class HybridDataFactoryTestCase(unittest.TestCase):
def setUp(self):
dna.test_utils.setup_logger(self)
self.test_index = pd.date_range(
'2012/01/01', '2012/01/7', tz=pytz.utc)
self.test_universe = 'forex,5'
self.market = Market()
self.market.parse_universe_description(self.test_universe)
self.test_sids = self.market.sids
def tearDown(self):
dna.test_utils.teardown_logger(self)
@nottest
def _check_datasource(self, source):
ok_((source.index == self.test_index).all())
eq_(source.start, self.test_index[0])
eq_(source.end, self.test_index[-1])
eq_(source.sids, self.test_sids)
self.assertIsNone(source._raw_data)
eq_(source.arg_string, source.instance_hash)
eq_(source.event_type, 4)
ok_(hasattr(source, 'log'))
self.assertFalse(source._is_live)
@raises(InvalidDatafeed)
def test_data_source_without_modules(self):
config = {
'sids': self.test_sids,
'index': self.test_index
}
datafeed.HybridDataFactory(**config)
@raises(InvalidDatafeed)
def test_data_source_invalid_index(self):
config = {
'sids': self.test_sids,
'index': bool
}
datafeed.HybridDataFactory(**config)
def test_minimal_data_source(self):
source = datafeed.HybridDataFactory(
universe=self.market,
index=self.test_index,
backtest=FakeBacktestDatasource)
self._check_datasource(source)
def test_hybrid_mapping(self):
source = datafeed.HybridDataFactory(
universe=self.market,
index=self.test_index,
backtest=FakeBacktestDatasource,
live=FakeLiveDatasource)
self.assertIn('backtest', source.mapping)
source._is_live = True
self.assertIn('live', source.mapping)
def setUp(self):
dna.test_utils.setup_logger(self)
self.test_index = pd.date_range(
'2012/01/01', '2012/01/7', tz=pytz.utc)
self.test_universe = 'forex,5'
self.market = Market()
self.market.parse_universe_description(self.test_universe)
self.test_sids = self.market.sids
def test_panel_without_volume_cac40_backtest_data_generation(self):
test_universe = 'stocks:paris:cac40,5'
market = Market()
market.parse_universe_description(test_universe)
source = datafeed.HybridDataFactory(
universe=market,
index=self.test_index,
backtest=FakePanelWithoutVolumeBacktestDatasource)
total_rows = 0
for row in source.raw_data:
if not total_rows:
self.assertListEqual(
sorted(row.keys()),
sorted(['dt', 'price', 'low', 'high', 'sid', 'volume']))
total_rows += 1
eq_(total_rows, len(self.test_index) * len(market.sids))
def test_dataframe_forex_backtest_data_generation(self):
test_universe = 'forex,5'
market = Market()
market.parse_universe_description(test_universe)
source = datafeed.HybridDataFactory(
universe=market,
index=self.test_index,
backtest=FakeBacktestDatasource)
total_rows = 0
for row in source.raw_data:
if not total_rows:
self.assertListEqual(
sorted(row.keys()),
sorted(['dt', 'price', 'sid', 'volume']))
total_rows += 1
eq_(total_rows, 2 * len(self.test_index) * len(market.sids))
def _setup_source(self):
market = Market()
market.parse_universe_description("forex,5")
return HybridDataFactory(universe=market, index=self.test_index, backtest=FakeBacktestDatasource)