Beispiel #1
0
    def test_get_datetime(self, name, tz):

        algo = dedent("""
            import pandas as pd
            from zipline.api import get_datetime

            def initialize(context):
                context.tz = {tz} or 'UTC'
                context.first_bar = True

            def handle_data(context, data):
                if context.first_bar:
                    dt = get_datetime({tz})
                    if dt.tz.zone != context.tz:
                        raise ValueError("Mismatched Zone")
                    elif dt.tz_convert("US/Eastern").hour != 9:
                        raise ValueError("Mismatched Hour")
                    elif dt.tz_convert("US/Eastern").minute != 31:
                        raise ValueError("Mismatched Minute")
                context.first_bar = False
            """.format(tz=repr(tz)))

        start = to_utc('2014-01-02 9:31')
        end = to_utc('2014-01-03 9:31')
        source = RandomWalkSource(
            start=start,
            end=end,
        )
        sim_params = factory.create_simulation_parameters(
            data_frequency='minute')
        algo = TradingAlgorithm(script=algo,
                                sim_params=sim_params,
                                identifiers=[1])
        algo.run(source)
        self.assertFalse(algo.first_bar)
Beispiel #2
0
    def test_get_datetime(self, name, tz):

        algo = dedent(
            """
            import pandas as pd
            from zipline.api import get_datetime

            def initialize(context):
                context.tz = {tz} or 'UTC'
                context.first_bar = True

            def handle_data(context, data):
                if context.first_bar:
                    dt = get_datetime({tz})
                    if dt.tz.zone != context.tz:
                        raise ValueError("Mismatched Zone")
                    elif dt.tz_convert("US/Eastern").hour != 9:
                        raise ValueError("Mismatched Hour")
                    elif dt.tz_convert("US/Eastern").minute != 31:
                        raise ValueError("Mismatched Minute")
                context.first_bar = False
            """.format(tz=repr(tz))
        )

        start = to_utc('2014-01-02 9:31')
        end = to_utc('2014-01-03 9:31')
        source = RandomWalkSource(
            start=start,
            end=end,
        )
        sim_params = factory.create_simulation_parameters(
            data_frequency='minute'
        )
        algo = TradingAlgorithm(
            script=algo,
            sim_params=sim_params,
            identifiers=[1]
        )
        algo.run(source)
        self.assertFalse(algo.first_bar)
Beispiel #3
0
    """
    if frequency == '1d':
        # First day of this test is July 3rd, which is a half day.
        if count < 210:
            return [np.nan, count]
        else:
            return [209, count]
    elif frequency == '1m':
        if count == 0:
            return [np.nan, count]
        else:
            return [count - 1, count]


MIXED_FREQUENCY_MINUTES = _cases_env.market_minute_window(
    to_utc('2013-07-03 9:31AM'), 600,
)
ONE_MINUTE_PRICE_ONLY_SPECS = [
    HistorySpec(1, '1m', 'price', True, _cases_env, data_frequency='minute'),
]
DAILY_OPEN_CLOSE_SPECS = [
    HistorySpec(3, '1d', 'open_price', False, _cases_env,
                data_frequency='minute'),
    HistorySpec(3, '1d', 'close_price', False, _cases_env,
                data_frequency='minute'),
]
ILLIQUID_PRICES_SPECS = [
    HistorySpec(3, '1m', 'price', False, _cases_env, data_frequency='minute'),
    HistorySpec(5, '1m', 'price', True, _cases_env, data_frequency='minute'),
]
MIXED_FREQUENCY_SPECS = [
Beispiel #4
0
    """
    if frequency == '1d':
        # First day of this test is July 3rd, which is a half day.
        if count < 210:
            return [np.nan, count]
        else:
            return [209, count]
    elif frequency == '1m':
        if count == 0:
            return [np.nan, count]
        else:
            return [count - 1, count]


MIXED_FREQUENCY_MINUTES = _cases_env.market_minute_window(
    to_utc('2013-07-03 9:31AM'),
    600,
)
ONE_MINUTE_PRICE_ONLY_SPECS = [
    HistorySpec(1, '1m', 'price', True, _cases_env, data_frequency='minute'),
]
DAILY_OPEN_CLOSE_SPECS = [
    HistorySpec(3,
                '1d',
                'open_price',
                False,
                _cases_env,
                data_frequency='minute'),
    HistorySpec(3,
                '1d',
                'close_price',