def test_asset_lookup(self):
metadata = {
0: {
'symbol': 'PLAY',
'asset_type': 'equity',
'start_date': '2002-01-01',
'end_date': '2004-01-01'
},
1: {
'symbol': 'PLAY',
'asset_type': 'equity',
'start_date': '2005-01-01',
'end_date': '2006-01-01'
},
2: {
'symbol': 'OMG15',
'asset_type': 'future'
}
}
algo = TradingAlgorithm(asset_metadata=metadata)
# Test before either PLAY existed
algo.datetime = pd.Timestamp('2001-12-01', tz='UTC')
self.assertEqual(2, algo.symbol('OMG15'))
with self.assertRaises(SymbolNotFound):
algo.symbol('PLAY')
with self.assertRaises(SymbolNotFound):
algo.symbols('PLAY', 'OMG15')
# Test when first PLAY exists
algo.datetime = pd.Timestamp('2002-12-01', tz='UTC')
self.assertEqual(2, algo.symbol('OMG15'))
self.assertEqual(0, algo.symbol('PLAY'))
list_result = algo.symbols('PLAY', 'OMG15')
self.assertEqual(0, list_result[0])
self.assertEqual(2, list_result[1])
# Test after first PLAY ends
algo.datetime = pd.Timestamp('2004-12-01', tz='UTC')
self.assertEqual(2, algo.symbol('OMG15'))
self.assertEqual(0, algo.symbol('PLAY'))
# Test after second PLAY begins
algo.datetime = pd.Timestamp('2005-12-01', tz='UTC')
self.assertEqual(2, algo.symbol('OMG15'))
self.assertEqual(1, algo.symbol('PLAY'))
# Test after second PLAY ends
algo.datetime = pd.Timestamp('2006-12-01', tz='UTC')
self.assertEqual(2, algo.symbol('OMG15'))
self.assertEqual(1, algo.symbol('PLAY'))
list_result = algo.symbols('PLAY', 'OMG15')
self.assertEqual(1, list_result[0])
self.assertEqual(2, list_result[1])
# Test lookup SID
self.assertIsInstance(algo.sid(0), Equity)
self.assertIsInstance(algo.sid(1), Equity)
self.assertIsInstance(algo.sid(2), Future)
def test_asset_lookup(self):
metadata = {0: {'symbol': 'PLAY',
'asset_type': 'equity',
'start_date': '2002-01-01',
'end_date': '2004-01-01'},
1: {'symbol': 'PLAY',
'asset_type': 'equity',
'start_date': '2005-01-01',
'end_date': '2006-01-01'},
2: {'symbol': 'OMG15',
'asset_type': 'future'}}
algo = TradingAlgorithm(asset_metadata=metadata)
# Test before either PLAY existed
algo.datetime = pd.Timestamp('2001-12-01', tz='UTC')
self.assertEqual(2, algo.symbol('OMG15'))
with self.assertRaises(SymbolNotFound):
algo.symbol('PLAY')
with self.assertRaises(SymbolNotFound):
algo.symbols('PLAY', 'OMG15')
# Test when first PLAY exists
algo.datetime = pd.Timestamp('2002-12-01', tz='UTC')
self.assertEqual(2, algo.symbol('OMG15'))
self.assertEqual(0, algo.symbol('PLAY'))
list_result = algo.symbols('PLAY', 'OMG15')
self.assertEqual(0, list_result[0])
self.assertEqual(2, list_result[1])
# Test after first PLAY ends
algo.datetime = pd.Timestamp('2004-12-01', tz='UTC')
self.assertEqual(2, algo.symbol('OMG15'))
self.assertEqual(0, algo.symbol('PLAY'))
# Test after second PLAY begins
algo.datetime = pd.Timestamp('2005-12-01', tz='UTC')
self.assertEqual(2, algo.symbol('OMG15'))
self.assertEqual(1, algo.symbol('PLAY'))
# Test after second PLAY ends
algo.datetime = pd.Timestamp('2006-12-01', tz='UTC')
self.assertEqual(2, algo.symbol('OMG15'))
self.assertEqual(1, algo.symbol('PLAY'))
list_result = algo.symbols('PLAY', 'OMG15')
self.assertEqual(1, list_result[0])
self.assertEqual(2, list_result[1])
# Test lookup SID
self.assertIsInstance(algo.sid(0), Equity)
self.assertIsInstance(algo.sid(1), Equity)
self.assertIsInstance(algo.sid(2), Future)
def test_future_chain(self):
""" Tests the future_chain API function.
"""
metadata = {
0: {
'symbol': 'CLG06',
'root_symbol': 'CL',
'asset_type': 'future',
'start_date': pd.Timestamp('2005-12-01', tz='UTC'),
'notice_date': pd.Timestamp('2005-12-20', tz='UTC'),
'expiration_date': pd.Timestamp('2006-01-20', tz='UTC')
},
1: {
'root_symbol': 'CL',
'symbol': 'CLK06',
'asset_type': 'future',
'start_date': pd.Timestamp('2005-12-01', tz='UTC'),
'notice_date': pd.Timestamp('2006-03-20', tz='UTC'),
'expiration_date': pd.Timestamp('2006-04-20', tz='UTC')
},
2: {
'symbol': 'CLQ06',
'root_symbol': 'CL',
'asset_type': 'future',
'start_date': pd.Timestamp('2005-12-01', tz='UTC'),
'notice_date': pd.Timestamp('2006-06-20', tz='UTC'),
'expiration_date': pd.Timestamp('2006-07-20', tz='UTC')
},
3: {
'symbol': 'CLX06',
'root_symbol': 'CL',
'asset_type': 'future',
'start_date': pd.Timestamp('2006-02-01', tz='UTC'),
'notice_date': pd.Timestamp('2006-09-20', tz='UTC'),
'expiration_date': pd.Timestamp('2006-10-20', tz='UTC')
}
}
algo = TradingAlgorithm(asset_metadata=metadata)
algo.datetime = pd.Timestamp('2006-12-01', tz='UTC')
# Check that the fields of the FutureChain object are set correctly
cl = algo.future_chain('CL')
self.assertEqual(cl.root_symbol, 'CL')
self.assertEqual(cl.as_of_date, algo.datetime)
# Check the fields are set correctly if an as_of_date is supplied
as_of_date = pd.Timestamp('1952-08-11', tz='UTC')
cl = algo.future_chain('CL', as_of_date=as_of_date)
self.assertEqual(cl.root_symbol, 'CL')
self.assertEqual(cl.as_of_date, as_of_date)
cl = algo.future_chain('CL', as_of_date='1952-08-11')
self.assertEqual(cl.root_symbol, 'CL')
self.assertEqual(cl.as_of_date, as_of_date)
# Check that weird capitalization is corrected
cl = algo.future_chain('cL')
self.assertEqual(cl.root_symbol, 'CL')
cl = algo.future_chain('cl')
self.assertEqual(cl.root_symbol, 'CL')
# Check that invalid root symbols raise RootSymbolNotFound
with self.assertRaises(RootSymbolNotFound):
algo.future_chain('CLZ')
with self.assertRaises(RootSymbolNotFound):
algo.future_chain('')
def test_future_chain(self):
""" Tests the future_chain API function.
"""
metadata = {
0: {
'symbol': 'CLG06',
'root_symbol': 'CL',
'asset_type': 'future',
'start_date': pd.Timestamp('2005-12-01', tz='UTC'),
'notice_date': pd.Timestamp('2005-12-20', tz='UTC'),
'expiration_date': pd.Timestamp('2006-01-20', tz='UTC')},
1: {
'root_symbol': 'CL',
'symbol': 'CLK06',
'asset_type': 'future',
'start_date': pd.Timestamp('2005-12-01', tz='UTC'),
'notice_date': pd.Timestamp('2006-03-20', tz='UTC'),
'expiration_date': pd.Timestamp('2006-04-20', tz='UTC')},
2: {
'symbol': 'CLQ06',
'root_symbol': 'CL',
'asset_type': 'future',
'start_date': pd.Timestamp('2005-12-01', tz='UTC'),
'notice_date': pd.Timestamp('2006-06-20', tz='UTC'),
'expiration_date': pd.Timestamp('2006-07-20', tz='UTC')},
3: {
'symbol': 'CLX06',
'root_symbol': 'CL',
'asset_type': 'future',
'start_date': pd.Timestamp('2006-02-01', tz='UTC'),
'notice_date': pd.Timestamp('2006-09-20', tz='UTC'),
'expiration_date': pd.Timestamp('2006-10-20', tz='UTC')}
}
algo = TradingAlgorithm(asset_metadata=metadata)
algo.datetime = pd.Timestamp('2006-12-01', tz='UTC')
# Check that the fields of the FutureChain object are set correctly
cl = algo.future_chain('CL')
self.assertEqual(cl.root_symbol, 'CL')
self.assertEqual(cl.as_of_date, algo.datetime)
# Check the fields are set correctly if an as_of_date is supplied
as_of_date = pd.Timestamp('1952-08-11', tz='UTC')
cl = algo.future_chain('CL', as_of_date=as_of_date)
self.assertEqual(cl.root_symbol, 'CL')
self.assertEqual(cl.as_of_date, as_of_date)
cl = algo.future_chain('CL', as_of_date='1952-08-11')
self.assertEqual(cl.root_symbol, 'CL')
self.assertEqual(cl.as_of_date, as_of_date)
# Check that weird capitalization is corrected
cl = algo.future_chain('cL')
self.assertEqual(cl.root_symbol, 'CL')
cl = algo.future_chain('cl')
self.assertEqual(cl.root_symbol, 'CL')
# Check that invalid root symbols raise RootSymbolNotFound
with self.assertRaises(RootSymbolNotFound):
algo.future_chain('CLZ')
with self.assertRaises(RootSymbolNotFound):
algo.future_chain('')
