def testSecurityMovingQuantile(self):
window = 10
mq = SecurityMovingQuantile(window, ['close'])
for i in range(len(self.aapl['close'])):
data = dict(aapl=dict(close=self.aapl['close'][i],
open=self.aapl['open'][i]),
ibm=dict(close=self.ibm['close'][i],
open=self.ibm['open'][i]))
mq.push(data)
if i < window:
start = 0
else:
start = i + 1 - window
if i < 1:
continue
value = mq.value
for name in value.index():
con = self.dataSet[name]['close'][start:(i + 1)]
sorted_con = sorted(con)
expected = sorted_con.index(
self.dataSet[name]['close'][i]) / (len(sorted_con) - 1.)
calculated = value[name]
self.assertAlmostEqual(
expected, calculated, 12, 'at index {0}\n'
'expected: {1:.12f}\n'
'calculated: {2:.12f}'.format(i, expected, calculated))
def MQUANTILE(window, x='x'):
return SecurityMovingQuantile(window, x)
def MQUANTILE(window, dependency='x'):
return SecurityMovingQuantile(window, dependency)