def test_algo_with_rl_violation_cumulative(self):
"""
Add a new restriction, run a test long after both
knowledge dates, make sure stock from original restriction
set is still disallowed.
"""
sim_params = factory.create_simulation_parameters(
start=list(
LEVERAGED_ETFS.keys())[0] + timedelta(days=7), num_days=4)
try:
add_security_data(['AAPL'], [])
trade_history = factory.create_trade_history(
'BZQ',
[10.0, 10.0, 11.0, 11.0],
[100, 100, 100, 300],
timedelta(days=1),
sim_params
)
self.source = SpecificEquityTrades(event_list=trade_history)
algo = RestrictedAlgoWithoutCheck(
sid='BZQ', sim_params=sim_params)
with self.assertRaises(TradingControlViolation) as ctx:
algo.run(self.source)
self.check_algo_exception(algo, ctx, 0)
finally:
remove_security_data_directory()
def test_security_add_delete(self):
try:
def get_datetime():
return datetime(2015, 1, 27, tzinfo=pytz.utc)
add_security_data([], ['BZQ', 'URTY'])
rl = SecurityListSet(get_datetime)
self.assertNotIn("BZQ", rl.leveraged_etf_list)
self.assertNotIn("URTY", rl.leveraged_etf_list)
finally:
remove_security_data_directory()
def test_security_add(self):
def get_datetime():
return datetime(2015, 1, 27, tzinfo=pytz.utc)
try:
add_security_data(['AAPL', 'GOOG'], [])
rl = SecurityListSet(get_datetime)
self.assertIn("AAPL", rl.leveraged_etf_list)
self.assertIn("GOOG", rl.leveraged_etf_list)
self.assertIn("BZQ", rl.leveraged_etf_list)
self.assertIn("URTY", rl.leveraged_etf_list)
finally:
remove_security_data_directory()
def test_security_add_delete(self):
try:
def get_datetime():
return datetime(2015, 1, 27, tzinfo=pytz.utc)
add_security_data([], ['BZQ', 'URTY'])
rl = SecurityListSet(get_datetime)
self.assertNotIn("BZQ", rl.leveraged_etf_list)
self.assertNotIn("URTY", rl.leveraged_etf_list)
finally:
remove_security_data_directory()
def test_security_add(self):
def get_datetime():
return datetime(2015, 1, 27, tzinfo=pytz.utc)
try:
add_security_data(['AAPL', 'GOOG'], [])
rl = SecurityListSet(get_datetime)
self.assertIn("AAPL", rl.leveraged_etf_list)
self.assertIn("GOOG", rl.leveraged_etf_list)
self.assertIn("BZQ", rl.leveraged_etf_list)
self.assertIn("URTY", rl.leveraged_etf_list)
finally:
remove_security_data_directory()
def test_algo_without_rl_violation_after_delete(self):
try:
# add a delete statement removing bzq
# write a new delete statement file to disk
add_security_data([], ['BZQ'])
sim_params = factory.create_simulation_parameters(
start=self.extra_knowledge_date, num_days=3)
trade_history = factory.create_trade_history(
'BZQ', [10.0, 10.0, 11.0, 11.0], [100, 100, 100, 300],
timedelta(days=1), sim_params)
self.source = SpecificEquityTrades(event_list=trade_history)
algo = RestrictedAlgoWithoutCheck(sid='BZQ', sim_params=sim_params)
algo.run(self.source)
finally:
remove_security_data_directory()
def test_algo_with_rl_violation_after_add(self):
try:
add_security_data(['AAPL'], [])
sim_params = factory.create_simulation_parameters(
start=self.trading_day_before_first_kd, num_days=4)
trade_history = factory.create_trade_history(
'AAPL', [10.0, 10.0, 11.0, 11.0], [100, 100, 100, 300],
timedelta(days=1), sim_params)
self.source = SpecificEquityTrades(event_list=trade_history)
algo = RestrictedAlgoWithoutCheck(sid='AAPL',
sim_params=sim_params)
with self.assertRaises(TradingControlViolation) as ctx:
algo.run(self.source)
self.check_algo_exception(algo, ctx, 2)
finally:
remove_security_data_directory()
def test_algo_with_rl_violation_after_add(self):
try:
add_security_data(['AAPL'], [])
sim_params = factory.create_simulation_parameters(
start=self.trading_day_before_first_kd, num_days=4)
trade_history = factory.create_trade_history(
'AAPL',
[10.0, 10.0, 11.0, 11.0],
[100, 100, 100, 300],
timedelta(days=1),
sim_params
)
self.source = SpecificEquityTrades(event_list=trade_history)
algo = RestrictedAlgoWithoutCheck(
sid='AAPL', sim_params=sim_params)
with self.assertRaises(TradingControlViolation) as ctx:
algo.run(self.source)
self.check_algo_exception(algo, ctx, 2)
finally:
remove_security_data_directory()
def test_algo_without_rl_violation_after_delete(self):
try:
# add a delete statement removing bzq
# write a new delete statement file to disk
add_security_data([], ['BZQ'])
sim_params = factory.create_simulation_parameters(
start=self.extra_knowledge_date, num_days=3)
trade_history = factory.create_trade_history(
'BZQ',
[10.0, 10.0, 11.0, 11.0],
[100, 100, 100, 300],
timedelta(days=1),
sim_params
)
self.source = SpecificEquityTrades(event_list=trade_history)
algo = RestrictedAlgoWithoutCheck(
sid='BZQ', sim_params=sim_params)
algo.run(self.source)
finally:
remove_security_data_directory()
def test_algo_with_rl_violation_cumulative(self):
"""
Add a new restriction, run a test long after both
knowledge dates, make sure stock from original restriction
set is still disallowed.
"""
sim_params = factory.create_simulation_parameters(
start=list(LEVERAGED_ETFS.keys())[0] + timedelta(days=7),
num_days=4)
try:
add_security_data(['AAPL'], [])
trade_history = factory.create_trade_history(
'BZQ', [10.0, 10.0, 11.0, 11.0], [100, 100, 100, 300],
timedelta(days=1), sim_params)
self.source = SpecificEquityTrades(event_list=trade_history)
algo = RestrictedAlgoWithoutCheck(sid='BZQ', sim_params=sim_params)
with self.assertRaises(TradingControlViolation) as ctx:
algo.run(self.source)
self.check_algo_exception(algo, ctx, 0)
finally:
remove_security_data_directory()
