class TestQuandlTable(unittest.TestCase):
START_DATE = str_to_date('2014-01-01')
END_DATE = str_to_date('2015-02-02')
SINGLE_FIELD = 'adj_close'
MANY_FIELDS = ['adj_low', 'adj_volume', 'adj_close']
db_name = 'WIKI/PRICES'
type = QuandlDBType.Table
INVALID_TICKER = QuandlTicker('INV1', db_name, type)
SINGLE_TICKER = QuandlTicker('IBM', db_name, type)
MANY_TICKERS = [
QuandlTicker('IBM', db_name, type),
QuandlTicker('MSFT', db_name, type),
QuandlTicker('AAPL', db_name, type)
]
NUM_OF_DATES = 273
SINGLE_PRICE_FIELD = PriceField.Close
MANY_PRICE_FIELDS = [PriceField.Close, PriceField.Open, PriceField.High]
def setUp(self):
self.quandl_provider = QuandlDataProvider(settings)
# =========================== Test invalid ticker ==========================================================
def test_price_single_invalid_ticker_single_field(self):
# single ticker, single field; end_date by default now, frequency by default DAILY, currency by default None
data = self.quandl_provider.get_price(tickers=self.INVALID_TICKER,
fields=self.SINGLE_PRICE_FIELD,
start_date=self.START_DATE,
end_date=self.END_DATE,
frequency=Frequency.DAILY)
self.assertIsInstance(data, PricesSeries)
self.assertEqual(len(data), 0)
self.assertEqual(data.name, self.INVALID_TICKER.as_string())
def test_price_single_invalid_ticker_many_fields(self):
# single ticker, single field; end_date by default now, frequency by default DAILY, currency by default None
data = self.quandl_provider.get_price(tickers=self.INVALID_TICKER,
fields=self.MANY_PRICE_FIELDS,
start_date=self.START_DATE,
end_date=self.END_DATE,
frequency=Frequency.DAILY)
self.assertIsInstance(data, PricesDataFrame)
self.assertEqual(data.shape, (0, len(self.MANY_PRICE_FIELDS)))
self.assertEqual(list(data.columns), self.MANY_PRICE_FIELDS)
# =========================== Test get_price method ==========================================================
def test_price_single_ticker_single_field(self):
# single ticker, single field; end_date by default now, frequency by default DAILY, currency by default None
data = self.quandl_provider.get_price(tickers=self.SINGLE_TICKER,
fields=self.SINGLE_PRICE_FIELD,
start_date=self.START_DATE,
end_date=self.END_DATE,
frequency=Frequency.DAILY)
self.assertIsInstance(data, PricesSeries)
self.assertEqual(len(data), self.NUM_OF_DATES)
self.assertEqual(data.name, self.SINGLE_TICKER.as_string())
def test_price_single_ticker_multiple_fields(self):
# single ticker, many fields; can be the same as for single field???
data = self.quandl_provider.get_price(tickers=self.SINGLE_TICKER,
fields=self.MANY_PRICE_FIELDS,
start_date=self.START_DATE,
end_date=self.END_DATE,
frequency=Frequency.DAILY)
self.assertEqual(type(data), PricesDataFrame)
self.assertEqual(data.shape,
(self.NUM_OF_DATES, len(self.MANY_PRICE_FIELDS)))
self.assertEqual(list(data.columns), self.MANY_PRICE_FIELDS)
def test_price_single_ticker_all_available_fields(self):
# single ticker, many fields; can be the same as for single field???
data = self.quandl_provider.get_history(tickers=self.SINGLE_TICKER,
fields=None,
start_date=self.START_DATE,
end_date=self.END_DATE)
self.assertEqual(type(data), QFDataFrame)
self.assertEqual(data.shape[0], self.NUM_OF_DATES)
# assumption: when we request all available fields, there should be at least 4 of them: Open, High, Low, Close.
# can be more (e.g. Volume)
self.assertTrue(len(data.columns) >= 4)
def test_price_multiple_tickers_single_field(self):
data = self.quandl_provider.get_price(tickers=self.MANY_TICKERS,
fields=self.SINGLE_PRICE_FIELD,
start_date=self.START_DATE,
end_date=self.END_DATE,
frequency=Frequency.DAILY)
self.assertEqual(type(data), PricesDataFrame)
self.assertEqual(data.shape,
(self.NUM_OF_DATES, len(self.MANY_TICKERS)))
self.assertEqual(list(data.columns), self.MANY_TICKERS)
def test_price_multiple_tickers_multiple_fields(self):
# testing for single date (start_date and end_date are the same)
data = self.quandl_provider.get_price(tickers=self.MANY_TICKERS,
fields=self.MANY_PRICE_FIELDS,
start_date=self.START_DATE,
end_date=self.END_DATE,
frequency=Frequency.DAILY)
self.assertEqual(type(data), QFDataArray)
self.assertEqual(data.shape, (self.NUM_OF_DATES, len(
self.MANY_TICKERS), len(self.MANY_PRICE_FIELDS)))
self.assertIsInstance(data.dates.to_index(), pd.DatetimeIndex)
self.assertEqual(list(data.tickers), self.MANY_TICKERS)
self.assertEqual(list(data.fields), self.MANY_PRICE_FIELDS)
# =========================== Test get_history method ==========================================================
def test_historical_single_ticker_single_field(self):
# single ticker, single field; end_date by default now, frequency by default DAILY, currency by default None
data = self.quandl_provider.get_history(tickers=self.SINGLE_TICKER,
fields=self.SINGLE_FIELD,
start_date=self.START_DATE,
end_date=self.END_DATE)
self.assertIsInstance(data, QFSeries)
self.assertEqual(len(data), self.NUM_OF_DATES)
self.assertEqual(data.name, self.SINGLE_TICKER.as_string())
def test_historical_single_ticker_multiple_fields(self):
# single ticker, many fields; can be the same as for single field???
data = self.quandl_provider.get_history(tickers=self.SINGLE_TICKER,
fields=self.MANY_FIELDS,
start_date=self.START_DATE,
end_date=self.END_DATE)
self.assertEqual(type(data), QFDataFrame)
self.assertEqual(data.shape,
(self.NUM_OF_DATES, len(self.MANY_FIELDS)))
self.assertEqual(list(data.columns), self.MANY_FIELDS)
def test_historical_multiple_tickers_single_field(self):
data = self.quandl_provider.get_history(tickers=self.MANY_TICKERS,
fields=self.SINGLE_FIELD,
start_date=self.START_DATE,
end_date=self.END_DATE)
self.assertEqual(type(data), QFDataFrame)
self.assertEqual(data.shape,
(self.NUM_OF_DATES, len(self.MANY_TICKERS)))
self.assertEqual(list(data.columns), self.MANY_TICKERS)
def test_historical_multiple_tickers_multiple_fields_one_date(self):
# testing for single date (start_date and end_date are the same)
data = self.quandl_provider.get_history(tickers=self.MANY_TICKERS,
fields=self.MANY_FIELDS,
start_date=self.END_DATE,
end_date=self.END_DATE)
self.assertEqual(type(data), QFDataFrame)
self.assertEqual(data.shape,
(len(self.MANY_TICKERS), len(self.MANY_FIELDS)))
self.assertEqual(list(data.index), self.MANY_TICKERS)
self.assertEqual(list(data.columns), self.MANY_FIELDS)
def test_historical_multiple_tickers_multiple_fields_many_dates(self):
# testing for single date (start_date and end_date are the same)
data = self.quandl_provider.get_history(tickers=self.MANY_TICKERS,
fields=self.MANY_FIELDS,
start_date=self.START_DATE,
end_date=self.END_DATE)
self.assertEqual(type(data), QFDataArray)
self.assertEqual(
data.shape,
(self.NUM_OF_DATES, len(self.MANY_TICKERS), len(self.MANY_FIELDS)))
self.assertIsInstance(data.dates.to_index(), pd.DatetimeIndex)
self.assertEqual(list(data.tickers), self.MANY_TICKERS)
self.assertEqual(list(data.fields), self.MANY_FIELDS)
def test_historical_single_ticker_all_fields_all_dates(self):
# single ticker, many fields; can be the same as for single field???
data = self.quandl_provider.get_history(tickers=self.SINGLE_TICKER)
self.assertEqual(type(data), QFDataFrame)
self.assertTrue(data.shape[0] > self.NUM_OF_DATES)
self.assertTrue(data.shape[1] > len(self.MANY_FIELDS))
def setUp(self):
self.quandl_provider = QuandlDataProvider(settings)
class TestQuandlTimeseries(unittest.TestCase):
START_DATE = str_to_date('2014-01-01')
END_DATE = str_to_date('2015-02-02')
SINGLE_TICKER = QuandlTicker('PKOBP', 'WSE')
SINGLE_FIELD = 'Close'
MANY_FIELDS = ['Close', 'High', 'Low']
WSE_NUM_OF_DATES = 270
WSE_OUTPUT_FIELDS = [
'Open', 'High', 'Low', 'Close', '%Change', 'Volume', '# of Trades',
'Turnover (1000)'
]
INVALID_TICKER = QuandlTicker('Inv1', 'WIKI')
INVALID_TICKERS = [
QuandlTicker('Inv1', 'WSE'),
QuandlTicker('PKOBP', 'WSE'),
QuandlTicker('MSFT', 'WSE')
]
MANY_TICKERS = [
QuandlTicker('MSFT', 'WIKI'),
QuandlTicker('AAPL', 'WIKI'),
QuandlTicker('EA', 'WIKI'),
QuandlTicker('IBM', 'WIKI')
]
MIXED_DB_TICKERS = MANY_TICKERS + [
QuandlTicker('IBM', 'WIKI/PRICES', QuandlDBType.Table),
QuandlTicker('PKOBP', 'WSE')
]
WIKI_NUM_OF_DATES = 273
WIKI_OUTPUT_FIELDS = [
'Open', 'High', 'Low', 'Close', 'Volume', 'Ex-Dividend', 'Split Ratio',
'Adj. Open', 'Adj. High', 'Adj. Low', 'Adj. Close', 'Adj. Volume'
]
MANY_TICKERS_STR = [t.as_string() for t in MANY_TICKERS]
SINGLE_PRICE_FIELD = PriceField.Close
MANY_PRICE_FIELDS = [PriceField.Close, PriceField.Open, PriceField.High]
def setUp(self):
self.quandl_provider = QuandlDataProvider(settings)
# =========================== Test invalid ticker ==========================================================
def test_price_single_invalid_ticker_single_field(self):
# single ticker, single field; end_date by default now, frequency by default DAILY, currency by default None
data = self.quandl_provider.get_price(tickers=self.INVALID_TICKER,
fields=self.SINGLE_PRICE_FIELD,
start_date=self.START_DATE,
end_date=self.END_DATE)
self.assertIsInstance(data, PricesSeries)
self.assertEqual(len(data), 0)
self.assertEqual(data.name, self.INVALID_TICKER.as_string())
def test_historical_single_invalid_ticker_no_field(self):
# single ticker, single field; end_date by default now, frequency by default DAILY, currency by default None
data = self.quandl_provider.get_history(tickers=self.INVALID_TICKER,
start_date=self.START_DATE,
end_date=self.END_DATE)
self.assertIsInstance(data, QFDataFrame)
self.assertEqual(len(data), 0)
def test_price_single_invalid_ticker_many_fields(self):
# single ticker, single field; end_date by default now, frequency by default DAILY, currency by default None
data = self.quandl_provider.get_price(tickers=self.INVALID_TICKER,
fields=self.MANY_PRICE_FIELDS,
start_date=self.START_DATE,
end_date=self.END_DATE)
self.assertIsInstance(data, PricesDataFrame)
self.assertEqual(data.shape, (0, len(self.MANY_PRICE_FIELDS)))
self.assertEqual(list(data.columns), self.MANY_PRICE_FIELDS)
def test_price_single_invalid_ticker_all_fields(self):
# single ticker, single field; end_date by default now, frequency by default DAILY, currency by default None
data = self.quandl_provider.get_history(tickers=self.INVALID_TICKER,
start_date=self.START_DATE,
end_date=self.END_DATE)
self.assertIsInstance(data, QFDataFrame)
self.assertEqual(data.shape, (0, 1))
def test_price_many_invalid_tickers_many_fields(self):
# single ticker, single field; end_date by default now, frequency by default DAILY, currency by default None
data = self.quandl_provider.get_price(tickers=self.INVALID_TICKERS,
fields=self.MANY_PRICE_FIELDS,
start_date=self.START_DATE,
end_date=self.END_DATE)
self.assertEqual(type(data), QFDataArray)
self.assertEqual(data.shape,
(self.WSE_NUM_OF_DATES, len(self.INVALID_TICKERS),
len(self.MANY_PRICE_FIELDS)))
self.assertIsInstance(data.dates.to_index(), pd.DatetimeIndex)
self.assertEqual(list(data.tickers), self.INVALID_TICKERS)
self.assertEqual(list(data.fields), self.MANY_PRICE_FIELDS)
# =========================== Test get_price method ==========================================================
def test_price_single_ticker_single_field(self):
data = self.quandl_provider.get_price(tickers=self.SINGLE_TICKER,
fields=self.SINGLE_PRICE_FIELD,
start_date=self.START_DATE,
end_date=self.END_DATE)
self.assertEqual(type(data), PricesSeries)
self.assertEqual(len(data), self.WSE_NUM_OF_DATES)
self.assertEqual(data.name, self.SINGLE_TICKER.as_string())
def test_price_single_ticker_multiple_fields(self):
data = self.quandl_provider.get_price(tickers=self.SINGLE_TICKER,
fields=self.MANY_PRICE_FIELDS,
start_date=self.START_DATE,
end_date=self.END_DATE)
self.assertEqual(type(data), PricesDataFrame)
self.assertEqual(data.shape,
(self.WSE_NUM_OF_DATES, len(self.MANY_PRICE_FIELDS)))
self.assertEqual(list(data.columns), self.MANY_PRICE_FIELDS)
def test_price_multiple_tickers_single_field(self):
data = self.quandl_provider.get_price(tickers=self.MANY_TICKERS,
fields=self.SINGLE_PRICE_FIELD,
start_date=self.START_DATE,
end_date=self.END_DATE)
self.assertEqual(PricesDataFrame, type(data))
self.assertEqual((self.WIKI_NUM_OF_DATES, len(self.MANY_TICKERS)),
data.shape)
self.assertEqual(self.MANY_TICKERS, list(data.columns))
def test_price_multiple_tickers_multiple_fields(self):
# testing for single date (start_date and end_date are the same)
data = self.quandl_provider.get_price(tickers=self.MANY_TICKERS,
fields=self.MANY_PRICE_FIELDS,
start_date=self.START_DATE,
end_date=self.END_DATE)
self.assertEqual(type(data), QFDataArray)
self.assertEqual(data.shape,
(self.WIKI_NUM_OF_DATES, len(
self.MANY_TICKERS), len(self.MANY_PRICE_FIELDS)))
self.assertIsInstance(data.dates.to_index(), pd.DatetimeIndex)
self.assertEqual(list(data.tickers), self.MANY_TICKERS)
self.assertEqual(list(data.fields), self.MANY_PRICE_FIELDS)
def test_price_mixed_databases(self):
data = self.quandl_provider.get_price(tickers=self.MIXED_DB_TICKERS,
fields=self.MANY_PRICE_FIELDS,
start_date=self.START_DATE,
end_date=self.END_DATE)
self.assertEqual(type(data), QFDataArray)
exected_number_of_dates = 280
self.assertEqual(data.shape,
(exected_number_of_dates, len(self.MIXED_DB_TICKERS),
len(self.MANY_PRICE_FIELDS)))
self.assertIsInstance(data.dates.to_index(), pd.DatetimeIndex)
self.assertEqual(list(data.tickers), self.MIXED_DB_TICKERS)
self.assertEqual(list(data.fields), self.MANY_PRICE_FIELDS)
# =========================== Test get_history method ==========================================================
# ======================== Test Single Ticker
def test_historical_single_ticker_no_field(self):
# get all fields
data = self.quandl_provider.get_history(tickers=self.SINGLE_TICKER,
start_date=self.START_DATE,
end_date=self.END_DATE)
self.assertIsInstance(data, QFDataFrame)
self.assertEqual(data.shape,
(self.WSE_NUM_OF_DATES, len(self.WSE_OUTPUT_FIELDS)))
self.assertEqual(set(data.columns), set(self.WSE_OUTPUT_FIELDS))
def test_historical_single_ticker_single_field(self):
# single ticker, single field; end_date by default now, frequency by default DAILY, currency by default None
data = self.quandl_provider.get_history(tickers=self.SINGLE_TICKER,
fields=self.SINGLE_FIELD,
start_date=self.START_DATE,
end_date=self.END_DATE)
self.assertIsInstance(data, QFSeries)
self.assertEqual(len(data), self.WSE_NUM_OF_DATES)
self.assertEqual(data.name, self.SINGLE_TICKER.as_string())
def test_historical_single_ticker_multiple_fields(self):
data = self.quandl_provider.get_history(tickers=self.SINGLE_TICKER,
fields=self.MANY_FIELDS,
start_date=self.START_DATE,
end_date=self.END_DATE)
self.assertEqual(type(data), QFDataFrame)
self.assertEqual(data.shape,
(self.WSE_NUM_OF_DATES, len(self.MANY_FIELDS)))
self.assertEqual(list(data.columns), self.MANY_FIELDS)
def test_historical_single_ticker_no_end_date(self):
# get all fields
data = self.quandl_provider.get_history(tickers=self.SINGLE_TICKER,
start_date=self.START_DATE)
self.assertIsInstance(data, QFDataFrame)
self.assertTrue(data.shape[0] > self.WSE_NUM_OF_DATES)
self.assertEqual(data.shape[1], len(self.WSE_OUTPUT_FIELDS))
self.assertEqual(set(data.columns), set(self.WSE_OUTPUT_FIELDS))
def test_historical_single_ticker_no_dates(self):
# get all fields
data = self.quandl_provider.get_history(tickers=self.SINGLE_TICKER)
self.assertIsInstance(data, QFDataFrame)
self.assertTrue(data.shape[0] > self.WSE_NUM_OF_DATES)
self.assertEqual(data.shape[1], len(self.WSE_OUTPUT_FIELDS))
self.assertEqual(set(data.columns), set(self.WSE_OUTPUT_FIELDS))
# ======================== Test Multiple Tickers
def test_historical_multiple_tickers_no_field(self):
data = self.quandl_provider.get_history(tickers=self.MANY_TICKERS,
start_date=self.START_DATE,
end_date=self.END_DATE)
self.assertEqual(type(data), QFDataArray)
self.assertEqual(data.shape,
(self.WIKI_NUM_OF_DATES, len(
self.MANY_TICKERS), len(self.WIKI_OUTPUT_FIELDS)))
self.assertEqual(list(data.tickers), self.MANY_TICKERS)
self.assertEqual(set(data.fields.values), set(self.WIKI_OUTPUT_FIELDS))
def test_historical_multiple_tickers_single_field(self):
data = self.quandl_provider.get_history(tickers=self.MANY_TICKERS,
fields=self.SINGLE_FIELD,
start_date=self.START_DATE,
end_date=self.END_DATE)
self.assertEqual(type(data), QFDataFrame)
self.assertEqual(data.shape,
(self.WIKI_NUM_OF_DATES, len(self.MANY_TICKERS)))
self.assertEqual(list(data.columns), self.MANY_TICKERS)
def test_historical_multiple_tickers_multiple_fields(self):
data = self.quandl_provider.get_history(tickers=self.MANY_TICKERS,
fields=self.MANY_FIELDS,
start_date=self.START_DATE,
end_date=self.END_DATE)
self.assertEqual(type(data), QFDataArray)
self.assertEqual(data.shape,
(self.WIKI_NUM_OF_DATES, len(
self.MANY_TICKERS), len(self.MANY_FIELDS)))
self.assertEqual(list(data.tickers), self.MANY_TICKERS)
self.assertEqual(list(data.fields), self.MANY_FIELDS)