def test_get_by_idx(self):
ts = DataSeriesTest.factory.build_time_series(series_id="test", keys=["timestamp", "v1", "v2"])
series = DataSeries(time_series=ts)
series.add(data={"timestamp": 0, "v1": 2})
series.add(data={"timestamp": 1, "v1": 2.4})
series.add(data={"timestamp": 1, "v2": 3.0})
# index and key
self.assertEqual(2, series.get_by_idx(idx=0, keys="v1"))
self.assertEqual(0.0, series.get_by_idx(idx=0, keys="v2"))
self.assertEqual(2.4, series.get_by_idx(idx=1, keys="v1"))
self.assertEqual(3.0, series.get_by_idx(idx=1, keys="v2"))
# index only
self.assertEqual({"timestamp": 0, "v1": 2, "v2": 0.0}, series.get_by_idx(idx=0))
self.assertEqual({"timestamp": 1, "v1": 2.4, "v2": 3.0}, series.get_by_idx(idx=1))
# test index slice
series2 = self.create_series_by_list(range(100))
sliced = series2.get_by_idx(keys='v1', idx=slice(-10, None, None))
self.assertEqual(len(sliced), 10)
endPoint = series2.get_by_idx(keys='v1', idx=slice(-1, None, None))
self.assertEqual(endPoint[0], 99)
def test_compare_against_oneoff_calculation(self):
rw = np.cumsum(np.random.normal(0, 2, 1000)) + 100
close = DataSeries(time_series=ModelFactory.build_time_series(
series_id="close"))
close.start(self.app_context)
t = 1
sma = SMA(inputs=close, input_keys='close', length=50)
sma.start(self.app_context)
result = []
for x in rw:
close.add(timestamp=t, data={"close": x})
result.append(sma.now('value'))
t = t + 3
result = np.array(result)
# either apply or direct call is equivalent
target = close.apply('close',
start=None,
end=None,
func=talib.SMA,
timeperiod=50)
# target = talib.SMA(np.array(close.get_series('close')), timeperiod=50)
result[np.isnan(result)] = 0
target[np.isnan(target)] = 0
try:
np.testing.assert_almost_equal(target, result, 5)
except AssertionError as e:
self.fail(e.message)
def setUp(self):
self.time = 9000000000
self.simluation_clock = SimulationClock()
self.simluation_clock.reset()
self.simluation_clock.update_time(self.time)
self.input = DataSeries(time_series=TimeSeries())
self.event_bus = BarAggregatorTest.DummyEventBus()
def test_ago(self):
ts = DataSeriesTest.factory.build_time_series(series_id="test")
series = DataSeries(time_series=ts)
self.assertEqual(0.0, series.now())
series.add(data={"timestamp": 0, "v1": 1, "v2": 2})
self.assertEqual({"timestamp": 0, "v1": 1, "v2": 2}, series.ago(0))
series.add(data={"timestamp": 1, "v1": 1.2, "v2": 2.2})
self.assertEqual({"timestamp": 1, "v1": 1.2, "v2": 2.2}, series.ago(0))
self.assertEqual({"timestamp": 0, "v1": 1, "v2": 2}, series.ago(1))
series.add(data={"timestamp": 2, "v1": 1.3, "v2": 2.3})
self.assertEqual({"timestamp": 2, "v1": 1.3, "v2": 2.3}, series.ago(0))
self.assertEqual({"timestamp": 1, "v1": 1.2, "v2": 2.2}, series.ago(1))
self.assertEqual({"timestamp": 0, "v1": 1, "v2": 2}, series.ago(2))
series.add(data={"timestamp": 3, "v1": 1.4, "v2": 2.4})
self.assertEqual({"timestamp": 3, "v1": 1.4, "v2": 2.4}, series.ago(0))
self.assertEqual({"timestamp": 2, "v1": 1.3, "v2": 2.3}, series.ago(1))
self.assertEqual({"timestamp": 1, "v1": 1.2, "v2": 2.2}, series.ago(2))
self.assertEqual({"timestamp": 0, "v1": 1, "v2": 2}, series.ago(3))
self.assertEqual({"v1": 1.4, "v2": 2.4}, series.ago(0, ["v1", "v2"]))
self.assertEqual(1.4, series.ago(0, "v1"))
self.assertEqual(1.4, series.ago(0, ["v1"]))
def __create_series(self):
close = DataSeries(time_series=TimeSeries())
t = 0
for idx, value in enumerate(self.values):
close.add(data={"timestamp": t, "v1": value, "v2": value})
t = t + 3
return close
def create_series_by_list(valuelist):
close = DataSeries(time_series=TimeSeries())
t = 0
for value in valuelist:
close.add(data={"timestamp": t, "v1": value})
t = t + 3
return close
def test_get_data(self):
ts = DataSeriesTest.factory.build_time_series(series_id="test")
series = DataSeries(time_series=ts)
series.add(data={"timestamp": 1, "v1": 1, "v2": 1})
series.add(data={"timestamp": 2, "v1": 2, "v2": 2})
self.assertEqual([{"timestamp": 1, "v1": 1, "v2": 1},
{"timestamp": 2, "v1": 2, "v2": 2}], series.get_data())
def create_series_by_list(valuelist):
close = DataSeries(time_series=ModelFactory.build_time_series(
series_id="close"))
t = 1
for value in valuelist:
close.add(timestamp=t, data={"v1": value})
t = t + 3
return close
def test_size(self):
ts = DataSeriesTest.factory.build_time_series(series_id="test")
series = DataSeries(time_series=ts)
self.assertEqual(0, series.size())
series.add(data={"timestamp": 0, "v1": 1})
self.assertEqual(1, series.size())
series.add(data={"timestamp": 1, "v1": 1})
self.assertEqual(2, series.size())
def __create_plot(self):
series = DataSeries(time_series=TimeSeries())
t = 20170101
for idx, value in enumerate(self.values):
ts = datestr_to_unixtimemillis(t)
series.add(timestamp=ts, data={"value": value})
t = t + 1
values = series.get_series(["value"])
plot = TimeSeriesPlot(values)
return plot
def create_random_walk_series():
close = DataSeries(time_series=TimeSeries())
t1 = 1
t = t1
w = np.random.normal(0, 1, 1000)
xs = 100 + np.cumsum(w)
for value in xs:
close.add(data={"timestamp": t, "v1": value, "v2": value})
t = t + 3
return close
def test_init_w_keys(self):
ts = DataSeriesTest.factory.build_time_series(series_id="test",
keys=["v1"])
series = DataSeries(time_series=ts)
series.add(data={"timestamp": 0, "v1": 1, "v2": 1})
result = series.get_data()
self.assertEqual(1, len(result))
self.assertTrue("v1" in result[0])
self.assertFalse("v2" in result[0])
def test_init_w_data(self):
ts = DataSeriesTest.factory.build_time_series(series_id="test",
keys=["v1"])
DataSeriesTest.factory.add_time_series_item(ts, 0, {"v1": 1})
DataSeriesTest.factory.add_time_series_item(ts, 1, {"v1": 2})
series = DataSeries(time_series=ts)
self.assertEqual(2, series.size())
result = series.get_data()
self.assertEqual(2, len(result))
self.assertEqual(1, result[0]["v1"])
self.assertEqual(2, result[1]["v1"])
def test_get_data_dict(self):
ts = DataSeriesTest.factory.build_time_series(series_id="test")
series = DataSeries(time_series=ts)
series.add(data={"timestamp": 1, "v1": 1, "v2": 1})
series.add(data={"timestamp": 2, "v1": 2, "v2": 2})
self.assertEqual({"timestamp": {1: 1, 2: 2},
"v1": {1: 1, 2: 2},
"v2": {1: 1, 2: 2}}, series.get_data_dict())
self.assertEqual({"v1": {1: 1, 2: 2}, "v2": {1: 1, 2: 2}},
series.get_data_dict(['v1', 'v2']))
self.assertEqual({1: 1, 2: 2}, series.get_data_dict('v1'))
def test_get_by_time(self):
ts = DataSeriesTest.factory.build_time_series(series_id="test", keys=["timestamp", "v1", "v2"])
series = DataSeries(time_series=ts)
# time and key
series.add(data={"timestamp": 0, "v1": 2})
series.add(data={"timestamp": 1, "v1": 2.4})
series.add(data={"timestamp": 1, "v2": 3.0})
self.assertEqual(2, series.get_by_time(time=0, keys="v1"))
self.assertEqual(0.0, series.get_by_time(time=0, keys="v2"))
self.assertEqual(2.4, series.get_by_time(time=1, keys="v1"))
self.assertEqual(3.0, series.get_by_time(time=1, keys="v2"))
# time only
self.assertEqual({"timestamp": 0, "v1": 2, "v2": 0.0}, series.get_by_time(time=0))
self.assertEqual({"timestamp": 1, "v1": 2.4, "v2": 3.0}, series.get_by_time(time=1))
def test_override_w_same_time(self):
ts = DataSeriesTest.factory.build_time_series(series_id="test", keys=["timestamp", "v1", "v2", "v3"])
series = DataSeries(time_series=ts)
series.add(data={"timestamp": 1, "v1": 2, "v2": 3})
self.assertEqual(1, series.size())
self.assertEqual(2, series.get_by_idx(0, "v1"))
self.assertEqual(2, series.get_by_time(1, "v1"))
self.assertEqual(3, series.get_by_idx(0, "v2"))
self.assertEqual(3, series.get_by_time(1, "v2"))
self.assertEqual(0.0, series.get_by_idx(0, "v3"))
self.assertEqual(0.0, series.get_by_time(1, "v3"))
series.add(data={"timestamp": 1, "v1": 2.4, "v2": 3.4, "v3": 1.1})
self.assertEqual(1, series.size())
self.assertEqual(2.4, series.get_by_idx(0, "v1"))
self.assertEqual(2.4, series.get_by_time(1, "v1"))
self.assertEqual(3.4, series.get_by_idx(0, "v2"))
self.assertEqual(3.4, series.get_by_time(1, "v2"))
self.assertEqual(1.1, series.get_by_idx(0, "v3"))
self.assertEqual(1.1, series.get_by_time(1, "v3"))
series.add(data={"timestamp": 2, "v1": 2.6, "v2": 3.6})
self.assertEqual(2, series.size())
self.assertEqual(2.4, series.get_by_idx(0, "v1"))
self.assertEqual(2.4, series.get_by_time(1, "v1"))
self.assertEqual(3.4, series.get_by_idx(0, "v2"))
self.assertEqual(3.4, series.get_by_time(1, "v2"))
self.assertEqual(1.1, series.get_by_idx(0, "v3"))
self.assertEqual(1.1, series.get_by_time(1, "v3"))
self.assertEqual(2.6, series.get_by_idx(1, "v1"))
self.assertEqual(2.6, series.get_by_time(2, "v1"))
self.assertEqual(3.6, series.get_by_idx(1, "v2"))
self.assertEqual(3.6, series.get_by_time(2, "v2"))
self.assertEqual(0.0, series.get_by_idx(1, "v3"))
self.assertEqual(0.0, series.get_by_time(2, "v3"))
def test_add(self):
ts = DataSeriesTest.factory.build_time_series(series_id="test")
series = DataSeries(time_series=ts)
self.assertTrue(len(series.get_data()) == 0)
series.add(data={"timestamp": 0, "v1": 1, "v2": 1})
series.add(data={"timestamp": 1, "v1": 2, "v2": 2})
self.assertEqual([{"timestamp": 0, "v1": 1, "v2": 1},
{"timestamp": 1, "v1": 2, "v2": 2}], series.get_data())
series.add(data={"timestamp": 1, "v1": 3, "v2": 3})
self.assertEqual([{"timestamp": 0, "v1": 1, "v2": 1},
{"timestamp": 1, "v1": 3, "v2": 3}], series.get_data())
series.add(data={"timestamp": 2, "v1": 4, "v2": 4})
self.assertEqual([{"timestamp": 0, "v1": 1, "v2": 1},
{"timestamp": 1, "v1": 3, "v2": 3},
{"timestamp": 2, "v1": 4, "v2": 4}], series.get_data())
def load_all(self):
if self.store:
self.store.start(self.app_context)
series_states = self.store.load_all('time_series')
for series_state in series_states:
if hasattr(series_state,
'series_cls') and series_state.series_cls:
cls = get_cls(series_state.series_cls)
series = cls(time_series=series_state)
else:
series = DataSeries(time_series=series_state)
self.__series_dict[series.id()] = series
bars = self.store.load_all('bars')
for bar in bars:
self.__bar_dict[get_series_id(bar)] = bar
trades = self.store.load_all('trades')
for trade in trades:
self.__trade_dict[get_series_id(trade)] = trade
quotes = self.store.load_all('quotes')
for quote in quotes:
self.__quote_dict[get_series_id(quote)] = quote
def __init__(self, portfolio, state):
self.portfolio = portfolio
self.state = state
self.series = DataSeries(time_series=self.state.performance.series)
def __init__(self, portfolio, state):
self.portfolio = portfolio
self.state = state
self.series = DataSeries(time_series=self.state.drawdown.series)