def test_factor_load_case2(self, mock_adv_date, mock_days_list,
mock_query_data):
"""
测试有tenor的情况
"""
start_date = '2016-01-01'
end_date = '2016-02-01'
factor_name = 'STDQ'
sec_id = ['000001.SZ', '000002.SZ', '000003.SZ', '000004.SZ']
mock_data = MockWindData(data=[[1, 2, 3, 4]],
codes=sec_id,
error_code=0,
fields=['STDQ'],
times=[datetime(2016, 1, 1)])
mock_query_data.return_value = mock_data
mock_days_list.return_value = [
datetime(2016, 1, 1), datetime(2016, 2, 1)
]
mock_adv_date.return_value = '2015-09-01'
calculated = factor_load(
start_date=start_date,
end_date=end_date,
factor_name=factor_name,
sec_id=sec_id,
tenor='3M',
output_data_format=OutputFormat.MULTI_INDEX_DF,
is_index=False)
expected = pd.DataFrame(
data=[1, 2, 3, 4, 1, 2, 3, 4],
index=pd.MultiIndex.from_product(
[['2016-01-01', '2016-02-01'],
['000001.SZ', '000002.SZ', '000003.SZ', '000004.SZ']],
names=['date', 'secID']),
columns=['factor'])
assert_frame_equal(calculated, expected)
calculated = factor_load(
start_date=start_date,
end_date=end_date,
factor_name=factor_name,
sec_id=sec_id,
tenor='3M',
output_data_format=OutputFormat.PIVOT_TABLE_DF,
is_index=False)
expected = pd.DataFrame(
data=[[1, 2, 3, 4], [1, 2, 3, 4]],
index=['2016-01-01', '2016-02-01'],
columns=['000001.SZ', '000002.SZ', '000003.SZ', '000004.SZ'])
assert_frame_equal(calculated, expected)
def testFactorLoad_case1(self, mock_query_data):
from WindAdapter.enums import OutputFormat
start_date = '2016-01-01'
end_date = '2016-02-01'
factor_name = 'PB'
sec_id = ['000001.SZ', '000002.SZ', '000003.SZ']
mock_data = MockWindData(
data=[[1, 3, 5]],
codes=sec_id,
error_code=0,
fields=['PB'],
times=[datetime(2016, 1, 1),
datetime(2016, 2, 1)])
mock_query_data.return_value = mock_data
calculated = factor_load(
start_date=start_date,
end_date=end_date,
factor_name=factor_name,
sec_id=sec_id,
output_data_format=OutputFormat.MULTI_INDEX_DF,
is_index=False)
expected = pd.DataFrame(data=[1, 3, 5, 1, 3, 5],
index=pd.MultiIndex.from_product(
[['2016-01-29', '2016-02-01'],
['000001.SZ', '000002.SZ', '000003.SZ']],
names=['date', 'secID']),
columns=['factor'])
assert_frame_equal(calculated, expected)
calculated = factor_load(
start_date=start_date,
end_date=end_date,
factor_name=factor_name,
sec_id=sec_id,
output_data_format=OutputFormat.PITVOT_TABLE_DF,
is_index=False)
expected = pd.DataFrame(
data=[[1, 3, 5], [1, 3, 5]],
columns=['000001.SZ', '000002.SZ', '000003.SZ'],
index=['2016-01-29', '2016-02-01'])
assert_frame_equal(calculated, expected)