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, self.env)
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, self.env)
def setUpClass(cls):
setup_logger(cls)
cls.env = trading.TradingEnvironment()
cls.sim_params = factory.create_simulation_parameters(
start=pd.Timestamp("2006-01-05", tz='UTC'),
end=pd.Timestamp("2006-01-06", tz='UTC')
)
cls.env.write_data(equities_data={
24: {
'start_date': cls.sim_params.trading_days[0],
'end_date': cls.env.next_trading_day(
cls.sim_params.trading_days[-1]
)
},
25: {
'start_date': cls.sim_params.trading_days[0],
'end_date': cls.env.next_trading_day(
cls.sim_params.trading_days[-1]
)
}
})
cls.tempdir = TempDirectory()
assets = {
24: pd.DataFrame({
"open": [50, 50],
"high": [50, 50],
"low": [50, 50],
"close": [50, 50],
"volume": [100, 400],
"day": [day.value for day in cls.sim_params.trading_days]
}),
25: pd.DataFrame({
"open": [50, 50],
"high": [50, 50],
"low": [50, 50],
"close": [50, 50],
"volume": [100, 400],
"day": [day.value for day in cls.sim_params.trading_days]
})
}
path = os.path.join(cls.tempdir.path, "tempdata.bcolz")
DailyBarWriterFromDataFrames(assets).write(
path,
cls.sim_params.trading_days,
assets
)
equity_daily_reader = BcolzDailyBarReader(path)
cls.data_portal = DataPortal(
cls.env,
equity_daily_reader=equity_daily_reader,
)
def setUpClass(cls):
setup_logger(cls)
cls.env = trading.TradingEnvironment()
cls.sim_params = factory.create_simulation_parameters(
start=pd.Timestamp("2006-01-05", tz='UTC'),
end=pd.Timestamp("2006-01-06", tz='UTC'))
cls.env.write_data(
equities_data={
24: {
'start_date':
cls.sim_params.trading_days[0],
'end_date':
cls.env.next_trading_day(cls.sim_params.trading_days[-1])
},
25: {
'start_date':
cls.sim_params.trading_days[0],
'end_date':
cls.env.next_trading_day(cls.sim_params.trading_days[-1])
}
})
cls.tempdir = TempDirectory()
assets = {
24:
pd.DataFrame({
"open": [50, 50],
"high": [50, 50],
"low": [50, 50],
"close": [50, 50],
"volume": [100, 400],
"day": [day.value for day in cls.sim_params.trading_days]
}),
25:
pd.DataFrame({
"open": [50, 50],
"high": [50, 50],
"low": [50, 50],
"close": [50, 50],
"volume": [100, 400],
"day": [day.value for day in cls.sim_params.trading_days]
})
}
path = os.path.join(cls.tempdir.path, "tempdata.bcolz")
DailyBarWriterFromDataFrames(assets).write(path,
cls.sim_params.trading_days,
assets)
equity_daily_reader = BcolzDailyBarReader(path)
cls.data_portal = DataPortal(
cls.env,
equity_daily_reader=equity_daily_reader,
)
def setUp(self):
setup_logger(self)
self.sim_params = factory.create_simulation_parameters(
start=datetime(1990, 1, 1, tzinfo=pytz.utc),
end=datetime(1990, 1, 8, tzinfo=pytz.utc),
env=self.env)
self.source, self.df = \
factory.create_test_df_source(self.sim_params, self.env)
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)
setup_logger(self)
def setUp(self):
setup_logger(self)
self.sim_params = factory.create_simulation_parameters(
start=datetime(1990, 1, 1, tzinfo=pytz.utc),
end=datetime(1990, 1, 8, tzinfo=pytz.utc),
env=self.env
)
self.source, self.df = \
factory.create_test_df_source(self.sim_params, self.env)
def setUp(self):
setup_logger(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, env=self.env,
)
self.sim_params.emission_rate = 'daily'
self.sim_params.data_frequency = 'minute'
self.source, self.df = \
factory.create_test_df_source(sim_params=self.sim_params,
env=self.env,
bars='minute')
def setUp(self):
setup_logger(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,
env=self.env,
)
self.sim_params.emission_rate = 'daily'
self.sim_params.data_frequency = 'minute'
self.source, self.df = \
factory.create_test_df_source(sim_params=self.sim_params,
env=self.env,
bars='minute')
def setUpClass(cls):
cls.sid = 133
cls.env = TradingEnvironment()
cls.env.write_data(equities_identifiers=[cls.sid])
cls.tempdir = TempDirectory()
cls.sim_params = factory.create_simulation_parameters(num_days=4,
env=cls.env)
cls.data_portal = create_data_portal(env=cls.env,
tempdir=cls.tempdir,
sim_params=cls.sim_params,
sids=[cls.sid])
setup_logger(cls)
def setUpClass(cls):
cls.sid = 133
cls.env = TradingEnvironment()
cls.env.write_data(equities_identifiers=[cls.sid])
cls.tempdir = TempDirectory()
cls.sim_params = factory.create_simulation_parameters(
num_days=4,
env=cls.env
)
cls.data_portal = create_data_portal(
env=cls.env,
tempdir=cls.tempdir,
sim_params=cls.sim_params,
sids=[cls.sid]
)
setup_logger(cls)
def setUp(self):
self.zipline_test_config = {
'sid': 133,
}
setup_logger(self)
def setUp(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, env=None):
setup_logger(self)
def setUp(self):
self.zipline_test_config = {
'sid': 133,
'slippage': FixedSlippage()
}
setup_logger(self)
def setUpClass(cls):
# this is ugly, but we need to create two different
# TradingEnvironment/DataPortal pairs
cls.env = TradingEnvironment()
cls.env2 = TradingEnvironment()
cls.extra_knowledge_date = pd.Timestamp("2015-01-27", tz='UTC')
cls.trading_day_before_first_kd = pd.Timestamp("2015-01-23", tz='UTC')
symbols = ['AAPL', 'GOOG', 'BZQ', 'URTY', 'JFT']
days = cls.env.days_in_range(
list(LEVERAGED_ETFS.keys())[0],
pd.Timestamp("2015-02-17", tz='UTC')
)
cls.sim_params = factory.create_simulation_parameters(
start=list(LEVERAGED_ETFS.keys())[0],
num_days=4,
env=cls.env
)
cls.sim_params2 = factory.create_simulation_parameters(
start=cls.trading_day_before_first_kd, num_days=4
)
equities_metadata = {}
for i, symbol in enumerate(symbols):
equities_metadata[i] = {
'start_date': days[0],
'end_date': days[-1],
'symbol': symbol
}
equities_metadata2 = {}
for i, symbol in enumerate(symbols):
equities_metadata2[i] = {
'start_date': cls.sim_params2.period_start,
'end_date': cls.sim_params2.period_end,
'symbol': symbol
}
cls.env.write_data(equities_data=equities_metadata)
cls.env2.write_data(equities_data=equities_metadata2)
cls.tempdir = TempDirectory()
cls.tempdir2 = TempDirectory()
cls.data_portal = create_data_portal(
env=cls.env,
tempdir=cls.tempdir,
sim_params=cls.sim_params,
sids=range(0, 5),
)
cls.data_portal2 = create_data_portal(
env=cls.env2,
tempdir=cls.tempdir2,
sim_params=cls.sim_params2,
sids=range(0, 5)
)
setup_logger(cls)
def setUp(self):
self.zipline_test_config = {
'sid': 133,
}
setup_logger(self)
def setUp(self):
setup_logger(self)
