mirror of
https://github.com/wassname/catalyst.git
synced 2026-06-30 21:44:25 +08:00
Jonathan Kamens
266 lines
8.9 KiB
Python
266 lines
8.9 KiB
Python
#
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# Copyright 2013 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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from unittest import TestCase
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from zipline.utils import tradingcalendar
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from zipline.utils import tradingcalendar_lse
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from zipline.utils import tradingcalendar_tse
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from zipline.utils import tradingcalendar_bmf
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import pytz
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import datetime
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from zipline.finance.trading import TradingEnvironment
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from nose.tools import nottest
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class TestTradingCalendar(TestCase):
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def test_calendar_vs_environment(self):
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"""
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test_calendar_vs_environment checks whether the
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historical data from yahoo matches our rule based system.
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handy, if not canonical, reference:
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http://www.chronos-st.org/NYSE_Observed_Holidays-1885-Present.html
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"""
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env = TradingEnvironment()
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bench_days = env.benchmark_returns[tradingcalendar.start:].index
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bounds = env.trading_days.slice_locs(start=tradingcalendar.start,
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end=bench_days[-1])
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env_days = env.trading_days[bounds[0]:bounds[1]]
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self.check_days(env_days, bench_days)
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@nottest
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def test_lse_calendar_vs_environment(self):
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env = TradingEnvironment(
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bm_symbol='^FTSE',
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exchange_tz='Europe/London'
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)
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env_start_index = \
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env.trading_days.searchsorted(tradingcalendar_lse.start)
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env_days = env.trading_days[env_start_index:]
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cal_days = tradingcalendar_lse.trading_days
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self.check_days(env_days, cal_days)
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@nottest
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def test_tse_calendar_vs_environment(self):
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env = TradingEnvironment(
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bm_symbol='^GSPTSE',
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exchange_tz='US/Eastern'
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)
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env_start_index = \
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env.trading_days.searchsorted(tradingcalendar_tse.start)
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env_days = env.trading_days[env_start_index:]
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cal_days = tradingcalendar_tse.trading_days
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self.check_days(env_days, cal_days)
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@nottest
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def test_bmf_calendar_vs_environment(self):
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env = TradingEnvironment(
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bm_symbol='^BVSP',
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exchange_tz='America/Sao_Paulo'
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)
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env_start_index = \
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env.trading_days.searchsorted(tradingcalendar_bmf.start)
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env_days = env.trading_days[env_start_index:]
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cal_days = tradingcalendar_bmf.trading_days
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self.check_days(env_days, cal_days)
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def check_days(self, env_days, cal_days):
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diff = env_days.difference(cal_days)
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self.assertEqual(
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len(diff),
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0,
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"{diff} should be empty".format(diff=diff)
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)
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diff2 = cal_days.difference(env_days)
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self.assertEqual(
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len(diff2),
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0,
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"{diff} should be empty".format(diff=diff2)
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)
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def test_newyears(self):
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"""
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Check whether tradingcalendar contains certain dates.
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"""
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# January 2012
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# Su Mo Tu We Th Fr Sa
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# 1 2 3 4 5 6 7
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# 8 9 10 11 12 13 14
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# 15 16 17 18 19 20 21
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# 22 23 24 25 26 27 28
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# 29 30 31
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day_after_new_years_sunday = datetime.datetime(
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2012, 1, 2, tzinfo=pytz.utc)
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self.assertNotIn(day_after_new_years_sunday,
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tradingcalendar.trading_days,
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"""
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If NYE falls on a weekend, {0} the Monday after is a holiday.
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""".strip().format(day_after_new_years_sunday)
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)
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first_trading_day_after_new_years_sunday = datetime.datetime(
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2012, 1, 3, tzinfo=pytz.utc)
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self.assertIn(first_trading_day_after_new_years_sunday,
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tradingcalendar.trading_days,
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"""
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If NYE falls on a weekend, {0} the Tuesday after is the first trading day.
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""".strip().format(first_trading_day_after_new_years_sunday)
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)
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# January 2013
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# Su Mo Tu We Th Fr Sa
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# 1 2 3 4 5
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# 6 7 8 9 10 11 12
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# 13 14 15 16 17 18 19
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# 20 21 22 23 24 25 26
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# 27 28 29 30 31
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new_years_day = datetime.datetime(
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2013, 1, 1, tzinfo=pytz.utc)
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self.assertNotIn(new_years_day,
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tradingcalendar.trading_days,
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"""
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If NYE falls during the week, e.g. {0}, it is a holiday.
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""".strip().format(new_years_day)
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)
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first_trading_day_after_new_years = datetime.datetime(
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2013, 1, 2, tzinfo=pytz.utc)
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self.assertIn(first_trading_day_after_new_years,
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tradingcalendar.trading_days,
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"""
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If the day after NYE falls during the week, {0} \
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is the first trading day.
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""".strip().format(first_trading_day_after_new_years)
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)
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def test_thanksgiving(self):
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"""
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Check tradingcalendar Thanksgiving dates.
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"""
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# November 2005
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# Su Mo Tu We Th Fr Sa
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# 1 2 3 4 5
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# 6 7 8 9 10 11 12
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# 13 14 15 16 17 18 19
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# 20 21 22 23 24 25 26
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# 27 28 29 30
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thanksgiving_with_four_weeks = datetime.datetime(
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2005, 11, 24, tzinfo=pytz.utc)
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self.assertNotIn(thanksgiving_with_four_weeks,
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tradingcalendar.trading_days,
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"""
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If Nov has 4 Thursdays, {0} Thanksgiving is the last Thursady.
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""".strip().format(thanksgiving_with_four_weeks)
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)
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# November 2006
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# Su Mo Tu We Th Fr Sa
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# 1 2 3 4
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# 5 6 7 8 9 10 11
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# 12 13 14 15 16 17 18
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# 19 20 21 22 23 24 25
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# 26 27 28 29 30
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thanksgiving_with_five_weeks = datetime.datetime(
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2006, 11, 23, tzinfo=pytz.utc)
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self.assertNotIn(thanksgiving_with_five_weeks,
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tradingcalendar.trading_days,
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"""
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If Nov has 5 Thursdays, {0} Thanksgiving is not the last week.
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""".strip().format(thanksgiving_with_five_weeks)
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)
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first_trading_day_after_new_years_sunday = datetime.datetime(
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2012, 1, 3, tzinfo=pytz.utc)
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self.assertIn(first_trading_day_after_new_years_sunday,
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tradingcalendar.trading_days,
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"""
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If NYE falls on a weekend, {0} the Tuesday after is the first trading day.
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""".strip().format(first_trading_day_after_new_years_sunday)
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)
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def test_day_after_thanksgiving(self):
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early_closes = tradingcalendar.get_early_closes(
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tradingcalendar.start,
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tradingcalendar.end.replace(year=tradingcalendar.end.year + 1)
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)
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# November 2012
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# Su Mo Tu We Th Fr Sa
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# 1 2 3
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# 4 5 6 7 8 9 10
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# 11 12 13 14 15 16 17
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# 18 19 20 21 22 23 24
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# 25 26 27 28 29 30
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fourth_friday = datetime.datetime(2012, 11, 23, tzinfo=pytz.utc)
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self.assertIn(fourth_friday, early_closes)
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# November 2013
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# Su Mo Tu We Th Fr Sa
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# 1 2
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# 3 4 5 6 7 8 9
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# 10 11 12 13 14 15 16
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# 17 18 19 20 21 22 23
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# 24 25 26 27 28 29 30
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fifth_friday = datetime.datetime(2013, 11, 29, tzinfo=pytz.utc)
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self.assertIn(fifth_friday, early_closes)
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def test_early_close_independence_day_thursday(self):
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"""
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Until 2013, the market closed early the Friday after an
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Independence Day on Thursday. Since then, the early close is on
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Wednesday.
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"""
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early_closes = tradingcalendar.get_early_closes(
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tradingcalendar.start,
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tradingcalendar.end.replace(year=tradingcalendar.end.year + 1)
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)
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# July 2002
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# Su Mo Tu We Th Fr Sa
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# 1 2 3 4 5 6
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# 7 8 9 10 11 12 13
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# 14 15 16 17 18 19 20
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# 21 22 23 24 25 26 27
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# 28 29 30 31
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wednesday_before = datetime.datetime(2002, 7, 3, tzinfo=pytz.utc)
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friday_after = datetime.datetime(2002, 7, 5, tzinfo=pytz.utc)
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self.assertNotIn(wednesday_before, early_closes)
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self.assertIn(friday_after, early_closes)
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# July 2013
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# Su Mo Tu We Th Fr Sa
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# 1 2 3 4 5 6
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# 7 8 9 10 11 12 13
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# 14 15 16 17 18 19 20
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# 21 22 23 24 25 26 27
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# 28 29 30 31
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wednesday_before = datetime.datetime(2013, 7, 3, tzinfo=pytz.utc)
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friday_after = datetime.datetime(2013, 7, 5, tzinfo=pytz.utc)
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self.assertIn(wednesday_before, early_closes)
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self.assertNotIn(friday_after, early_closes)
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