mirror of
https://github.com/wassname/catalyst.git
synced 2026-06-28 22:18:58 +08:00
Richard Frank
4d41070585
Moved grouping by date earlier in the pipeline of generators, prior to any date-dependent state getting involved. Grouping pulls from the pipeline until the start of the next group, which is in the next day. The effect of grouping after slippage but before handle_data is that slippage and the algo are out of sync by a transaction.
104 lines
2.9 KiB
Python
104 lines
2.9 KiB
Python
#!/usr/bin/python
|
|
#
|
|
# Copyright 2012 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.
|
|
|
|
from unittest import TestCase
|
|
from nose.tools import timed
|
|
|
|
from datetime import datetime
|
|
import pytz
|
|
|
|
from zipline.algorithm import TradingAlgorithm
|
|
from zipline.finance import slippage
|
|
from zipline.utils import factory
|
|
from zipline.utils.test_utils import (
|
|
setup_logger,
|
|
teardown_logger
|
|
)
|
|
|
|
DEFAULT_TIMEOUT = 15 # seconds
|
|
EXTENDED_TIMEOUT = 90
|
|
|
|
|
|
class RecordDateSlippage(slippage.FixedSlippage):
|
|
def __init__(self, spread):
|
|
super(RecordDateSlippage, self).__init__(spread=spread)
|
|
self.latest_date = None
|
|
|
|
def simulate(self, event, open_orders):
|
|
self.latest_date = event['datetime']
|
|
result = super(RecordDateSlippage, self).simulate(event, open_orders)
|
|
return result
|
|
|
|
|
|
class TestAlgo(TradingAlgorithm):
|
|
|
|
def __init__(self, asserter, *args, **kwargs):
|
|
super(TestAlgo, self).__init__(*args, **kwargs)
|
|
self.asserter = asserter
|
|
|
|
def initialize(self, window_length=100):
|
|
self.latest_date = None
|
|
|
|
self.set_slippage(RecordDateSlippage(spread=0.05))
|
|
self.stocks = [8229]
|
|
self.ordered = False
|
|
|
|
def handle_data(self, data):
|
|
self.latest_date = self.get_datetime()
|
|
|
|
if not self.ordered:
|
|
for stock in self.stocks:
|
|
self.order(stock, 100)
|
|
|
|
self.ordered = True
|
|
|
|
self.asserter.assertGreaterEqual(
|
|
self.latest_date,
|
|
self.slippage.latest_date
|
|
)
|
|
|
|
|
|
class AlgorithmGeneratorTestCase(TestCase):
|
|
def setUp(self):
|
|
setup_logger(self)
|
|
|
|
def tearDown(self):
|
|
teardown_logger(self)
|
|
|
|
@timed(DEFAULT_TIMEOUT)
|
|
def test_generator_dates(self):
|
|
"""
|
|
Ensure the pipeline of generators are in sync, at least as far as
|
|
their current dates.
|
|
"""
|
|
algo = TestAlgo(self)
|
|
trading_environment = factory.create_trading_environment(
|
|
start=datetime(2012, 1, 3, tzinfo=pytz.utc),
|
|
end=datetime(2012, 7, 30, tzinfo=pytz.utc)
|
|
)
|
|
trade_source = factory.create_daily_trade_source(
|
|
[8229],
|
|
200,
|
|
trading_environment
|
|
)
|
|
algo.set_sources([trade_source])
|
|
|
|
gen = algo.get_generator(trading_environment)
|
|
self.assertTrue(list(gen))
|
|
|
|
self.assertTrue(algo.slippage.latest_date)
|
|
self.assertTrue(algo.latest_date)
|