def test_roll_forward(self):
# January 2017
# Su Mo Tu We Th Fr Sa
# 1 2 3 4 5 6 7
# the first three days of the year are holidays on the Tokyo exchange,
# so the first trading day should be the fourth
assert JP_EQUITIES.roll_forward("2017-01-01") == pd.Timestamp(
"2017-01-04", tz="UTC")
# in US exchanges, the first trading day after 1/1 is the 3rd
assert US_EQUITIES.roll_forward("2017-01-01") == pd.Timestamp(
"2017-01-03", tz="UTC")
# passing a valid trading day to roll_forward should return that day
assert JP_EQUITIES.roll_forward("2017-01-04") == pd.Timestamp(
"2017-01-04", tz="UTC")
# passing a date before the first session should return the
# first session
before_first_session = JP_EQUITIES.calendar.first_session - pd.Timedelta(
days=20)
assert (JP_EQUITIES.roll_forward(before_first_session) ==
JP_EQUITIES.calendar.first_session)
# requesting a session beyond the last session raises an ValueError
after_last_session = JP_EQUITIES.calendar.last_session + pd.Timedelta(
days=20)
expected_msg = (
f"Date {after_last_session.date()} was past the last session "
"for domain EquityCalendarDomain('JP', 'XTKS'). The last session for "
f"this domain is {JP_EQUITIES.calendar.last_session.date()}.")
with pytest.raises(ValueError, match=re.escape(expected_msg)):
JP_EQUITIES.roll_forward(after_last_session)
# test that a roll_forward works with an EquitySessionDomain,
# not just calendar domains
sessions = pd.DatetimeIndex(
["2000-01-01", "2000-02-01", "2000-04-01", "2000-06-01"], tz="UTC")
session_domain = EquitySessionDomain(sessions,
CountryCode.UNITED_STATES)
assert session_domain.roll_forward("2000-02-01") == pd.Timestamp(
"2000-02-01", tz="UTC")
assert session_domain.roll_forward("2000-02-02") == pd.Timestamp(
"2000-04-01", tz="UTC")
def test_roll_forward(self):
# January 2017
# Su Mo Tu We Th Fr Sa
# 1 2 3 4 5 6 7
# the first three days of the year are holidays on the Tokyo exchange,
# so the first trading day should be the fourth
self.assertEqual(
JP_EQUITIES.roll_forward('2017-01-01'),
pd.Timestamp('2017-01-04', tz='UTC'),
)
# in US exchanges, the first trading day after 1/1 is the 3rd
self.assertEqual(
US_EQUITIES.roll_forward('2017-01-01'),
pd.Timestamp('2017-01-03', tz='UTC'),
)
# passing a valid trading day to roll_forward should return that day
self.assertEqual(
JP_EQUITIES.roll_forward('2017-01-04'),
pd.Timestamp('2017-01-04', tz='UTC'),
)
# passing a date before the first session should return the
# first session
before_first_session = \
JP_EQUITIES.calendar.first_session - pd.Timedelta(days=20)
self.assertEqual(
JP_EQUITIES.roll_forward(before_first_session),
JP_EQUITIES.calendar.first_session
)
# requesting a session beyond the last session raises an ValueError
after_last_session = \
JP_EQUITIES.calendar.last_session + pd.Timedelta(days=20)
with self.assertRaises(ValueError) as ve:
JP_EQUITIES.roll_forward(after_last_session)
self.assertEqual(
str(ve.exception),
"Date {} was past the last session for domain "
"EquityCalendarDomain('JP', 'XTKS'). The last session for "
"this domain is {}.".format(
after_last_session.date(),
JP_EQUITIES.calendar.last_session.date(),
)
)
# test that a roll_forward works with an EquitySessionDomain,
# not just calendar domains
sessions = pd.DatetimeIndex(
['2000-01-01',
'2000-02-01',
'2000-04-01',
'2000-06-01'],
tz='UTC'
)
session_domain = EquitySessionDomain(
sessions, CountryCode.UNITED_STATES
)
self.assertEqual(
session_domain.roll_forward('2000-02-01'),
pd.Timestamp('2000-02-01', tz='UTC'),
)
self.assertEqual(
session_domain.roll_forward('2000-02-02'),
pd.Timestamp('2000-04-01', tz='UTC'),
)
def test_roll_forward(self):
# January 2017
# Su Mo Tu We Th Fr Sa
# 1 2 3 4 5 6 7
# the first three days of the year are holidays on the Tokyo exchange,
# so the first trading day should be the fourth
self.assertEqual(
JP_EQUITIES.roll_forward('2017-01-01'),
pd.Timestamp('2017-01-04', tz='UTC'),
)
# in US exchanges, the first trading day after 1/1 is the 3rd
self.assertEqual(
US_EQUITIES.roll_forward('2017-01-01'),
pd.Timestamp('2017-01-03', tz='UTC'),
)
# passing a valid trading day to roll_forward should return that day
self.assertEqual(
JP_EQUITIES.roll_forward('2017-01-04'),
pd.Timestamp('2017-01-04', tz='UTC'),
)
# passing a date before the first session should return the
# first session
before_first_session = \
JP_EQUITIES.calendar.first_session - pd.Timedelta(days=20)
self.assertEqual(
JP_EQUITIES.roll_forward(before_first_session),
JP_EQUITIES.calendar.first_session
)
# requesting a session beyond the last session raises an ValueError
after_last_session = \
JP_EQUITIES.calendar.last_session + pd.Timedelta(days=20)
with self.assertRaises(ValueError) as ve:
JP_EQUITIES.roll_forward(after_last_session)
self.assertEqual(
str(ve.exception),
"Date {} was past the last session for domain "
"EquityCalendarDomain('JP', 'XTKS'). The last session for "
"this domain is {}.".format(
after_last_session.date(),
JP_EQUITIES.calendar.last_session.date(),
)
)
# test that a roll_forward works with an EquitySessionDomain,
# not just calendar domains
sessions = pd.DatetimeIndex(
['2000-01-01',
'2000-02-01',
'2000-04-01',
'2000-06-01'],
tz='UTC'
)
session_domain = EquitySessionDomain(
sessions, CountryCode.UNITED_STATES
)
self.assertEqual(
session_domain.roll_forward('2000-02-01'),
pd.Timestamp('2000-02-01', tz='UTC'),
)
self.assertEqual(
session_domain.roll_forward('2000-02-02'),
pd.Timestamp('2000-04-01', tz='UTC'),
)