def testSecurityWhereValueHolder(self):
benchmark = SecurityLatestValueHolder(dependency='close')
testValueHolder = SecurityIIFValueHolder(benchmark > 0, benchmark,
-benchmark)
for i in range(len(self.datas['aapl']['close'])):
data = {
'aapl': {
Factors.CLOSE: self.datas['aapl'][Factors.CLOSE][i],
Factors.OPEN: self.datas['aapl'][Factors.OPEN][i]
},
'ibm': {
Factors.CLOSE: self.datas['ibm'][Factors.CLOSE][i],
Factors.OPEN: self.datas['ibm'][Factors.OPEN][i]
}
}
benchmark.push(data)
testValueHolder.push(data)
calculated = testValueHolder.value
self.assertTrue(np.all((calculated > 0.).values))
for name in calculated.index():
rawValue = data[name][Factors.CLOSE]
if rawValue > 0.:
self.assertAlmostEqual(rawValue, calculated[name])
else:
self.assertAlmostEqual(-rawValue, calculated[name])
def testSecurityWhereValueHolderWithMissingSymbol(self):
benchmark = SecurityLatestValueHolder(x='open')
benchmark2 = SecurityLatestValueHolder(x='close')
testValueHolder = SecurityIIFValueHolder(benchmark < 0, 'open', -benchmark2)
data = {'aapl': {'close': 2.0, 'open': 1.5},
'ibm': {'open': 1.7}}
benchmark.push(data)
benchmark2.push(data)
testValueHolder.push(data)
calculated = testValueHolder.value
self.assertAlmostEqual(calculated['aapl'], -data['aapl']['close'])
self.assertTrue(np.isnan(calculated['ibm']))
def testSecurityWhereValueHolderWithSymbolName(self):
benchmark = SecurityLatestValueHolder(x='close')
testValueHolder = SecurityIIFValueHolder(benchmark > 0, 'open',
-benchmark)
for i in range(len(self.datas['aapl']['close'])):
data = {
'aapl': {
Factors.CLOSE: self.datas['aapl'][Factors.CLOSE][i],
Factors.OPEN: self.datas['aapl'][Factors.OPEN][i]
},
'ibm': {
Factors.CLOSE: self.datas['ibm'][Factors.CLOSE][i],
Factors.OPEN: self.datas['ibm'][Factors.OPEN][i]
}
}
benchmark.push(data)
testValueHolder.push(data)
calculated = testValueHolder.value
for name in calculated.index():
rawValue = data[name][Factors.CLOSE]
if rawValue > 0.:
self.assertAlmostEqual(data[name][Factors.OPEN],
calculated[name])
else:
self.assertAlmostEqual(-rawValue, calculated[name])
testValueHolder = SecurityIIFValueHolder(benchmark > 0, 'open',
'close')
for i in range(len(self.datas['aapl']['close'])):
data = {
'aapl': {
Factors.CLOSE: self.datas['aapl'][Factors.CLOSE][i],
Factors.OPEN: self.datas['aapl'][Factors.OPEN][i]
},
'ibm': {
Factors.CLOSE: self.datas['ibm'][Factors.CLOSE][i],
Factors.OPEN: self.datas['ibm'][Factors.OPEN][i]
}
}
benchmark.push(data)
testValueHolder.push(data)
calculated = testValueHolder.value
for name in calculated.index():
rawValue = data[name][Factors.CLOSE]
if rawValue > 0.:
self.assertAlmostEqual(data[name][Factors.OPEN],
calculated[name])
else:
self.assertAlmostEqual(rawValue, calculated[name])
def testSecurityWhereValueHolderWithScalarValue(self):
benchmark = SecurityLatestValueHolder(dependency='open')
testValueHolder = SecurityIIFValueHolder(benchmark > 0, 1., -1.)
for i in range(len(self.datas['aapl']['close'])):
data = {
'aapl': {
Factors.CLOSE: self.datas['aapl'][Factors.CLOSE][i],
Factors.OPEN: self.datas['aapl'][Factors.OPEN][i]
},
'ibm': {
Factors.CLOSE: self.datas['ibm'][Factors.CLOSE][i],
Factors.OPEN: self.datas['ibm'][Factors.OPEN][i]
}
}
benchmark.push(data)
testValueHolder.push(data)
calculated = testValueHolder.value
for name in calculated.index():
rawValue = data[name][Factors.OPEN]
if rawValue > 0.:
self.assertAlmostEqual(1., calculated[name])
self.assertAlmostEqual(1.,
testValueHolder.value_by_name(name))
else:
self.assertAlmostEqual(-1., calculated[name])
self.assertAlmostEqual(-1.,
testValueHolder.value_by_name(name))
def IIF(flag, left, right):
return SecurityIIFValueHolder(flag, left, right)