def test_empty_at_initialize(self):
bar0 = self.app_context.inst_data_mgr.get_series("bar0")
bar1 = self.app_context.inst_data_mgr.get_series("bar1")
bar0.start(self.app_context)
bar1.start(self.app_context)
bar0_plus_bar1 = Plus(bar0, bar1, input_key='close')
bar0_plus_bar1.start(self.app_context)
self.assertEquals(0, len(bar0_plus_bar1.get_data()))
def test_empty_at_initialize(self):
bar0 = self.app_context.inst_data_mgr.get_series("bar0")
bar1 = self.app_context.inst_data_mgr.get_series("bar1")
bar0.start(self.app_context)
bar1.start(self.app_context)
bar0_plus_bar1 = Plus(inputs=[bar0, bar1], input_keys='close')
bar0_plus_bar1.start(self.app_context)
self.assertEquals(0, len(bar0_plus_bar1.get_data()))
def test_with_single_bar_multi_time(self):
bar0 = self.app_context.inst_data_mgr.get_series("bar0")
bar1 = self.app_context.inst_data_mgr.get_series("bar1")
bar0.start(self.app_context)
bar1.start(self.app_context)
plus = Plus(bar0, bar1, input_key='close')
minus = Minus(bar0, bar1, input_key='close')
times = Times(bar0, bar1, input_key='close')
divides = Divides(bar0, bar1, input_key='close')
pcorr = PairCorrelation(bar0, bar1, length=4, input_key='close')
plus.start(self.app_context)
minus.start(self.app_context)
times.start(self.app_context)
divides.start(self.app_context)
pcorr.start(self.app_context)
now = datetime.datetime.now()
x = np.array([80.0, 102.0, 101.0, 99.0])
y = np.array([95.0, 98.0, 105.2, 103.3])
ts = [now + datetime.timedelta(0, i*3) for i in range(4)]
x_p_y = x + y
x_m_y = x - y
x_t_y = x * y
x_d_y = x / y
bar0.add({"timestamp": ts[0], "close": x[0], "open": 0})
bar1.add({"timestamp": ts[0], "close": y[0], "open": 0})
self.assertEqual(plus.now('value'), 175.0)
self.assertEqual(minus.now('value'), -15.0)
self.assertEqual(times.now('value'), 7600.0)
self.assertEqual(divides.now('value'), 80.0/95.0)
bar0.add({"timestamp": ts[1], "close": x[1], "open": 0})
bar1.add({"timestamp": ts[1], "close": y[1], "open": 0})
self.assertEqual(plus.now('value'), 200.0)
self.assertEqual(minus.now('value'), 4.0)
self.assertEqual(times.now('value'), 102.0*98.0)
self.assertEqual(divides.now('value'), 102.0/98.0)
bar0.add({"timestamp": ts[2], "close": x[2], "open": 0})
bar1.add({"timestamp": ts[2], "close": y[2], "open": 0})
bar0.add({"timestamp": ts[3], "close": x[3], "open": 0})
bar1.add({"timestamp": ts[3], "close": y[3], "open": 0})
# self.assertEqual(pcorr.now('value'), np.corrcoef(x, y))
self.__np_assert_almost_equal(pcorr.now('value'), np.corrcoef(x, y))
def test_shape(self):
bar0 = self.app_context.inst_data_mgr.get_series("bar0")
bar1 = self.app_context.inst_data_mgr.get_series("bar1")
bar0.start(self.app_context)
bar1.start(self.app_context)
bar0_plus_bar1 = Plus(inputs=[bar0, bar1], input_keys='close')
bar0_plus_bar1.start(self.app_context)
try:
np.testing.assert_almost_equal(np.array([1, 1]), bar0_plus_bar1.shape(), 5)
except AssertionError as e:
self.fail(e.message)
def test_shape(self):
bar0 = self.app_context.inst_data_mgr.get_series("bar0")
bar1 = self.app_context.inst_data_mgr.get_series("bar1")
bar0.start(self.app_context)
bar1.start(self.app_context)
bar0_plus_bar1 = Plus(bar0, bar1, input_key='close')
bar0_plus_bar1.start(self.app_context)
try:
np.testing.assert_almost_equal(np.array([1, 1]), bar0_plus_bar1.shape(), 5)
except AssertionError as e:
self.fail(e.message)
def test_name(self):
bar0 = self.app_context.inst_data_mgr.get_series("bar0")
bar1 = self.app_context.inst_data_mgr.get_series("bar1")
bar0.start(self.app_context)
bar1.start(self.app_context)
bar0_plus_bar1 = Plus(bar0, bar1, input_key='close')
bar0_plus_bar1.start(self.app_context)
self.assertEquals("Plus('bar0','bar1',close)", bar0_plus_bar1.name)
spread = Minus(bar0, bar1, input_key='close')
spread.start(self.app_context)
self.assertEquals("Minus('bar0','bar1',close)", spread.name)
def test_name(self):
bar0 = self.app_context.inst_data_mgr.get_series("bar0")
bar1 = self.app_context.inst_data_mgr.get_series("bar1")
bar0.start(self.app_context)
bar1.start(self.app_context)
bar0_plus_bar1 = Plus(inputs=[bar0, bar1], input_keys='close')
bar0_plus_bar1.start(self.app_context)
self.assertEquals("Plus(bar0[close],bar1[close],length=1)",
bar0_plus_bar1.name)
spread = Minus(inputs=[bar0, bar1], input_keys='close')
spread.start(self.app_context)
self.assertEquals("Minus(bar0[close],bar1[close],length=1)",
spread.name)
def test_name(self):
bar0 = self.app_context.inst_data_mgr.get_series("bar0")
bar1 = self.app_context.inst_data_mgr.get_series("bar1")
bar0.start(self.app_context)
bar1.start(self.app_context)
bar0_plus_bar1 = Plus(bar0, bar1, input_key='close')
bar0_plus_bar1.start(self.app_context)
self.assertEquals("Plus('bar0','bar1',close)",
bar0_plus_bar1.name)
spread = Minus(bar0, bar1, input_key='close')
spread.start(self.app_context)
self.assertEquals("Minus('bar0','bar1',close)",
spread.name)
def test_with_single_bar_multi_time(self):
bar0 = self.app_context.inst_data_mgr.get_series("bar0")
bar1 = self.app_context.inst_data_mgr.get_series("bar1")
bar0.start(self.app_context)
bar1.start(self.app_context)
plus = Plus(bar0, bar1, input_key='close')
minus = Minus(bar0, bar1, input_key='close')
times = Times(bar0, bar1, input_key='close')
divides = Divides(bar0, bar1, input_key='close')
pcorr = PairCorrelation(bar0, bar1, length=4, input_key='close')
plus.start(self.app_context)
minus.start(self.app_context)
times.start(self.app_context)
divides.start(self.app_context)
pcorr.start(self.app_context)
now = datetime.datetime.now()
x = np.array([80.0, 102.0, 101.0, 99.0])
y = np.array([95.0, 98.0, 105.2, 103.3])
ts = [now + datetime.timedelta(0, i * 3) for i in range(4)]
x_p_y = x + y
x_m_y = x - y
x_t_y = x * y
x_d_y = x / y
bar0.add({"timestamp": ts[0], "close": x[0], "open": 0})
bar1.add({"timestamp": ts[0], "close": y[0], "open": 0})
self.assertEqual(plus.now('value'), 175.0)
self.assertEqual(minus.now('value'), -15.0)
self.assertEqual(times.now('value'), 7600.0)
self.assertEqual(divides.now('value'), 80.0 / 95.0)
bar0.add({"timestamp": ts[1], "close": x[1], "open": 0})
bar1.add({"timestamp": ts[1], "close": y[1], "open": 0})
self.assertEqual(plus.now('value'), 200.0)
self.assertEqual(minus.now('value'), 4.0)
self.assertEqual(times.now('value'), 102.0 * 98.0)
self.assertEqual(divides.now('value'), 102.0 / 98.0)
bar0.add({"timestamp": ts[2], "close": x[2], "open": 0})
bar1.add({"timestamp": ts[2], "close": y[2], "open": 0})
bar0.add({"timestamp": ts[3], "close": x[3], "open": 0})
bar1.add({"timestamp": ts[3], "close": y[3], "open": 0})
# self.assertEqual(pcorr.now('value'), np.corrcoef(x, y))
self.__np_assert_almost_equal(pcorr.now('value'), np.corrcoef(x, y))
def PipeLinePlus(x, y):
return Plus(x, y, input_key='close')