_date_nano': pd.Timestamp('2002-1-1', tz='UTC'),
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'end_date_nano': 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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'file_name': 'real_but_in_the_future',
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'company_name': 'real_but_in_the_future',
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'start_date_nano': pd.Timestamp('2014-1-1', tz='UTC'),
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'end_date_nano': 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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finder = AssetFinder(data)
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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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finder = AssetFinder()
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finder.insert_metadata(0,
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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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# 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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finder = AssetFinder()
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dict_to_consume = {0: {'symbol': 'PLAY'},
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1: {'symbol': 'MSFT'}}
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finder.consume_metadata(dict_to_consume)
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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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finder = AssetFinder()
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# Test dataframe consumption
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df = pd.DataFrame(columns=['asset_name', 'exchange'], index=[0, 1])
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df['asset_name'][0] = "Dave'N'Busters"
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df['exchange'][0] = "NASDAQ"
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df['asset_name'][1] = "Microsoft"
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df['exchange'][1] = "NYSE"
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finder.consume_metadata(df)
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self.assertEqual('NASDAQ', finder.retrieve_asset(0).exchange)
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self.assertEqual('Microsoft', finder.retrieve_asset(1).asset_name)
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def test_consume_asset_as_identifier(self):
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# Build some end dates
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eq_end = pd.Timestamp('2012-01-01', tz='UTC')
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fut_end = pd.Timestamp('2008-01-01', tz='UTC')
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# Build some simple Assets
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equity_asset = Equity(1, symbol="TESTEQ", end_date=eq_end)
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future_asset = Future(200, symbol="TESTFUT", end_date=fut_end)
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# Consume the Assets
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finder = AssetFinder()
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finder.consume_identifiers([equity_asset, future_asset])
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# Test equality with newly built Assets
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self.assertEqual(equity_asset, finder.retrieve_asset(1))
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self.assertEqual(future_asset, finder.retrieve_asset(200))
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self.assertEqual(eq_end, finder.retrieve_asset(1).end_date)
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self.assertEqual(fut_end, finder.retrieve_asset(200).end_date)
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def test_sid_assignment(self):
|
|
|
|
# This metadata does not contain SIDs
|
|
metadata = {'PLAY': {'symbol': 'PLAY'},
|
|
'MSFT': {'symbol': 'MSFT'}}
|
|
|
|
today = normalize_date(pd.Timestamp('2015-07-09', tz='UTC'))
|
|
|
|
# Build a finder that is allowed to assign sids
|
|
finder = AssetFinder(metadata=metadata,
|
|
allow_sid_assignment=True)
|
|
|
|
# Verify that Assets were built and different sids were assigned
|
|
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': {'symbol': 'PLAY'},
|
|
'MSFT': {'symbol': 'MSFT'}}
|
|
|
|
# Build a finder that is not allowed to assign sids, asserting failure
|
|
with self.assertRaises(SidAssignmentError):
|
|
AssetFinder(metadata=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')
|
|
},
|
|
|
|
}
|
|
|
|
finder = AssetFinder(metadata=metadata)
|
|
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()
|
|
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)
|
|
|
|
@with_environment()
|
|
def test_compute_lifetimes(self, env=None):
|
|
num_assets = 4
|
|
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
|
|
)
|
|
finder = AssetFinder(frame)
|
|
|
|
all_dates = pd.date_range(
|
|
start=first_start,
|
|
end=frame.end_date.max(),
|
|
freq=trading_day,
|
|
)
|
|
|
|
for dates in all_subindices(all_dates):
|
|
expected_mask = 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:
|
|
if start <= date <= end:
|
|
expected_mask[i, j] = True
|
|
|
|
# Filter out columns with all-empty columns.
|
|
expected_result = pd.DataFrame(
|
|
data=expected_mask,
|
|
index=dates,
|
|
columns=frame.sid.values,
|
|
)
|
|
actual_result = finder.lifetimes(dates)
|
|
assert_frame_equal(actual_result, expected_result)
|
|
|
|
|
|
class TestFutureChain(TestCase):
|
|
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')}
|
|
}
|
|
|
|
asset_finder = AssetFinder(metadata=metadata)
|
|
|
|
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")
|