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https://github.com/wassname/catalyst.git
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Delaney Granizo-Mackenzie
142 lines
4.8 KiB
Python
142 lines
4.8 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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import datetime
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import os
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import pickle
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import pytz
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from nose_parameterized import parameterized
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from unittest import TestCase
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from zipline.finance.blotter import Blotter, Order
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from zipline.finance.commission import PerShare, PerTrade, PerDollar
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from zipline.finance.performance.period import PerformancePeriod
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from zipline.finance.performance.position import Position
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from zipline.finance.performance.tracker import PerformanceTracker
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from zipline.finance.risk.cumulative import RiskMetricsCumulative
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from zipline.finance.risk.period import RiskMetricsPeriod
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from zipline.finance.risk.report import RiskReport
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from zipline.finance.slippage import (
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FixedSlippage,
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Transaction,
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VolumeShareSlippage
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)
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from zipline.protocol import Account
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from zipline.protocol import Portfolio
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from zipline.protocol import Position as ProtocolPosition
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from zipline.finance.trading import SimulationParameters
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from zipline.utils import factory
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sim_params_daily = SimulationParameters(
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datetime.datetime(2013, 6, 19, tzinfo=pytz.UTC),
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datetime.datetime(2013, 6, 19, tzinfo=pytz.UTC),
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10000,
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emission_rate='daily')
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sim_params_minute = SimulationParameters(
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datetime.datetime(2013, 6, 19, tzinfo=pytz.UTC),
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datetime.datetime(2013, 6, 19, tzinfo=pytz.UTC),
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10000,
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emission_rate='minute')
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returns = factory.create_returns_from_list(
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[1.0], sim_params_daily)
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base_state_dir = 'tests/resources/saved_state_archive'
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BASE_STATE_DIR = os.path.join(
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os.path.dirname(__file__),
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'resources',
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'saved_state_archive')
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class VersioningTestCase(TestCase):
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def load_state_from_disk(self, cls):
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state_dir = cls.__module__ + '.' + cls.__name__
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full_dir = BASE_STATE_DIR + '/' + state_dir
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state_files = \
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[f for f in os.listdir(full_dir) if 'State_Version_' in f]
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for f_name in state_files:
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f = open(full_dir + '/' + f_name, 'r')
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yield pickle.load(f)
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# Only test versioning in minutely mode right now
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@parameterized.expand([
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(Blotter, (), 'repr'),
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(Order, (datetime.datetime(2013, 6, 19), 8554, 100), 'dict'),
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(PerShare, (), 'dict'),
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(PerTrade, (), 'dict'),
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(PerDollar, (), 'dict'),
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(PerformancePeriod, (10000,), 'to_dict'),
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(Position, (8554,), 'dict'),
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(PerformanceTracker, (sim_params_minute,), 'to_dict'),
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(RiskMetricsCumulative, (sim_params_minute,), 'to_dict'),
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(RiskMetricsPeriod,
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(returns.index[0], returns.index[0], returns), 'to_dict'),
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(RiskReport, (returns, sim_params_minute), 'to_dict'),
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(FixedSlippage, (), 'dict'),
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(Transaction,
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(8554, 10, datetime.datetime(2013, 6, 19), 100, "0000"), 'dict'),
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(VolumeShareSlippage, (), 'dict'),
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(Account, (), 'dict'),
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(Portfolio, (), 'dict'),
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(ProtocolPosition, (8554,), 'dict')
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])
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def test_object_serialization(self,
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cls,
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initargs,
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comparison_method='dict'):
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# Make reference object
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obj = cls(*initargs)
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# Fetch state
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state_versions = self.load_state_from_disk(cls)
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for version in state_versions:
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# For each version inflate a new object and ensure that it
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# matches the original.
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newargs = version['newargs']
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initargs = version['initargs']
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state = version['obj_state']
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if newargs is not None:
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obj2 = cls.__new__(cls, *newargs)
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else:
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obj2 = cls.__new__(cls)
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if initargs is not None:
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obj2.__init__(*initargs)
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obj2.__setstate__(state)
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# The ObjectId generated on instantiation of Order will
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# not be the same as the one loaded from saved state.
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if cls == Order:
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obj.__dict__['id'] = obj2.__dict__['id']
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if comparison_method == 'repr':
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self.assertEqual(obj.__repr__(), obj2.__repr__())
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elif comparison_method == 'to_dict':
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self.assertEqual(obj.to_dict(), obj2.to_dict())
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else:
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self.assertEqual(obj.__dict__, obj2.__dict__)
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