def test_offset(self):
""" Test the offset method of FutureChain.
"""
cl = FutureChain(self.asset_finder, lambda: '2005-12-01', 'CL')
# Test that an offset forward sets as_of_date as expected
self.assertEqual(
cl.offset('3 days').as_of_date,
cl.as_of_date + pd.Timedelta(days=3))
# Test that an offset backward sets as_of_date as expected, with
# time delta given as str, datetime.timedelta, and pd.Timedelta.
self.assertEqual(
cl.offset('-1000 days').as_of_date,
cl.as_of_date + pd.Timedelta(days=-1000))
self.assertEqual(
cl.offset(timedelta(days=-1000)).as_of_date,
cl.as_of_date + pd.Timedelta(days=-1000))
self.assertEqual(
cl.offset(pd.Timedelta('-1000 days')).as_of_date,
cl.as_of_date + pd.Timedelta(days=-1000))
# An offset of zero should give the original chain.
self.assertEqual(cl[0], cl.offset(0)[0])
self.assertEqual(cl[0], cl.offset("0 days")[0])
# A string that doesn't represent a time delta should raise a
# ValueError.
with self.assertRaises(ValueError):
cl.offset("blah")
def test_offset(self):
""" Test the offset method of FutureChain.
"""
cl = FutureChain(self.asset_finder, lambda: '2005-12-01', 'CL')
# Test that an offset forward sets as_of_date as expected
self.assertEqual(
cl.offset('3 days').as_of_date,
cl.as_of_date + pd.Timedelta(days=3)
)
# Test that an offset backward sets as_of_date as expected, with
# time delta given as str, datetime.timedelta, and pd.Timedelta.
self.assertEqual(
cl.offset('-1000 days').as_of_date,
cl.as_of_date + pd.Timedelta(days=-1000)
)
self.assertEqual(
cl.offset(timedelta(days=-1000)).as_of_date,
cl.as_of_date + pd.Timedelta(days=-1000)
)
self.assertEqual(
cl.offset(pd.Timedelta('-1000 days')).as_of_date,
cl.as_of_date + pd.Timedelta(days=-1000)
)
# An offset of zero should give the original chain.
self.assertEqual(cl[0], cl.offset(0)[0])
self.assertEqual(cl[0], cl.offset("0 days")[0])
# A string that doesn't represent a time delta should raise a
# ValueError.
with self.assertRaises(ValueError):
cl.offset("blah")
def test_as_of(self):
""" Test the as_of method of FutureChain.
"""
cl = FutureChain(self.asset_finder, lambda: '2005-12-01', 'CL')
# Test that the as_of_date is set correctly to the future
feb = '2006-02-01'
cl_feb = cl.as_of(feb)
self.assertEqual(cl_feb.as_of_date, pd.Timestamp(feb, tz='UTC'))
# Test that the as_of_date is set correctly to the past, with
# args of str, datetime.datetime, and pd.Timestamp.
feb_prev = '2005-02-01'
cl_feb_prev = cl.as_of(feb_prev)
self.assertEqual(cl_feb_prev.as_of_date,
pd.Timestamp(feb_prev, tz='UTC'))
feb_prev = datetime(year=2005, month=2, day=1)
cl_feb_prev = cl.as_of(feb_prev)
self.assertEqual(cl_feb_prev.as_of_date,
pd.Timestamp(feb_prev, tz='UTC'))
feb_prev = pd.Timestamp('2005-02-01')
cl_feb_prev = cl.as_of(feb_prev)
self.assertEqual(cl_feb_prev.as_of_date,
pd.Timestamp(feb_prev, tz='UTC'))
# The chain as of the current dt should always be the same as
# the defualt chain. Tests date as str, pd.Timestamp, and
# datetime.datetime.
self.assertEqual(cl[0], cl.as_of('2005-12-01')[0])
self.assertEqual(cl[0], cl.as_of(pd.Timestamp('2005-12-01'))[0])
self.assertEqual(cl[0],
cl.as_of(datetime(year=2005, month=12, day=1))[0])
def test_iter(self):
""" Test the __iter__ method of FutureChain.
"""
cl = FutureChain(self.asset_finder, lambda: '2005-12-01', 'CL')
for i, contract in enumerate(cl):
self.assertEqual(contract, i)
# First contract is now invalid, so sids will be offset by one
cl = FutureChain(self.asset_finder, lambda: '2005-12-21', 'CL')
for i, contract in enumerate(cl):
self.assertEqual(contract, i + 1)
def test_root_symbols(self):
""" Test that different variations on root symbols are handled
as expected.
"""
# Make sure this successfully gets the chain for CL.
cl = FutureChain(self.asset_finder, lambda: '2005-12-01', 'CL')
self.assertEqual(cl.root_symbol, 'CL')
# These root symbols don't exist, so RootSymbolNotFound should
# be raised immediately.
with self.assertRaises(RootSymbolNotFound):
FutureChain(self.asset_finder, lambda: '2005-12-01', 'CLZ')
with self.assertRaises(RootSymbolNotFound):
FutureChain(self.asset_finder, lambda: '2005-12-01', '')
def test_repr(self):
""" Test the __repr__ method of FutureChain.
"""
cl = FutureChain(self.asset_finder, lambda: '2005-12-01', 'CL')
cl_feb = FutureChain(self.asset_finder,
lambda: '2005-12-01',
'CL',
as_of_date=pd.Timestamp('2006-02-01', tz='UTC'))
# The default chain should not include the as of date.
self.assertEqual(repr(cl), "FutureChain(root_symbol='CL')")
# An explicit as of date should show up in the repr.
self.assertEqual(repr(cl_feb),
("FutureChain(root_symbol='CL', "
"as_of_date='2006-02-01 00:00:00+00:00')"))
def future_chain(self, root_symbol, as_of_date=None):
""" Look up a future chain with the specified parameters.
Parameters
----------
root_symbol : str
The root symbol of a future chain.
as_of_date : datetime.datetime or pandas.Timestamp or str, optional
Date at which the chain determination is rooted. I.e. the
existing contract whose notice date is first after this date is
the primary contract, etc.
Returns
-------
FutureChain
The future chain matching the specified parameters.
Raises
------
RootSymbolNotFound
If a future chain could not be found for the given root symbol.
"""
return FutureChain(asset_finder=self.asset_finder,
get_datetime=self.get_datetime,
root_symbol=root_symbol.upper(),
as_of_date=as_of_date)
def test_getitem(self):
""" Test the __getitem__ method of FutureChain.
"""
cl = FutureChain(self.asset_finder, lambda: '2005-12-01', 'CL')
self.assertEqual(cl[0], 0)
self.assertEqual(cl[1], 1)
self.assertEqual(cl[2], 2)
cl = FutureChain(self.asset_finder, lambda: '2005-12-20', 'CL')
self.assertEqual(cl[0], 0)
cl = FutureChain(self.asset_finder, lambda: '2005-12-21', 'CL')
self.assertEqual(cl[0], 1)
cl = FutureChain(self.asset_finder, lambda: '2006-02-01', 'CL')
self.assertEqual(cl[-1], 3)
def test_as_of(self):
""" Test the as_of method of FutureChain.
"""
cl = FutureChain(self.asset_finder, lambda: "2005-12-01", "CL")
# Test that the as_of_date is set correctly to the future
feb = pd.Timestamp("2006-02-01", tz="UTC")
cl_feb = cl.as_of(feb)
self.assertEqual(cl_feb.as_of_date, pd.Timestamp(feb, tz="UTC"))
# Test that the as_of_date is set correctly to the past, with
# args of str, datetime.datetime, and pd.Timestamp.
feb_prev = pd.Timestamp("2005-02-01", tz="UTC")
cl_feb_prev = cl.as_of(feb_prev)
self.assertEqual(cl_feb_prev.as_of_date, pd.Timestamp(feb_prev, tz="UTC"))
feb_prev = pd.Timestamp(datetime(year=2005, month=2, day=1), tz="UTC")
cl_feb_prev = cl.as_of(feb_prev)
self.assertEqual(cl_feb_prev.as_of_date, pd.Timestamp(feb_prev, tz="UTC"))
feb_prev = pd.Timestamp("2005-02-01", tz="UTC")
cl_feb_prev = cl.as_of(feb_prev)
self.assertEqual(cl_feb_prev.as_of_date, pd.Timestamp(feb_prev, tz="UTC"))
# Test that the as_of() method works with str args
feb_str = "2006-02-01"
cl_feb = cl.as_of(feb_str)
self.assertEqual(cl_feb.as_of_date, pd.Timestamp(feb, tz="UTC"))
# The chain as of the current dt should always be the same as
# the defualt chain.
self.assertEqual(cl[0], cl.as_of(pd.Timestamp("2005-12-01"))[0])
def test_len(self):
""" Test the __len__ method of FutureChain.
"""
# None of the contracts have started yet.
cl = FutureChain(self.asset_finder, lambda: '2005-11-30', 'CL')
self.assertEqual(len(cl), 0)
# Sids 0, 1, & 2 have started, 3 has not yet started.
cl = FutureChain(self.asset_finder, lambda: '2005-12-01', 'CL')
self.assertEqual(len(cl), 3)
# Sid 0 is still valid the day before its notice date.
cl = FutureChain(self.asset_finder, lambda: '2005-12-19', 'CL')
self.assertEqual(len(cl), 3)
# Sid 0 is now invalid, leaving only Sids 1 & 2 valid.
cl = FutureChain(self.asset_finder, lambda: '2005-12-20', 'CL')
self.assertEqual(len(cl), 2)
# Sid 3 has started, so 1, 2, & 3 are now valid.
cl = FutureChain(self.asset_finder, lambda: '2006-02-01', 'CL')
self.assertEqual(len(cl), 3)
# All contracts are no longer valid.
cl = FutureChain(self.asset_finder, lambda: '2006-09-20', 'CL')
self.assertEqual(len(cl), 0)
def test_len(self):
""" Test the __len__ method of FutureChain.
"""
# Sids 0, 1, & 2 have started, 3 has not yet started, but all are in
# the chain
cl = FutureChain(self.asset_finder, lambda: '2005-12-01', 'CL')
self.assertEqual(len(cl), 4)
# Sid 0 is still valid on its notice date.
cl = FutureChain(self.asset_finder, lambda: '2005-12-20', 'CL')
self.assertEqual(len(cl), 4)
# Sid 0 is now invalid, leaving Sids 1 & 2 valid (and 3 not started).
cl = FutureChain(self.asset_finder, lambda: '2005-12-21', 'CL')
self.assertEqual(len(cl), 3)
# Sid 3 has started, so 1, 2, & 3 are now valid.
cl = FutureChain(self.asset_finder, lambda: '2006-02-01', 'CL')
self.assertEqual(len(cl), 3)
# All contracts are no longer valid.
cl = FutureChain(self.asset_finder, lambda: '2006-09-21', 'CL')
self.assertEqual(len(cl), 0)
def test_as_of(self):
""" Test the as_of method of FutureChain.
"""
cl = FutureChain(self.asset_finder, lambda: '2005-12-01', 'CL')
# Test that the as_of_date is set correctly to the future
feb = '2006-02-01'
cl_feb = cl.as_of(feb)
self.assertEqual(
cl_feb.as_of_date,
pd.Timestamp(feb, tz='UTC')
)
# Test that the as_of_date is set correctly to the past, with
# args of str, datetime.datetime, and pd.Timestamp.
feb_prev = '2005-02-01'
cl_feb_prev = cl.as_of(feb_prev)
self.assertEqual(
cl_feb_prev.as_of_date,
pd.Timestamp(feb_prev, tz='UTC')
)
feb_prev = datetime(year=2005, month=2, day=1)
cl_feb_prev = cl.as_of(feb_prev)
self.assertEqual(
cl_feb_prev.as_of_date,
pd.Timestamp(feb_prev, tz='UTC')
)
feb_prev = pd.Timestamp('2005-02-01')
cl_feb_prev = cl.as_of(feb_prev)
self.assertEqual(
cl_feb_prev.as_of_date,
pd.Timestamp(feb_prev, tz='UTC')
)
# The chain as of the current dt should always be the same as
# the defualt chain. Tests date as str, pd.Timestamp, and
# datetime.datetime.
self.assertEqual(cl[0], cl.as_of('2005-12-01')[0])
self.assertEqual(cl[0], cl.as_of(pd.Timestamp('2005-12-01'))[0])
self.assertEqual(
cl[0],
cl.as_of(datetime(year=2005, month=12, day=1))[0]
)