def setUp(self):
self.extra_knowledge_date = \
datetime(2015, 1, 27, 0, 0, tzinfo=pytz.utc)
self.trading_day_before_first_kd = datetime(
2015, 1, 23, 0, 0, tzinfo=pytz.utc)
setup_logger(self)
def setUp(self):
self.extra_knowledge_date = \
datetime(2015, 1, 27, 0, 0, tzinfo=pytz.utc)
self.trading_day_before_first_kd = datetime(
2015, 1, 23, 0, 0, tzinfo=pytz.utc)
setup_logger(self)
def setUp(self):
setup_logger(self)
sim_params = factory.create_simulation_parameters(
start=datetime(1990, 1, 1, tzinfo=pytz.utc),
end=datetime(1990, 3, 30, tzinfo=pytz.utc))
self.source, self.panel = \
factory.create_test_panel_ohlc_source(sim_params)
def setUp(self):
self.sim_params = factory.create_simulation_parameters(
start=datetime(1990, 1, 1, tzinfo=pytz.utc),
end=datetime(1990, 1, 8, tzinfo=pytz.utc))
setup_logger(self)
self.source, self.df = \
factory.create_test_df_source(self.sim_params)
def setUp(self):
self.sim_params = factory.create_simulation_parameters()
setup_logger(self)
trade_history = factory.create_trade_history(
133, [10.0, 10.0, 11.0, 11.0], [100, 100, 100, 300], timedelta(days=1), self.sim_params
)
self.source = SpecificEquityTrades(event_list=trade_history)
def setUp(self):
self.trading_environment = factory.create_trading_environment()
setup_logger(self)
trade_history = factory.create_trade_history(
133, [10.0, 10.0, 11.0, 11.0], [100, 100, 100, 300], timedelta(days=1), self.trading_environment
)
self.source = SpecificEquityTrades(event_list=trade_history)
def setUp(self):
setup_logger(self)
start = pd.datetime(1993, 1, 1, 0, 0, 0, 0, pytz.utc)
end = pd.datetime(1994, 1, 1, 0, 0, 0, 0, pytz.utc)
self.data = factory.load_from_yahoo(stocks=['AAPL'],
indexes={},
start=start, end=end)
def setUp(self):
self.sim_params = factory.create_simulation_parameters(
start=datetime(1990, 1, 1, tzinfo=pytz.utc),
end=datetime(1990, 1, 8, tzinfo=pytz.utc)
)
setup_logger(self)
self.source, self.df = \
factory.create_test_df_source(self.sim_params)
def setUp(self):
setup_logger(self)
start = pd.datetime(1993, 1, 1, 0, 0, 0, 0, pytz.utc)
end = pd.datetime(1994, 1, 1, 0, 0, 0, 0, pytz.utc)
self.data = factory.load_from_yahoo(stocks=['AAPL'],
indexes={},
start=start,
end=end)
def setUp(self):
self.sim_params = factory.create_simulation_parameters()
setup_logger(self)
trade_history = factory.create_trade_history(133,
[10.0, 10.0, 11.0, 11.0],
[100, 100, 100, 300],
timedelta(days=1),
self.sim_params)
self.source = trade_history
def setUp(self):
self.trading_environment = factory.create_trading_environment()
setup_logger(self)
trade_history = factory.create_trade_history(133,
[10.0, 10.0, 11.0, 11.0],
[100, 100, 100, 300],
timedelta(days=1),
self.trading_environment)
self.source = SpecificEquityTrades(event_list=trade_history)
def setUp(self, env=None):
self.extra_knowledge_date = \
datetime(2015, 1, 27, 0, 0, tzinfo=pytz.utc)
self.trading_day_before_first_kd = datetime(
2015, 1, 23, 0, 0, tzinfo=pytz.utc)
env.update_asset_finder(
clear_metadata=True,
identifiers=["BZQ", "URTY", "JFT", "AAPL", "GOOG"]
)
setup_logger(self)
def setUp(self):
start = pd.datetime(1990, 1, 3, 0, 0, 0, 0, pytz.utc)
end = pd.datetime(1990, 1, 8, 0, 0, 0, 0, pytz.utc)
self.sim_params = factory.create_simulation_parameters(
start=start,
end=end,
)
self.sim_params.emission_rate = 'daily'
self.sim_params.data_frequency = 'minute'
setup_logger(self)
self.source, self.df = \
factory.create_test_df_source(bars='minute')
def setUp(self):
setup_logger(self)
sids = [1, 2]
self.sim_params = factory.create_simulation_parameters(num_days=2,
sids=sids)
self.source = factory.create_minutely_trade_source(
sids,
trade_count=100,
sim_params=self.sim_params,
concurrent=True,
)
def setUp(self):
setup_logger(self)
sids = [1, 2]
self.sim_params = factory.create_simulation_parameters(
num_days=2,
data_frequency='minute',
emission_rate='minute',
)
self.source = factory.create_minutely_trade_source(
sids,
sim_params=self.sim_params,
concurrent=True,
)
def setUp(self):
days = 251
self.sim_params = factory.create_simulation_parameters(num_days=days)
setup_logger(self)
trade_history = factory.create_trade_history(
133, [10.0] * days, [100] * days, timedelta(days=1), self.sim_params
)
self.source = SpecificEquityTrades(event_list=trade_history)
self.df_source, self.df = factory.create_test_df_source(self.sim_params)
self.zipline_test_config = {"sid": 0}
def setUp(self):
setup_logger(self)
self.sim_params = factory.create_simulation_parameters(num_days=4)
trade_history = factory.create_trade_history(1,
[10.0, 10.0, 11.0, 11.0],
[100, 100, 100, 300],
timedelta(days=1),
self.sim_params)
self.source = SpecificEquityTrades(event_list=trade_history)
self.df_source, self.df = \
factory.create_test_df_source(self.sim_params)
def setUp(self):
setup_logger(self)
self.sim_params = factory.create_simulation_parameters(num_days=4)
setup_logger(self)
trade_history = factory.create_trade_history(
1, [10.0, 10.0, 11.0, 11.0], [100, 100, 100, 300], timedelta(days=1), self.sim_params
)
self.source = SpecificEquityTrades(event_list=trade_history)
self.df_source, self.df = factory.create_test_df_source(self.sim_params)
self.panel_source, self.panel = factory.create_test_panel_source(self.sim_params)
def setUp(self):
setup_logger(self)
self.monday = datetime(2012, 7, 9, 16, tzinfo=pytz.utc)
self.eleven_normal_days = [self.monday + i * timedelta(days=1) for i in xrange(11)]
# Modify the end of the period slightly to exercise the
# incomplete day logic.
self.eleven_normal_days[-1] -= timedelta(minutes=1)
self.eleven_normal_days.append(self.monday + timedelta(days=11, seconds=1))
# Second set of dates to test holiday handling.
self.jul4_monday = datetime(2012, 7, 2, 16, tzinfo=pytz.utc)
self.week_of_jul4 = [self.jul4_monday + i * timedelta(days=1) for i in xrange(5)]
def setUp(self, env=None):
self.extra_knowledge_date = \
datetime(2015, 1, 27, 0, 0, tzinfo=pytz.utc)
self.trading_day_before_first_kd = datetime(2015,
1,
23,
0,
0,
tzinfo=pytz.utc)
env.update_asset_finder(
clear_metadata=True,
identifiers=["BZQ", "URTY", "JFT", "AAPL", "GOOG"])
setup_logger(self)
def setUp(self):
days = 251
self.sim_params = factory.create_simulation_parameters(num_days=days)
setup_logger(self)
trade_history = factory.create_trade_history(133, [10.0] * days,
[100] * days,
timedelta(days=1),
self.sim_params)
self.source = SpecificEquityTrades(event_list=trade_history)
self.df_source, self.df = \
factory.create_test_df_source(self.sim_params)
self.zipline_test_config = {
'sid': 0,
}
def setUp(self):
self.sim_params = factory.create_simulation_parameters()
setup_logger(self)
self.monday = datetime(2012, 7, 9, 16, tzinfo=pytz.utc)
self.eleven_normal_days = [self.monday + i * timedelta(days=1)
for i in xrange(11)]
# Modify the end of the period slightly to exercise the
# incomplete day logic.
self.eleven_normal_days[-1] -= timedelta(minutes=1)
self.eleven_normal_days.append(self.monday +
timedelta(days=11, seconds=1))
# Second set of dates to test holiday handling.
self.jul4_monday = datetime(2012, 7, 2, 16, tzinfo=pytz.utc)
self.week_of_jul4 = [self.jul4_monday + i * timedelta(days=1)
for i in xrange(5)]
def setUp(self):
self.zipline_test_config = {"sid": 133, "slippage": FixedSlippage()}
setup_logger(self)
def setUp(self):
self.zipline_test_config = {
'sid': 133,
'slippage': FixedSlippage()
}
setup_logger(self)
def setUp(self):
self.zipline_test_config = {
'sid': 133,
}
setup_logger(self)
def setUp(self):
self.zipline_test_config = {"sid": 133}
setup_logger(self)
def tearDown(self):
setup_logger(self)
def setUp(self, env=None):
setup_logger(self)
def setUp(self):
self.zipline_test_config = {'sid': 133, 'slippage': FixedSlippage()}
setup_logger(self)
def setUp(self):
setup_logger(self)
last_elem = len(df) - 1
self.assertEqual(df[last_elem][last_elem], last_elem)
class TestBatchTransformMinutely(TestCase):
def setUp(self):
start = pd.datetime(1990, 1, 3, 0, 0, 0, 0, pytz.utc)
end = pd.datetime(1990, 1, 8, 0, 0, 0, 0, pytz.utc)
self.sim_params = factory.create_simulation_parameters(
start=start,
end=end,
)
self.sim_params.emission_rate = 'daily'
self.sim_params.data_frequency = 'minute'
setup_logger(self)
self.source, self.df = \
factory.create_test_df_source(bars='minute')
def test_core(self):
algo = BatchTransformAlgorithmMinute(sim_params=self.sim_params)
algo.run(self.source)
wl = int(algo.window_length * 6.5 * 60)
for bt in algo.history[wl:]:
self.assertEqual(len(bt), wl)
def test_window_length(self):
algo = BatchTransformAlgorithmMinute(sim_params=self.sim_params,
window_length=1, refresh_period=0)
algo.run(self.source)
wl = int(algo.window_length * 6.5 * 60)
def setUp(self):
setup_logger(self)
self.source, self.df = factory.create_test_df_source()
def setUp(self):
self.zipline_test_config = {
'sid': 133,
}
setup_logger(self)
def setUp(self):
setup_logger(self)
self.source, self.df = factory.create_test_df_source()
def setUp(self):
setup_logger(self)
def setUp(self, env=None):
setup_logger(self)
env.update_asset_finder(identifiers=[24])
def setUp(self, env=None):
setup_logger(self)
env.update_asset_finder(identifiers=[24])
def setUp(self, env=None):
setup_logger(self)
