def init_instance_fixtures(self):
super(TestRisk, self).init_instance_fixtures()
self.start_session = pd.Timestamp("2006-01-01", tz='UTC')
self.end_session = self.trading_calendar.minute_to_session_label(
pd.Timestamp("2006-12-31", tz='UTC'),
direction="previous"
)
self.sim_params = SimulationParameters(
start_session=self.start_session,
end_session=self.end_session,
trading_calendar=self.trading_calendar,
)
self.algo_returns = factory.create_returns_from_list(
RETURNS,
self.sim_params
)
self.benchmark_returns = factory.create_returns_from_list(
BENCHMARK,
self.sim_params
)
self.metrics = risk.RiskReport(
self.algo_returns,
self.sim_params,
benchmark_returns=self.benchmark_returns,
trading_calendar=self.trading_calendar,
treasury_curves=self.env.treasury_curves,
)
def test_simulation_parameters(self):
sp = SimulationParameters(
start_session=pd.Timestamp("2008-01-01", tz='UTC'),
end_session=pd.Timestamp("2008-12-31", tz='UTC'),
capital_base=100000,
trading_calendar=self.trading_calendar,
)
self.assertTrue(sp.last_close.month == 12)
self.assertTrue(sp.last_close.day == 31)
def _test_index_mismatch_exception(self):
# An exception is raised when returns and benchmark returns
# have indexes that do not match
bench_params = SimulationParameters(
start_session=pd.Timestamp("2006-02-01", tz='UTC'),
end_session=pd.Timestamp("2006-02-28", tz='UTC'),
trading_calendar=self.trading_calendar,
)
benchmark = factory.create_returns_from_list([BENCHMARK_BASE] * 19,
bench_params)
with np.testing.assert_raises(Exception):
RiskMetricsPeriod(
start_session=self.start_session,
end_session=self.end_session,
returns=self.algo_returns,
benchmark_returns=benchmark,
trading_calendar=self.trading_calendar,
treasury_curves=self.env.treasury_curves,
)
def init_instance_fixtures(self):
super(TestRisk, self).init_instance_fixtures()
start_session = pd.Timestamp("2006-01-01", tz='UTC')
end_session = pd.Timestamp("2006-12-29", tz='UTC')
self.sim_params = SimulationParameters(
start_session=start_session,
end_session=end_session,
trading_calendar=self.trading_calendar,
)
self.algo_returns = factory.create_returns_from_list(
RETURNS, self.sim_params)
self.cumulative_metrics = risk.RiskMetricsCumulative(
self.sim_params,
treasury_curves=self.env.treasury_curves,
trading_calendar=self.trading_calendar,
)
for dt, returns in self.algo_returns.iteritems():
self.cumulative_metrics.update(dt, returns, BENCHMARK_BASE, 0.0)
def _test_benchmarkrange(self):
start_session = self.trading_calendar.minute_to_session_label(
pd.Timestamp("2008-01-01", tz='UTC'))
end_session = self.trading_calendar.minute_to_session_label(
pd.Timestamp("2010-01-01", tz='UTC'), direction="previous")
sim_params = SimulationParameters(
start_session=start_session,
end_session=end_session,
trading_calendar=self.trading_calendar,
)
returns = factory.create_returns_from_range(sim_params)
metrics = risk.RiskReport(returns,
self.sim_params,
trading_calendar=self.trading_calendar,
treasury_curves=self.env.treasury_curves,
benchmark_returns=self.env.benchmark_returns)
self.check_metrics(metrics, 24, start_session)
def test_partial_month(self):
start_session = self.trading_calendar.minute_to_session_label(
pd.Timestamp("1993-02-01", tz='UTC')
)
# 1992 and 1996 were leap years
total_days = 365 * 5 + 2
end_session = start_session + datetime.timedelta(days=total_days)
sim_params90s = SimulationParameters(
start_session=start_session,
end_session=end_session,
trading_calendar=self.trading_calendar,
)
returns = factory.create_returns_from_range(sim_params90s)
returns = returns[:-10] # truncate the returns series to end mid-month
metrics = risk.RiskReport(returns, sim_params90s,
trading_calendar=self.trading_calendar,
treasury_curves=self.env.treasury_curves,
benchmark_returns=self.env.benchmark_returns)
total_months = 60
self.check_metrics(metrics, total_months, start_session)
def test_sim_params_days_in_period(self):
# January 2008
# Su Mo Tu We Th Fr Sa
# 1 2 3 4 5
# 6 7 8 9 10 11 12
# 13 14 15 16 17 18 19
# 20 21 22 23 24 25 26
# 27 28 29 30 31
params = SimulationParameters(
start_session=pd.Timestamp("2007-12-31", tz='UTC'),
end_session=pd.Timestamp("2008-01-07", tz='UTC'),
capital_base=100000,
trading_calendar=self.trading_calendar,
)
expected_trading_days = (
datetime(2007, 12, 31, tzinfo=pytz.utc),
# Skip new years
# holidays taken from: http://www.nyse.com/press/1191407641943.html
datetime(2008, 1, 2, tzinfo=pytz.utc),
datetime(2008, 1, 3, tzinfo=pytz.utc),
datetime(2008, 1, 4, tzinfo=pytz.utc),
# Skip Saturday
# Skip Sunday
datetime(2008, 1, 7, tzinfo=pytz.utc)
)
num_expected_trading_days = 5
self.assertEquals(
num_expected_trading_days,
len(params.sessions)
)
np.testing.assert_array_equal(expected_trading_days,
params.sessions.tolist())
def create_simulation_parameters(year=2016,
start=None,
end=None,
capital_base=float("1.0e5"),
num_days=None,
data_frequency='daily',
emission_rate='daily',
trading_calendar=None):
if not trading_calendar:
trading_calendar = get_calendar("OPEN")
if start is None:
start = pd.Timestamp("{0}-01-01".format(year), tz='UTC')
elif type(start) == datetime:
start = pd.Timestamp(start)
if end is None:
if num_days:
start_index = trading_calendar.all_sessions.searchsorted(start)
end = trading_calendar.all_sessions[start_index + num_days - 1]
else:
end = pd.Timestamp("{0}-12-31".format(year), tz='UTC')
elif type(end) == datetime:
end = pd.Timestamp(end)
sim_params = SimulationParameters(
start_session=start,
end_session=end,
capital_base=capital_base,
data_frequency=data_frequency,
emission_rate=emission_rate,
trading_calendar=trading_calendar,
)
return sim_params
def _test_simple_transforms(self):
with warnings.catch_warnings(record=True) as w:
warnings.simplefilter("ignore", PerformanceWarning)
warnings.simplefilter("default", ZiplineDeprecationWarning)
sim_params = SimulationParameters(
start_session=self.sim_params.sessions[8],
end_session=self.sim_params.sessions[-1],
data_frequency="minute",
trading_calendar=self.trading_calendar,
)
algo = self.create_algo(simple_transforms_algo,
sim_params=sim_params)
algo.run(self.data_portal)
self.assertEqual(8, len(w))
transforms = ["mavg", "vwap", "stddev", "returns"]
for idx, line_no in enumerate(range(8, 12)):
warning1 = w[idx * 2]
warning2 = w[(idx * 2) + 1]
self.assertEqual("<string>", warning1.filename)
self.assertEqual("<string>", warning2.filename)
self.assertEqual(line_no, warning1.lineno)
self.assertEqual(line_no, warning2.lineno)
self.assertEqual(
"`data[sid(N)]` is deprecated. Use "
"`data.current`.", str(warning1.message))
self.assertEqual(
"The `{0}` method is "
"deprecated.".format(transforms[idx]),
str(warning2.message))
# now verify the transform values
# minute price
# 2016-01-11 14:31:00+00:00 1561
# ...
# 2016-01-14 20:59:00+00:00 3119
# 2016-01-14 21:00:00+00:00 3120
# 2016-01-15 14:31:00+00:00 3121
# 2016-01-15 14:32:00+00:00 3122
# 2016-01-15 14:33:00+00:00 3123
# volume
# 2016-01-11 14:31:00+00:00 156100
# ...
# 2016-01-14 20:59:00+00:00 311900
# 2016-01-14 21:00:00+00:00 312000
# 2016-01-15 14:31:00+00:00 312100
# 2016-01-15 14:32:00+00:00 312200
# 2016-01-15 14:33:00+00:00 312300
# daily price (last day built with minute data)
# 2016-01-14 00:00:00+00:00 9
# 2016-01-15 00:00:00+00:00 3123
# mavg = average of all the prices = (1561 + 3123) / 2 = 2342
# vwap = sum(price * volume) / sum(volumes)
# = 889119531400.0 / 366054600.0
# = 2428.9259891830343
# stddev = stddev(price, ddof=1) = 451.3435498597493
# returns = (todayprice - yesterdayprice) / yesterdayprice
# = (3123 - 9) / 9 = 346
self.assertEqual(2342, algo.mavg)
self.assertAlmostEqual(2428.92599, algo.vwap, places=5)
self.assertAlmostEqual(451.34355, algo.stddev, places=5)
self.assertAlmostEqual(346, algo.returns)
def _test_old_new_data_api_paths(self):
"""
Test that the new and old data APIs hit the same code paths.
We want to ensure that the old data API(data[sid(N)].field and
similar) and the new data API(data.current(sid(N), field) and
similar) hit the same code paths on the DataPortal.
"""
test_start_minute = self.trading_calendar.minutes_for_session(
self.sim_params.sessions[0])[1]
test_end_minute = self.trading_calendar.minutes_for_session(
self.sim_params.sessions[0])[-1]
bar_data = self.create_bardata(lambda: test_end_minute, )
ohlcvp_fields = [
"open",
"high",
"low"
"close",
"volume",
"price",
]
spot_value_meth = 'catalyst.data.data_portal.DataPortal.get_spot_value'
def assert_get_spot_value_called(fun, field):
"""
Assert that get_spot_value was called during the execution of fun.
Takes in a function fun and a string field.
"""
with patch(spot_value_meth) as gsv:
fun()
gsv.assert_called_with(self.asset1, field, test_end_minute,
'minute')
# Ensure that data.current(sid(n), field) has the same behaviour as
# data[sid(n)].field.
for field in ohlcvp_fields:
assert_get_spot_value_called(
lambda: getattr(bar_data[self.asset1], field),
field,
)
assert_get_spot_value_called(
lambda: bar_data.current(self.asset1, field),
field,
)
history_meth =\
'catalyst.data.data_portal.DataPortal.get_history_window'
def assert_get_history_window_called(fun, is_legacy):
"""
Assert that get_history_window was called during fun().
Takes in a function fun and a boolean is_legacy.
"""
with patch(history_meth) as ghw:
fun()
# Slightly hacky, but done to get around the fact that
# history( explicitly passes an ffill param as the last arg,
# while data.history doesn't.
if is_legacy:
ghw.assert_called_with(
[self.asset1, self.asset2, self.asset3],
test_end_minute, 5, "1m", "volume", "minute", True)
else:
ghw.assert_called_with(
[self.asset1, self.asset2, self.asset3],
test_end_minute,
5,
"1m",
"volume",
"minute",
)
test_sim_params = SimulationParameters(
start_session=test_start_minute,
end_session=test_end_minute,
data_frequency="minute",
trading_calendar=self.trading_calendar,
)
history_algorithm = self.create_algo(history_algo,
sim_params=test_sim_params)
assert_get_history_window_called(
lambda: history_algorithm.run(self.data_portal), is_legacy=True)
assert_get_history_window_called(lambda: bar_data.history(
[self.asset1, self.asset2, self.asset3], "volume", 5, "1m"),
is_legacy=False)
