def test_get_unslipped_price(self):
broker = PaperBroker(DATA_DF)
t_get = T_START + pd.DateOffset(minutes=5)
with pytest.raises(ValueError):
pp = broker.get_unslipped_price('badtick', t_get)
price = broker.get_unslipped_price('tick0', t_get)
assert price == 5
def test_get_sell_price(self):
broker = PaperBroker(DATA_DF,
slippage_time=pd.DateOffset(seconds=30),
transaction_cost=2.0,
spread_pct=4)
t_get = T_START + pd.DateOffset(minutes=5)
price, fee, time = broker.get_sell_price('tick0', t_get)
assert time == t_get + pd.DateOffset(minutes=1)
assert fee == 2.0
assert price == pytest.approx(6 * (1.0 - 4.0 / 200.0))
def test_get_price(self):
broker = PaperBroker(DATA_DF,
slippage_time=pd.DateOffset(seconds=30),
transaction_cost=2.0)
t_get = T_START + pd.DateOffset(minutes=5)
with pytest.raises(ValueError):
p, f, t = broker.get_price('badtick', t_get)
price, fee, time = broker.get_price('tick0', t_get)
assert time == t_get + pd.DateOffset(minutes=1)
assert fee == 2.0
assert price == 6
def test_next_extant_time(self):
broker = PaperBroker(DATA_DF)
t_get = pd.to_datetime('2019/07/10-09:35:05:000000',
format='%Y/%m/%d-%H:%M:%S:%f')
t_out = broker.next_extant_time(t_get)
t_expect = pd.to_datetime('2019/07/10-09:36:00:000000',
format='%Y/%m/%d-%H:%M:%S:%f')
assert t_out == t_expect
t_get = pd.to_datetime('2019/07/10-11:35:00:000000',
format='%Y/%m/%d-%H:%M:%S:%f')
with pytest.raises(ValueError):
t_out = broker.next_extant_time(t_get)
def test_get_timeindex_subset(self):
broker = PaperBroker(DATA_DF)
t0 = pd.to_datetime('2019/07/10-09:29:00:000000',
format='%Y/%m/%d-%H:%M:%S:%f')
t1 = pd.to_datetime('2019/07/10-09:36:00:000000',
format='%Y/%m/%d-%H:%M:%S:%f')
with pytest.raises(ValueError):
tind = broker.get_timeindex_subset(t0, t1)
t0 = pd.to_datetime('2019/07/10-09:34:00:000000',
format='%Y/%m/%d-%H:%M:%S:%f')
t1 = pd.to_datetime('2019/07/10-11:36:00:000000',
format='%Y/%m/%d-%H:%M:%S:%f')
with pytest.raises(ValueError):
tind = broker.get_timeindex_subset(t0, t1)
with pytest.raises(TypeError):
tind = broker.get_timeindex_subset(0, t1)
with pytest.raises(TypeError):
tind = broker.get_timeindex_subset(t0, 1)
t1 = pd.to_datetime('2019/07/10-09:36:00:000000',
format='%Y/%m/%d-%H:%M:%S:%f')
tind = broker.get_timeindex_subset(t0, t1)
print(tind)
print(pd.date_range(t0, t1, freq='1min'))
assert np.array_equal(tind.values,
pd.date_range(t0, t1, freq='1min').values)
def test_init(self):
testseries = pd.Series(np.arange(10))
with pytest.raises(TypeError):
broker = PaperBroker(testseries)
with pytest.raises(TypeError):
broker = PaperBroker(DATA_DF, slippage_time=1.0)
with pytest.raises(TypeError):
broker = PaperBroker(DATA_DF, transaction_cost=lambda x: x**2)
with pytest.raises(ValueError):
broker = PaperBroker(DATA_DF, transaction_cost=-0.5)
with pytest.raises(TypeError):
broker = PaperBroker(DATA_DF, spread_pct=lambda x: x**2)
with pytest.raises(ValueError):
broker = PaperBroker(DATA_DF, spread_pct=-0.5)
with pytest.raises(ValueError):
broker = PaperBroker(DATA_DF, spread_pct=200)
def test_get_price_list(self):
broker = PaperBroker(DATA_DF)
t0 = T_START
t1 = T_START + pd.DateOffset(minutes=5)
with pytest.raises(ValueError):
prices = broker.get_price_list('badtick', t0, t1)
with pytest.raises(ValueError):
prices = broker.get_price_list(['badtick'], t0, t1)
prices = broker.get_price_list('tick0', t0, t1)
assert np.array_equal(prices['tick0'].values, np.arange(6))
prices = broker.get_price_list(['tick0', 'tick1'], t0, t1)
assert np.array_equal(prices['tick0'].values, np.arange(6))
assert np.array_equal(
prices['tick1'].values,
np.arange(len(TIMEINDEX) - 1,
len(TIMEINDEX) - 7, -1))
def test_get_tick_list(self):
broker = PaperBroker(DATA_DF)
ticks = broker.get_tick_list()
assert ticks == ['tick0', 'tick1']
def test_get_firstlast_times(self):
broker = PaperBroker(DATA_DF)
t0, t1 = broker.get_firstlast_times()
assert t0 == T_START
assert t1 == T_END
format='%Y/%m/%d-%H:%M:%S:%f')
T_END = pd.to_datetime('2019/07/10-10:00:00:000000',
format='%Y/%m/%d-%H:%M:%S:%f')
TIMEINDEX = pd.date_range(start=T_START, end=T_END, freq='1min')
DATA_DF = pd.DataFrame(data={
'tick0': np.arange(len(TIMEINDEX)),
'tick1': np.arange(len(TIMEINDEX) - 1, -1, -1)
},
index=TIMEINDEX)
T1 = T_START + pd.DateOffset(minutes=4)
T2 = T_START + pd.DateOffset(minutes=8)
T3 = T_START + pd.DateOffset(minutes=11)
BROKER = PaperBroker(DATA_DF)
class FakeIndicator(BaseIndicator):
def __init__(self, a):
self.a = a
super().__init__()
def get_indicator(self, stock_df):
return None
def __eq__(self, other):
return self.a == other.a
class FakeSignal(BaseSignal):