def testCSBottomNSecurityValueHolder(self):
benchmark = SecurityLatestValueHolder(x='close')
n = 2
topnHolder = CSBottomNSecurityValueHolder(benchmark, n)
for i in range(len(self.datas['aapl']['close'])):
data = {
'aapl': {
Factors.CLOSE: self.datas['aapl'][Factors.CLOSE][i],
Factors.OPEN: self.datas['aapl'][Factors.OPEN][i]
},
'ibm': {
Factors.CLOSE: self.datas['ibm'][Factors.CLOSE][i],
Factors.OPEN: self.datas['ibm'][Factors.OPEN][i]
},
'goog': {
Factors.CLOSE: self.datas['goog'][Factors.CLOSE][i],
Factors.OPEN: self.datas['goog'][Factors.OPEN][i]
},
'baba': {
Factors.CLOSE: self.datas['baba'][Factors.CLOSE][i],
Factors.OPEN: self.datas['baba'][Factors.OPEN][i]
}
}
benchmark.push(data)
topnHolder.push(data)
benchmarkValues = benchmark.value
np.testing.assert_array_almost_equal(
benchmarkValues.rank().values <= n, topnHolder.value.values)
def CSBottomN(x, n, groups=None):
return CSBottomNSecurityValueHolder(x, n, groups)