def test_dtutil():
import datetime
date = 20170105
dt = jutil.convert_int_to_datetime(date)
assert jutil.shift(date, 2) == 20170119
assert jutil.convert_datetime_to_int(jutil.shift(dt, 2)) == 20170119
t = 145539
dt = jutil.combine_date_time(date, t)
assert jutil.split_date_time(dt) == (date, t)
assert jutil.get_next_period_day(date, 'day', 1, 1) == 20170109
assert jutil.get_next_period_day(date, 'week', 2, 0) == 20170116
assert jutil.get_next_period_day(date, 'month', 1, 0) == 20170201
date = 20170808
assert jutil.get_next_period_day(20170831, 'day',
extra_offset=1) == 20170904
assert jutil.get_next_period_day(20170831, 'day', n=2,
extra_offset=0) == 20170904
assert jutil.get_next_period_day(20170831, 'day', n=7,
extra_offset=0) == 20170911
assert jutil.get_next_period_day(20170831, 'week',
extra_offset=1) == 20170905
assert jutil.get_next_period_day(20170831, 'month',
extra_offset=0) == 20170901
monthly = 20170101
while monthly < 20180301:
monthly = jutil.get_next_period_day(monthly, 'month', extra_offset=0)
assert datetime.datetime.strptime(str(monthly), "%Y%m%d").weekday() < 5
def go_next_rebalance_day(self):
"""update self.ctx.trade_date and last_date."""
current_date = self.ctx.trade_date
if self.ctx.trade_api.match_finished:
next_period_day = jutil.get_next_period_day(current_date, self.ctx.strategy.period,
n=self.ctx.strategy.n_periods,
extra_offset=self.ctx.strategy.days_delay)
# update current_date: next_period_day is a workday, but not necessarily a trade date
if self.ctx.calendar.is_trade_date(next_period_day):
current_date = next_period_day
else:
current_date = self.ctx.calendar.get_next_trade_date(next_period_day)
# update re-balance date
if self.current_rebalance_date > 0:
self.last_rebalance_date = self.current_rebalance_date
else:
self.last_rebalance_date = current_date
self.current_rebalance_date = current_date
else:
# TODO here we must make sure the matching will not last to next period
current_date = self.ctx.calendar.get_next_trade_date(current_date)
self.ctx.trade_date = current_date
self.last_date = self.ctx.calendar.get_last_trade_date(current_date)
def go_next_rebalance_day(self):
"""
update self.ctx.trade_date and last_date.
Returns
-------
bool
Whether the backtest is finished.
"""
current_date = self.ctx.trade_date
if self.ctx.trade_api.match_finished:
if self.ctx.strategy.period == 'day':
# use trade dates array
try:
current_date = self._get_next_trade_date(
current_date, self.ctx.strategy.n_periods)
except IndexError:
return True
else:
# use natural week/month
next_period_day = jutil.get_next_period_day(
current_date,
self.ctx.strategy.period,
n=self.ctx.strategy.n_periods,
extra_offset=self.ctx.strategy.days_delay)
# update current_date: next_period_day is a workday, but not necessarily a trade date
if self._is_trade_date(next_period_day):
current_date = next_period_day
else:
try:
current_date = self._get_next_trade_date(
next_period_day)
except IndexError:
return True
if current_date > self.end_date:
return True
# update re-balance date
if self.current_rebalance_date > 0:
self.last_rebalance_date = self.current_rebalance_date
else:
self.last_rebalance_date = current_date
self.current_rebalance_date = current_date
else:
# TODO here we must make sure the matching will not last to next period
try:
current_date = self._get_next_trade_date(current_date)
except IndexError:
return True
self.ctx.trade_date = current_date
self.last_date = self._get_last_trade_date(current_date)
return False
def go_next_rebalance_day(self):
"""
update self.ctx.trade_date and last_date.
Returns
-------
bool
Whether the backtest is finished.
"""
current_date = self.ctx.trade_date
if self.ctx.trade_api.match_finished:
if self.ctx.strategy.period == 'day':
# use trade dates array
try:
current_date = self._get_next_trade_date(current_date, self.ctx.strategy.n_periods)
except IndexError:
return True
else:
# use natural week/month
next_period_day = jutil.get_next_period_day(current_date, self.ctx.strategy.period,
n=self.ctx.strategy.n_periods,
extra_offset=self.ctx.strategy.days_delay)
# update current_date: next_period_day is a workday, but not necessarily a trade date
if self._is_trade_date(next_period_day):
current_date = next_period_day
else:
try:
current_date = self._get_next_trade_date(next_period_day)
except IndexError:
return True
if current_date > self.end_date:
return True
# update re-balance date
if self.current_rebalance_date > 0:
self.last_rebalance_date = self.current_rebalance_date
else:
self.last_rebalance_date = current_date
self.current_rebalance_date = current_date
else:
# TODO here we must make sure the matching will not last to next period
try:
current_date = self._get_next_trade_date(current_date)
except IndexError:
return True
self.ctx.trade_date = current_date
self.last_date = self._get_last_trade_date(current_date)
return False
def get_index_weights_daily_OLD(self, index, start_date, end_date):
"""
Return all securities that have been in index during start_date and end_date.
Parameters
----------
index : str
start_date : int
end_date : int
Returns
-------
res : pd.DataFrame
Index is trade_date, columns are symbols.
"""
# TODO: temparary api
trade_dates = self.get_trade_date_range(start_date, end_date)
start_date, end_date = trade_dates[0], trade_dates[-1]
td = start_date
dic = dict()
symbols_set = set()
while True:
if td > end_date:
break
df = self.get_index_weights(index, td)
# update_date = df['trade_date'].iat[0]
# if update_date >= start_date and update_date <= end_date:
symbols_set.update(set(df.index))
dic[td] = df['weight']
td = jutil.get_next_period_day(td, 'month', 1)
merge = pd.concat(dic, axis=1).T
merge = merge.fillna(0.0) # for those which are not components
res = pd.DataFrame(index=trade_dates,
columns=sorted(list(symbols_set)),
data=np.nan)
res.update(merge)
res = res.fillna(method='ffill')
res = res.loc[start_date:end_date]
return res
def test_dtutil():
date = 20170808
assert jutil.get_next_period_day(20170831, 'day',
extra_offset=1) == 20170904
assert jutil.get_next_period_day(20170831, 'day', n=2,
extra_offset=0) == 20170904
assert jutil.get_next_period_day(20170831, 'day', n=7,
extra_offset=0) == 20170911
assert jutil.get_next_period_day(20170831, 'week',
extra_offset=1) == 20170905
assert jutil.get_next_period_day(20170831, 'month',
extra_offset=0) == 20170901
monthly = 20170101
while monthly < 20180301:
monthly = jutil.get_next_period_day(monthly, 'month', extra_offset=0)
assert datetime.datetime.strptime(str(monthly), "%Y%m%d").weekday() < 5
