def test_normal(self): days_to_use = self.sim_params.sessions[1:] source = BenchmarkSource( self.env.asset_finder.retrieve_asset(1), self.trading_calendar, days_to_use, self.data_portal ) # should be the equivalent of getting the price history, then doing # a pct_change on it manually_calculated = self.data_portal.get_history_window( [1], days_to_use[-1], len(days_to_use), "1d", "close", "daily", )[1].pct_change() # compare all the fields except the first one, for which we don't have # data in manually_calculated for idx, day in enumerate(days_to_use[1:]): self.assertEqual( source.get_value(day), manually_calculated[idx + 1] ) # compare a slice of the data assert_series_equal( source.get_range(days_to_use[1], days_to_use[10]), manually_calculated[1:11] )
def test_normal(self): days_to_use = self.sim_params.sessions[1:] source = BenchmarkSource(self.env.asset_finder.retrieve_asset(1), self.trading_calendar, days_to_use, self.data_portal) # should be the equivalent of getting the price history, then doing # a pct_change on it manually_calculated = self.data_portal.get_history_window( [1], days_to_use[-1], len(days_to_use), "1d", "close", "daily", )[1].pct_change() # compare all the fields except the first one, for which we don't have # data in manually_calculated for idx, day in enumerate(days_to_use[1:]): self.assertEqual(source.get_value(day), manually_calculated[idx + 1]) # compare a slice of the data assert_series_equal(source.get_range(days_to_use[1], days_to_use[10]), manually_calculated[1:11])
def test_asset_IPOed_same_day(self): # gotta get some minute data up in here. # add sid 4 for a couple of days minutes = self.trading_calendar.minutes_for_sessions_in_range( self.sim_params.sessions[0], self.sim_params.sessions[5] ) tmp_reader = tmp_bcolz_equity_minute_bar_reader( self.trading_calendar, self.trading_calendar.all_sessions, create_minute_bar_data(minutes, [2]), ) with tmp_reader as reader: data_portal = DataPortal( self.env.asset_finder, self.trading_calendar, first_trading_day=reader.first_trading_day, equity_minute_reader=reader, equity_daily_reader=self.bcolz_equity_daily_bar_reader, adjustment_reader=self.adjustment_reader, ) source = BenchmarkSource( 2, self.env, self.trading_calendar, self.sim_params.sessions, data_portal ) days_to_use = self.sim_params.sessions # first value should be 0.0, coming from daily data self.assertAlmostEquals(0.0, source.get_value(days_to_use[0])) manually_calculated = data_portal.get_history_window( [2], days_to_use[-1], len(days_to_use), "1d", "close", )[2].pct_change() for idx, day in enumerate(days_to_use[1:]): self.assertEqual( source.get_value(day), manually_calculated[idx + 1] )
def test_asset_IPOed_same_day(self): # gotta get some minute data up in here. # add sid 4 for a couple of days minutes = self.env.minutes_for_days_in_range( self.sim_params.trading_days[0], self.sim_params.trading_days[5] ) path = write_minute_data( self.env, self.tempdir, minutes, [2] ) self.data_portal._minutes_equities_path = path source = BenchmarkSource( 2, self.env, self.sim_params.trading_days, self.data_portal ) days_to_use = self.sim_params.trading_days # first value should be 0.0, coming from daily data self.assertAlmostEquals(0.0, source.get_value(days_to_use[0])) manually_calculated = self.data_portal.get_history_window( [2], days_to_use[-1], len(days_to_use), "1d", "close" )[2].pct_change() for idx, day in enumerate(days_to_use[1:]): self.assertEqual( source.get_value(day), manually_calculated[idx + 1] )
def test_normal(self): days_to_use = self.sim_params.trading_days[1:] source = BenchmarkSource(1, self.env, days_to_use, self.data_portal) # should be the equivalent of getting the price history, then doing # a pct_change on it manually_calculated = self.data_portal.get_history_window( [1], days_to_use[-1], len(days_to_use), "1d", "close")[1].pct_change() # compare all the fields except the first one, for which we don't have # data in manually_calculated for idx, day in enumerate(days_to_use[1:]): self.assertEqual(source.get_value(day), manually_calculated[idx + 1])
def test_normal(self): days_to_use = self.sim_params.trading_days[1:] source = BenchmarkSource( 1, self.env, days_to_use, self.data_portal ) # should be the equivalent of getting the price history, then doing # a pct_change on it manually_calculated = self.data_portal.get_history_window( [1], days_to_use[-1], len(days_to_use), "1d", "close" )[1].pct_change() # compare all the fields except the first one, for which we don't have # data in manually_calculated for idx, day in enumerate(days_to_use[1:]): self.assertEqual( source.get_value(day), manually_calculated[idx + 1] )