def test_moving_stddev(self):
trade_history = factory.create_trade_history(
133,
[10.0, 15.0, 13.0, 12.0],
[100, 100, 100, 100],
timedelta(days=1),
self.sim_params
)
stddev = MovingStandardDev(
market_aware=True,
window_length=3,
)
self.source = SpecificEquityTrades(event_list=trade_history)
transformed = list(stddev.transform(self.source))
vals = [message[stddev.get_hash()] for message in transformed]
expected = [
None,
np.std([10.0, 15.0], ddof=1),
np.std([10.0, 15.0, 13.0], ddof=1),
np.std([15.0, 13.0, 12.0], ddof=1),
]
# np has odd rounding behavior, cf.
# http://docs.scipy.org/doc/np/reference/generated/np.std.html
for v1, v2 in zip(vals, expected):
if v1 is None:
self.assertIsNone(v2)
continue
self.assertEquals(round(v1, 5), round(v2, 5))
def test_moving_stddev(self):
trade_history = factory.create_trade_history(
133,
[10.0, 15.0, 13.0, 12.0],
[100, 100, 100, 100],
timedelta(hours=1),
self.trading_environment
)
stddev = MovingStandardDev(
market_aware=False,
delta=timedelta(minutes=150),
)
self.source = SpecificEquityTrades(event_list=trade_history)
transformed = list(stddev.transform(self.source))
vals = [message.tnfm_value for message in transformed]
expected = [
None,
np.std([10.0, 15.0], ddof=1),
np.std([10.0, 15.0, 13.0], ddof=1),
np.std([15.0, 13.0, 12.0], ddof=1),
]
# np has odd rounding behavior, cf.
# http://docs.scipy.org/doc/np/reference/generated/np.std.html
for v1, v2 in zip(vals, expected):
if v1 is None:
assert v2 is None
continue
assert round(v1, 5) == round(v2, 5)
def test_moving_stddev(self):
trade_history = factory.create_trade_history(133,
[10.0, 15.0, 13.0, 12.0],
[100, 100, 100, 100],
timedelta(hours=1),
self.trading_environment)
stddev = MovingStandardDev(
market_aware=False,
delta=timedelta(minutes=150),
)
self.source = SpecificEquityTrades(event_list=trade_history)
transformed = list(stddev.transform(self.source))
vals = [message.tnfm_value for message in transformed]
expected = [
None,
np.std([10.0, 15.0], ddof=1),
np.std([10.0, 15.0, 13.0], ddof=1),
np.std([15.0, 13.0, 12.0], ddof=1),
]
# np has odd rounding behavior, cf.
# http://docs.scipy.org/doc/np/reference/generated/np.std.html
for v1, v2 in zip(vals, expected):
if v1 is None:
assert v2 is None
continue
assert round(v1, 5) == round(v2, 5)
def test_moving_stddev(self):
stddev = MovingStandardDev(
fields=['price', 'volume'],
market_aware=False,
delta=timedelta(days=3),
)
trade_history = factory.create_trade_history(
133,
[10.0, 15.0, 13.0, 12.0],
[100, 200, 100, 200],
timedelta(days=1),
self.trading_environment
)
self.source = SpecificEquityTrades(event_list=trade_history)
transformed = list(stddev.transform(self.source))
# Output values
tnfm_prices = [message.tnfm_value.price for message in transformed]
tnfm_volumes = [message.tnfm_value.volume for message in transformed]
expected_prices = [
None,
np.std([10.0, 15.0], ddof=1),
np.std([10.0, 15.0, 13.0], ddof=1),
np.std([15.0, 13.0, 12.0], ddof=1),
]
expected_volumes = [
None,
np.std([100, 200], ddof=1),
np.std([100, 200, 100], ddof=1),
np.std([200, 100, 200], ddof=1),
]
for v1, v2 in zip(tnfm_prices, expected_prices):
if v1 is None:
assert v2 is None
continue
self.assertAlmostEqual(v1, v2)
for v1, v2 in zip(tnfm_volumes, expected_volumes):
if v1 is None:
assert v2 is None
continue
self.assertAlmostEqual(v1, v2)
