def test_bet_size_budget_default(self):
"""
Tests for the successful execution of the 'bet_size_budget' function.
"""
# Setup the test DataFrame.
dates_test = np.array([
dt.datetime(2000, 1, 1) + i * dt.timedelta(days=1)
for i in range(5)
])
shift_dt = np.array([dt.timedelta(days=0.5 * i + 1) for i in range(5)])
dates_shifted_test = dates_test + shift_dt
events_test = pd.DataFrame(data=[[0.55, 1], [0.7, 1], [0.95, 1],
[0.65, -1], [0.85, 1]],
columns=['prob', 'side'],
index=dates_test)
events_test['t1'] = dates_shifted_test
# Calculate correct result.
events_result = get_concurrent_sides(events_test['t1'],
events_test['side'])
avg_long = events_result['active_long'] / events_result[
'active_long'].max()
avg_short = events_result['active_short'] / events_result[
'active_short'].max()
events_result['bet_size'] = avg_long - avg_short
# Evaluate.
self.assertTrue(
events_result.equals(
bet_size_budget(events_test['t1'], events_test['side'])))
def test_bet_size_budget_div_zero(self):
"""
Tests for successful handling of events DataFrames that result in a maximum number of
concurrent bet sides of zero.
"""
# Setup the test DataFrame.
dates_test = np.array([
dt.datetime(2000, 1, 1) + i * dt.timedelta(days=1)
for i in range(5)
])
shift_dt = np.array([dt.timedelta(days=0.5 * i + 1) for i in range(5)])
dates_shifted_test = dates_test + shift_dt
events_test = pd.DataFrame(data=[[0.55, 1], [0.7, 1], [0.95, 1],
[0.65, 1], [0.85, 1]],
columns=['prob', 'side'],
index=dates_test)
events_test['t1'] = dates_shifted_test
# Calculate correct results.
events_result = get_concurrent_sides(events_test['t1'],
events_test['side'])
max_active_long, max_active_short = events_result['active_long'].max(
), events_result['active_short'].max()
avg_long = events_result[
'active_long'] / max_active_long if max_active_long > 0 else 0
avg_short = events_result[
'active_short'] / max_active_short if max_active_short > 0 else 0
events_result['bet_size'] = avg_long - avg_short
# Evaluate.
self.assertTrue(
events_result.equals(
bet_size_budget(events_test['t1'], events_test['side'])))