def test_security_list(self):
# set the knowledge date to the first day of the
# leveraged etf knowledge date.
def get_datetime():
return self.start
rl = SecurityListSet(get_datetime, self.env.asset_finder)
# assert that a sample from the leveraged list are in restricted
should_exist = [
asset.sid for asset in [
self.env.asset_finder.lookup_symbol(
symbol, as_of_date=self.extra_knowledge_date)
for symbol in ["BZQ", "URTY", "JFT"]
]
]
for sid in should_exist:
self.assertIn(
sid, rl.leveraged_etf_list.current_securities(get_datetime()))
# assert that a sample of allowed stocks are not in restricted
shouldnt_exist = [
asset.sid for asset in [
self.env.asset_finder.lookup_symbol(
symbol, as_of_date=self.extra_knowledge_date)
for symbol in ["AAPL", "GOOG"]
]
]
for sid in shouldnt_exist:
self.assertNotIn(
sid, rl.leveraged_etf_list.current_securities(get_datetime()))
def test_security_add_delete(self):
with security_list_copy():
def get_datetime():
return pd.Timestamp("2015-01-27", tz='UTC')
rl = SecurityListSet(get_datetime, self.env.asset_finder)
self.assertNotIn(
"BZQ",
rl.leveraged_etf_list.current_securities(get_datetime()))
self.assertNotIn(
"URTY",
rl.leveraged_etf_list.current_securities(get_datetime()))
def test_security_add(self):
def get_datetime():
return pd.Timestamp("2015-01-27", tz='UTC')
with security_list_copy():
add_security_data(['AAPL', 'GOOG'], [])
rl = SecurityListSet(get_datetime, self.env.asset_finder)
should_exist = [
asset.sid for asset in [
self.env.asset_finder.lookup_symbol(
symbol, as_of_date=self.extra_knowledge_date)
for symbol in ["AAPL", "GOOG", "BZQ", "URTY"]
]
]
for sid in should_exist:
self.assertIn(
sid,
rl.leveraged_etf_list.current_securities(get_datetime()))
def initialize(self, symbol):
self.rl = SecurityListSet(self.get_datetime, self.asset_finder)
self.set_asset_restrictions(self.rl.restrict_leveraged_etfs)
self.order_count = 0
self.sid = self.symbol(symbol)
self.found = False
def initialize(self, symbol):
self.rl = SecurityListSet(self.get_datetime, self.asset_finder)
self.set_do_not_order_list(self.rl.leveraged_etf_list)
self.order_count = 0
self.sid = self.symbol(symbol)