def testShiftedSecurityValueHolder(self):
mm = SecurityMovingAverage(2, 'close')
shifted1 = mm.shift(1)
data1 = {
'aapl': {
'close': 1.0
},
'ibm': {
'close': 2.0
},
'goog': {
'close': 3.0
}
}
shifted1.push(data1)
calculated = shifted1.value
for name in calculated.index:
self.assertTrue(np.isnan(calculated[name]))
data2 = {
'aapl': {
'close': 2.0
},
'ibm': {
'close': 3.0
},
'goog': {
'close': 4.0
}
}
shifted1.push(data2)
expected = SecuritiesValues({'aapl': 1.0, 'ibm': 2.0, 'goog': 3.0})
calculated = shifted1.value
for name in expected.index:
self.assertAlmostEqual(expected[name], calculated[name])
data3 = SecuritiesValues({
'aapl': {
'close': 3.0
},
'ibm': {
'close': 4.0
},
'goog': {
'close': 5.0
}
})
shifted1.push(data3)
expected = SecuritiesValues({'aapl': 1.5, 'ibm': 2.5, 'goog': 3.5})
calculated = shifted1.value
for name in expected.index:
self.assertAlmostEqual(expected[name], calculated[name])
def __getitem__(self, item):
if isinstance(item, str):
return super(SecurityMovingHistoricalWindow, self).__getitem__(item)
elif isinstance(item, int):
res = {}
for name in self._innerHolders:
try:
res[name] = self._innerHolders[name].value[item]
except ArithmeticError:
res[name] = np.nan
return SecuritiesValues(res)
else:
raise ValueError("{0} is not recognized as valid int or string".format(item))
def testItemizedValueHolder(self):
window = 10
pNames = 'close'
test = SecurityMovingAverage(window, pNames)
test.push({
'aapl': {
'close': 10.0
},
'ibm': {
'close': 15.0
},
'goog': {
'close': 17.0
}
})
test.push({
'aapl': {
'close': 12.0
},
'ibm': {
'close': 10.0
},
'goog': {
'close': 13.0
}
})
# single named value holder
test1 = test['ibm']
self.assertAlmostEqual(test1, 12.5, 15)
# multi-valued named value holder
test2 = test['ibm', 'goog']
expected = SecuritiesValues({'ibm': 12.5, 'goog': 15.0})
for s in test2.index:
self.assertAlmostEqual(test2[s], expected[s])
# wrong type of item
with self.assertRaises(TypeError):
_ = test[1]
def testSecuritiesValuesComparison(self):
benchmarkValues = SecuritiesValues({
'AAPL': 1.0,
'IBM': 2.0,
'GOOG': 3.0
})
calculated = benchmarkValues > 1.5
expected = SecuritiesValues({'AAPL': False, 'IBM': True, 'GOOG': True})
self.checker(expected, calculated)
calculated = benchmarkValues < 1.5
expected = SecuritiesValues({
'AAPL': True,
'IBM': False,
'GOOG': False
})
self.checker(expected, calculated)
calculated = benchmarkValues >= 1.0
expected = SecuritiesValues({'AAPL': True, 'IBM': True, 'GOOG': True})
self.checker(expected, calculated)
calculated = benchmarkValues <= 2.0
expected = SecuritiesValues({'AAPL': True, 'IBM': True, 'GOOG': False})
self.checker(expected, calculated)
benchmarkValues = SecuritiesValues({
'AAPL': False,
'IBM': True,
'GOOG': False
})
calculated = benchmarkValues & True
expected = SecuritiesValues({
'AAPL': False,
'IBM': True,
'GOOG': False
})
self.checker(expected, calculated)
calculated = True & benchmarkValues
expected = SecuritiesValues({
'AAPL': False,
'IBM': True,
'GOOG': False
})
self.checker(expected, calculated)
calculated = benchmarkValues | True
expected = SecuritiesValues({'AAPL': True, 'IBM': True, 'GOOG': True})
self.checker(expected, calculated)
calculated = True | benchmarkValues
expected = SecuritiesValues({'AAPL': True, 'IBM': True, 'GOOG': True})
self.checker(expected, calculated)
benchmarkValues = SecuritiesValues({
'AAPL': 1.0,
'IBM': 2.0,
'GOOG': 3.0
})
calculated = benchmarkValues == 2.0
expected = SecuritiesValues({
'AAPL': False,
'IBM': True,
'GOOG': False
})
self.checker(expected, calculated)
calculated = benchmarkValues != 2.0
expected = SecuritiesValues({'AAPL': True, 'IBM': False, 'GOOG': True})
self.checker(expected, calculated)
def testSecuritiesValuesArithmetic(self):
benchmarkValues = {'AAPL': 1.0, 'IBM': 2.0, 'GOOG': 3.0}
values = SecuritiesValues(benchmarkValues)
self.assertEqual(len(benchmarkValues), len(values))
for key in benchmarkValues:
self.assertAlmostEqual(benchmarkValues[key], values[key], 12)
negValues = -values
for key in benchmarkValues:
self.assertAlmostEqual(benchmarkValues[key], -negValues[key], 12)
benchmarkValues2 = {'AAPL': 3.0, 'IBM': 2.0, 'GOOG': 1.0}
values2 = SecuritiesValues(benchmarkValues2)
addedValue = values + values2
for key in benchmarkValues:
self.assertAlmostEqual(
benchmarkValues[key] + benchmarkValues2[key], addedValue[key],
12)
subbedValues = values - values2
for key in benchmarkValues:
self.assertAlmostEqual(
benchmarkValues[key] - benchmarkValues2[key],
subbedValues[key], 12)
multiValues = values * values2
for key in benchmarkValues:
self.assertAlmostEqual(
benchmarkValues[key] * benchmarkValues2[key], multiValues[key],
12)
divValues = values / values2
for key in benchmarkValues:
self.assertAlmostEqual(
benchmarkValues[key] / benchmarkValues2[key], divValues[key],
12)
# check operated with scalar
addedValue = values + 2.0
for key in benchmarkValues:
self.assertAlmostEqual(benchmarkValues[key] + 2.0, addedValue[key],
12)
subbedValue = values - 2.0
for key in benchmarkValues:
self.assertAlmostEqual(benchmarkValues[key] - 2.0,
subbedValue[key], 12)
multiValues = values * 2.0
for key in benchmarkValues:
self.assertAlmostEqual(benchmarkValues[key] * 2.0,
multiValues[key], 12)
divValues = values / 2.0
for key in benchmarkValues:
self.assertAlmostEqual(benchmarkValues[key] / 2.0, divValues[key],
12)
# check right associate operators
addedValue = 2.0 + values
for key in benchmarkValues:
self.assertAlmostEqual(2.0 + benchmarkValues[key], addedValue[key],
12)
subbedValue = 2.0 - values
for key in benchmarkValues:
self.assertAlmostEqual(2.0 - benchmarkValues[key],
subbedValue[key], 12)
multiValues = 2.0 * values
for key in benchmarkValues:
self.assertAlmostEqual(2.0 * benchmarkValues[key],
multiValues[key], 12)
divValues = 2.0 / values
for key in benchmarkValues:
self.assertAlmostEqual(2.0 / benchmarkValues[key], divValues[key],
12)