def test_algo_without_rl_violation_after_delete(self):
sim_params = factory.create_simulation_parameters(
start=self.extra_knowledge_date,
num_days=4,
)
equities = pd.DataFrame.from_records([{
'symbol':
'BZQ',
'start_date':
sim_params.period_start,
'end_date':
sim_params.period_end,
}])
with TempDirectory() as new_tempdir, \
security_list_copy(), \
tmp_trading_env(equities=equities) as env:
# add a delete statement removing bzq
# write a new delete statement file to disk
add_security_data([], ['BZQ'])
data_portal = create_data_portal(
env.asset_finder,
new_tempdir,
sim_params,
range(0, 5),
trading_schedule=self.trading_schedule,
)
algo = RestrictedAlgoWithoutCheck(symbol='BZQ',
sim_params=sim_params,
env=env)
algo.run(data_portal)
def test_security_add_delete(self):
with security_list_copy():
def get_datetime():
return pd.Timestamp("2015-01-27", tz='UTC')
rl = SecurityListSet(get_datetime, self.env.asset_finder)
self.assertNotIn("BZQ", rl.leveraged_etf_list)
self.assertNotIn("URTY", rl.leveraged_etf_list)
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)
with security_list_copy():
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,
env=self.env,
)
self.source = SpecificEquityTrades(event_list=trade_history,
env=self.env)
algo = RestrictedAlgoWithoutCheck(
symbol='BZQ', sim_params=sim_params, env=self.env)
with self.assertRaises(TradingControlViolation) as ctx:
algo.run(self.source)
self.check_algo_exception(algo, ctx, 0)
def test_algo_without_rl_violation_after_delete(self):
sim_params = factory.create_simulation_parameters(
start=self.extra_knowledge_date,
num_days=4,
)
equities = pd.DataFrame.from_records([{
'symbol': 'BZQ',
'start_date': sim_params.start_session,
'end_date': sim_params.end_session,
'exchange': "TEST",
}])
with TempDirectory() as new_tempdir, \
security_list_copy(), \
tmp_trading_env(equities=equities) as env:
# add a delete statement removing bzq
# write a new delete statement file to disk
add_security_data([], ['BZQ'])
data_portal = create_data_portal(
env.asset_finder,
new_tempdir,
sim_params,
range(0, 5),
trading_calendar=self.trading_calendar,
)
algo = RestrictedAlgoWithoutCheck(
symbol='BZQ', sim_params=sim_params, env=env
)
algo.run(data_portal)
def test_security_add_delete(self):
with security_list_copy():
def get_datetime():
return pd.Timestamp("2015-01-27", tz='UTC')
rl = SecurityListSet(get_datetime, self.env.asset_finder)
self.assertNotIn("BZQ", rl.leveraged_etf_list)
self.assertNotIn("URTY", rl.leveraged_etf_list)
def test_security_add_delete(self):
with security_list_copy():
def get_datetime():
return datetime(2015, 1, 27, tzinfo=pytz.utc)
rl = SecurityListSet(get_datetime, self.env.asset_finder)
self.assertNotIn("BZQ", rl.leveraged_etf_list)
self.assertNotIn("URTY", rl.leveraged_etf_list)
def test_algo_with_rl_violation_after_add(self):
with security_list_copy():
add_security_data(['AAPL'], [])
algo = RestrictedAlgoWithoutCheck(symbol='AAPL',
sim_params=self.sim_params2,
env=self.env2)
with self.assertRaises(TradingControlViolation) as ctx:
algo.run(self.data_portal2)
self.check_algo_exception(algo, ctx, 2)
def test_algo_with_rl_violation_after_add(self):
with security_list_copy():
add_security_data(['AAPL'], [])
algo = RestrictedAlgoWithoutCheck(symbol='AAPL',
sim_params=self.sim_params2,
env=self.env2)
with self.assertRaises(TradingControlViolation) as ctx:
algo.run(self.data_portal2)
self.check_algo_exception(algo, ctx, 2)
def test_security_add(self):
def get_datetime():
return pd.Timestamp("2015-01-27", tz='UTC')
with security_list_copy():
add_security_data(['AAPL', 'GOOG'], [])
rl = SecurityListSet(get_datetime, self.env.asset_finder)
should_exist = [
asset.sid for asset in
[self.env.asset_finder.lookup_symbol(
symbol,
as_of_date=self.extra_knowledge_date
) for symbol in ["AAPL", "GOOG", "BZQ", "URTY"]]
]
for sid in should_exist:
self.assertIn(sid, rl.leveraged_etf_list)
def test_security_add(self):
def get_datetime():
return pd.Timestamp("2015-01-27", tz='UTC')
with security_list_copy():
add_security_data(['AAPL', 'GOOG'], [])
rl = SecurityListSet(get_datetime, self.env.asset_finder)
should_exist = [
asset.sid for asset in
[self.env.asset_finder.lookup_symbol(
symbol,
as_of_date=self.extra_knowledge_date
) for symbol in ["AAPL", "GOOG", "BZQ", "URTY"]]
]
for sid in should_exist:
self.assertIn(sid, rl.leveraged_etf_list)
def test_algo_with_rl_violation_after_add(self):
sim_params = factory.create_simulation_parameters(
start=self.trading_day_before_first_kd,
num_days=4,
)
with security_list_copy():
add_security_data(['AAPL'], [])
algo = self.make_algo(
algo_class=RestrictedAlgoWithoutCheck,
symbol='AAPL',
sim_params=sim_params,
)
with self.assertRaises(TradingControlViolation) as ctx:
algo.run()
self.check_algo_exception(algo, ctx, 2)
def test_algo_without_rl_violation_after_delete(self):
sim_params = factory.create_simulation_parameters(
start=self.extra_knowledge_date,
num_days=4,
)
with security_list_copy():
# add a delete statement removing bzq
# write a new delete statement file to disk
add_security_data([], ['BZQ'])
algo = self.make_algo(
algo_class=RestrictedAlgoWithoutCheck,
symbol='BZQ',
sim_params=sim_params,
)
algo.run()
def test_algo_with_rl_violation_after_add(self):
sim_params = factory.create_simulation_parameters(
start=self.trading_day_before_first_kd,
num_days=4,
)
with security_list_copy():
add_security_data(['AAPL'], [])
algo = self.make_algo(
algo_class=RestrictedAlgoWithoutCheck,
symbol='AAPL',
sim_params=sim_params,
)
with self.assertRaises(TradingControlViolation) as ctx:
algo.run()
self.check_algo_exception(algo, ctx, 2)
def test_algo_without_rl_violation_after_delete(self):
sim_params = factory.create_simulation_parameters(
start=self.extra_knowledge_date,
num_days=4,
)
with security_list_copy():
# add a delete statement removing bzq
# write a new delete statement file to disk
add_security_data([], ['BZQ'])
algo = self.make_algo(
algo_class=RestrictedAlgoWithoutCheck,
symbol='BZQ',
sim_params=sim_params,
)
algo.run()
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)
with security_list_copy():
add_security_data(['AAPL'], [])
algo = RestrictedAlgoWithoutCheck(
symbol='BZQ', sim_params=sim_params, env=self.env)
with self.assertRaises(TradingControlViolation) as ctx:
algo.run(self.data_portal)
self.check_algo_exception(algo, ctx, 0)
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=self.start + timedelta(days=7),
num_days=4
)
with security_list_copy():
add_security_data(['AAPL'], [])
algo = RestrictedAlgoWithoutCheck(
symbol='BZQ', sim_params=sim_params, env=self.env)
with self.assertRaises(TradingControlViolation) as ctx:
algo.run(self.data_portal)
self.check_algo_exception(algo, ctx, 0)
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=self.START_DATE + timedelta(days=7), num_days=4
)
with security_list_copy():
add_security_data(["AAPL"], [])
algo = self.make_algo(
algo_class=RestrictedAlgoWithoutCheck,
symbol="BZQ",
sim_params=sim_params,
)
with self.assertRaises(TradingControlViolation) as ctx:
algo.run()
self.check_algo_exception(algo, ctx, 0)
def test_algo_with_rl_violation_after_add(self):
with security_list_copy():
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,
env=self.env
)
self.source = SpecificEquityTrades(event_list=trade_history,
env=self.env)
algo = RestrictedAlgoWithoutCheck(
symbol='AAPL', sim_params=sim_params, env=self.env)
with self.assertRaises(TradingControlViolation) as ctx:
algo.run(self.source)
self.check_algo_exception(algo, ctx, 2)
def test_algo_without_rl_violation_after_delete(self):
with security_list_copy():
# 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,
env=self.env,
)
self.source = SpecificEquityTrades(event_list=trade_history,
env=self.env)
algo = RestrictedAlgoWithoutCheck(
symbol='BZQ', sim_params=sim_params, env=self.env
)
algo.run(self.source)
def test_algo_without_rl_violation_after_delete(self):
new_tempdir = TempDirectory()
try:
with security_list_copy():
# add a delete statement removing bzq
# write a new delete statement file to disk
add_security_data([], ['BZQ'])
# now fast-forward to self.extra_knowledge_date. requires
# a new env, simparams, and dataportal
env = TradingEnvironment()
sim_params = factory.create_simulation_parameters(
start=self.extra_knowledge_date, num_days=4, env=env)
env.write_data(equities_data={
"0": {
'symbol': 'BZQ',
'start_date': sim_params.period_start,
'end_date': sim_params.period_end,
}
})
data_portal = create_data_portal(
env,
new_tempdir,
sim_params,
range(0, 5)
)
algo = RestrictedAlgoWithoutCheck(
symbol='BZQ', sim_params=sim_params, env=env
)
algo.run(data_portal)
finally:
new_tempdir.cleanup()
