def test_single_source(self): # Just using the built-in defaults. See # zipline.sources.py source = SpecificEquityTrades() expected = list(source) source.rewind() # The raw source doesn't handle done messaging, so we need to # append a done message for sort to work properly. with_done = chain(source, [done_message(source.get_hash())]) self.run_date_sort(with_done, expected, [source.get_hash()])
def test_single_source(self): # Just using the built-in defaults. See # zipline.sources.py source = SpecificEquityTrades() expected = list(source) source.rewind() # The raw source doesn't handle done messaging, so we need to # append a done message for sort to work properly. with_done = chain(source, [done_message(source.get_hash())]) self.run_date_sort(with_done, expected, [source.get_hash()])
class TestAccountControls(TestCase): def setUp(self): self.sim_params = factory.create_simulation_parameters(num_days=4) self.sid = 133 self.trade_history = factory.create_trade_history( self.sid, [10.0, 10.0, 11.0, 11.0], [100, 100, 100, 300], timedelta(days=1), self.sim_params ) self.source = SpecificEquityTrades(event_list=self.trade_history) def _check_algo(self, algo, handle_data, expected_exc): algo._handle_data = handle_data with self.assertRaises(expected_exc) if expected_exc else nullctx(): algo.run(self.source) self.source.rewind() def check_algo_succeeds(self, algo, handle_data): # Default for order_count assumes one order per handle_data call. self._check_algo(algo, handle_data, None) def check_algo_fails(self, algo, handle_data): self._check_algo(algo, handle_data, AccountControlViolation) def test_set_max_leverage(self): # Set max leverage to 0 so buying one share fails. def handle_data(algo, data): algo.order(self.sid, 1) algo = SetMaxLeverageAlgorithm(0) self.check_algo_fails(algo, handle_data) # Set max leverage to 1 so buying one share passes def handle_data(algo, data): algo.order(self.sid, 1) algo = SetMaxLeverageAlgorithm(1) self.check_algo_succeeds(algo, handle_data)
class TestAccountControls(TestCase): def setUp(self): self.sim_params = factory.create_simulation_parameters(num_days=4) self.sidint = 133 self.trade_history = factory.create_trade_history( self.sidint, [10.0, 10.0, 11.0, 11.0], [100, 100, 100, 300], timedelta(days=1), self.sim_params ) self.source = SpecificEquityTrades(event_list=self.trade_history) def _check_algo(self, algo, handle_data, expected_exc): algo._handle_data = handle_data with self.assertRaises(expected_exc) if expected_exc else nullctx(): algo.run(self.source) self.source.rewind() def check_algo_succeeds(self, algo, handle_data): # Default for order_count assumes one order per handle_data call. self._check_algo(algo, handle_data, None) def check_algo_fails(self, algo, handle_data): self._check_algo(algo, handle_data, AccountControlViolation) def test_set_max_leverage(self): # Set max leverage to 0 so buying one share fails. def handle_data(algo, data): algo.order(algo.sid(self.sidint), 1) algo = SetMaxLeverageAlgorithm(0) self.check_algo_fails(algo, handle_data) # Set max leverage to 1 so buying one share passes def handle_data(algo, data): algo.order(algo.sid(self.sidint), 1) algo = SetMaxLeverageAlgorithm(1) self.check_algo_succeeds(algo, handle_data)
def test_multi_source(self): filter = [2, 3] args_a = tuple() kwargs_a = { 'count': 100, 'sids': [1, 2, 3], 'start': datetime(2012, 1, 3, 15, tzinfo=pytz.utc), 'delta': timedelta(minutes=6), 'filter': filter } source_a = SpecificEquityTrades(*args_a, **kwargs_a) args_b = tuple() kwargs_b = { 'count': 100, 'sids': [2, 3, 4], 'start': datetime(2012, 1, 3, 15, tzinfo=pytz.utc), 'delta': timedelta(minutes=5), 'filter': filter } source_b = SpecificEquityTrades(*args_b, **kwargs_b) all_events = list(chain(source_a, source_b)) # The expected output is all events, sorted by dt with # source_id as a tiebreaker. expected = sorted(all_events, comp) source_ids = [source_a.get_hash(), source_b.get_hash()] # Generating the events list consumes the sources. Rewind them # for testing. source_a.rewind() source_b.rewind() # Append a done message to each source. with_done_a = chain(source_a, [done_message(source_a.get_hash())]) with_done_b = chain(source_b, [done_message(source_b.get_hash())]) interleaved = alternate(with_done_a, with_done_b) # Test sort with alternating messages from source_a and # source_b. self.run_date_sort(interleaved, expected, source_ids) source_a.rewind() source_b.rewind() with_done_a = chain(source_a, [done_message(source_a.get_hash())]) with_done_b = chain(source_b, [done_message(source_b.get_hash())]) sequential = chain(with_done_a, with_done_b) # Test sort with all messages from a, followed by all messages # from b. self.run_date_sort(sequential, expected, source_ids)
def test_multi_source(self): filter = [2, 3] args_a = tuple() kwargs_a = { 'count': 100, 'sids': [1, 2, 3], 'start': datetime(2012, 1, 3, 15, tzinfo=pytz.utc), 'delta': timedelta(minutes=6), 'filter': filter } source_a = SpecificEquityTrades(*args_a, **kwargs_a) args_b = tuple() kwargs_b = { 'count': 100, 'sids': [2, 3, 4], 'start': datetime(2012, 1, 3, 15, tzinfo=pytz.utc), 'delta': timedelta(minutes=5), 'filter': filter } source_b = SpecificEquityTrades(*args_b, **kwargs_b) all_events = list(chain(source_a, source_b)) # The expected output is all events, sorted by dt with # source_id as a tiebreaker. expected = sorted(all_events, comp) source_ids = [source_a.get_hash(), source_b.get_hash()] # Generating the events list consumes the sources. Rewind them # for testing. source_a.rewind() source_b.rewind() # Append a done message to each source. with_done_a = chain(source_a, [done_message(source_a.get_hash())]) with_done_b = chain(source_b, [done_message(source_b.get_hash())]) interleaved = alternate(with_done_a, with_done_b) # Test sort with alternating messages from source_a and # source_b. self.run_date_sort(interleaved, expected, source_ids) source_a.rewind() source_b.rewind() with_done_a = chain(source_a, [done_message(source_a.get_hash())]) with_done_b = chain(source_b, [done_message(source_b.get_hash())]) sequential = chain(with_done_a, with_done_b) # Test sort with all messages from a, followed by all messages # from b. self.run_date_sort(sequential, expected, source_ids)
class TestTradingControls(TestCase): def setUp(self): self.sim_params = factory.create_simulation_parameters(num_days=4) self.sid = 133 self.trade_history = factory.create_trade_history( self.sid, [10.0, 10.0, 11.0, 11.0], [100, 100, 100, 300], timedelta(days=1), self.sim_params ) self.source = SpecificEquityTrades(event_list=self.trade_history) def _check_algo(self, algo, handle_data, expected_order_count, expected_exc): algo._handle_data = handle_data with self.assertRaises(expected_exc) if expected_exc else nullctx(): algo.run(self.source) self.assertEqual(algo.order_count, expected_order_count) self.source.rewind() def check_algo_succeeds(self, algo, handle_data, order_count=4): # Default for order_count assumes one order per handle_data call. self._check_algo(algo, handle_data, order_count, None) def check_algo_fails(self, algo, handle_data, order_count): self._check_algo(algo, handle_data, order_count, TradingControlViolation) def test_set_max_position_size(self): # Buy one share four times. Should be fine. def handle_data(algo, data): algo.order(self.sid, 1) algo.order_count += 1 algo = SetMaxPositionSizeAlgorithm(sid=self.sid, max_shares=10, max_notional=500.0) self.check_algo_succeeds(algo, handle_data) # Buy three shares four times. Should bail on the fourth before it's # placed. def handle_data(algo, data): algo.order(self.sid, 3) algo.order_count += 1 algo = SetMaxPositionSizeAlgorithm(sid=self.sid, max_shares=10, max_notional=500.0) self.check_algo_fails(algo, handle_data, 3) # Buy two shares four times. Should bail due to max_notional on the # third attempt. def handle_data(algo, data): algo.order(self.sid, 3) algo.order_count += 1 algo = SetMaxPositionSizeAlgorithm(sid=self.sid, max_shares=10, max_notional=61.0) self.check_algo_fails(algo, handle_data, 2) # Set the trading control to a different sid, then BUY ALL THE THINGS!. # Should continue normally. def handle_data(algo, data): algo.order(self.sid, 10000) algo.order_count += 1 algo = SetMaxPositionSizeAlgorithm(sid=self.sid + 1, max_shares=10, max_notional=61.0) self.check_algo_succeeds(algo, handle_data) # Set the trading control sid to None, then BUY ALL THE THINGS!. Should # fail because setting sid to None makes the control apply to all sids. def handle_data(algo, data): algo.order(self.sid, 10000) algo.order_count += 1 algo = SetMaxPositionSizeAlgorithm(max_shares=10, max_notional=61.0) self.check_algo_fails(algo, handle_data, 0) def test_set_max_order_size(self): # Buy one share. def handle_data(algo, data): algo.order(self.sid, 1) algo.order_count += 1 algo = SetMaxOrderSizeAlgorithm(sid=self.sid, max_shares=10, max_notional=500.0) self.check_algo_succeeds(algo, handle_data) # Buy 1, then 2, then 3, then 4 shares. Bail on the last attempt # because we exceed shares. def handle_data(algo, data): algo.order(self.sid, algo.order_count + 1) algo.order_count += 1 algo = SetMaxOrderSizeAlgorithm(sid=self.sid, max_shares=3, max_notional=500.0) self.check_algo_fails(algo, handle_data, 3) # Buy 1, then 2, then 3, then 4 shares. Bail on the last attempt # because we exceed notional. def handle_data(algo, data): algo.order(self.sid, algo.order_count + 1) algo.order_count += 1 algo = SetMaxOrderSizeAlgorithm(sid=self.sid, max_shares=10, max_notional=40.0) self.check_algo_fails(algo, handle_data, 3) # Set the trading control to a different sid, then BUY ALL THE THINGS!. # Should continue normally. def handle_data(algo, data): algo.order(self.sid, 10000) algo.order_count += 1 algo = SetMaxOrderSizeAlgorithm(sid=self.sid + 1, max_shares=1, max_notional=1.0) self.check_algo_succeeds(algo, handle_data) # Set the trading control sid to None, then BUY ALL THE THINGS!. # Should fail because not specifying a sid makes the trading control # apply to all sids. def handle_data(algo, data): algo.order(self.sid, 10000) algo.order_count += 1 algo = SetMaxOrderSizeAlgorithm(max_shares=1, max_notional=1.0) self.check_algo_fails(algo, handle_data, 0) def test_set_max_order_count(self): # Override the default setUp to use six-hour intervals instead of full # days so we can exercise trading-session rollover logic. trade_history = factory.create_trade_history( self.sid, [10.0, 10.0, 11.0, 11.0], [100, 100, 100, 300], timedelta(hours=6), self.sim_params ) self.source = SpecificEquityTrades(event_list=trade_history) def handle_data(algo, data): for i in range(5): algo.order(self.sid, 1) algo.order_count += 1 algo = SetMaxOrderCountAlgorithm(3) self.check_algo_fails(algo, handle_data, 3) # Second call to handle_data is the same day as the first, so the last # order of the second call should fail. algo = SetMaxOrderCountAlgorithm(9) self.check_algo_fails(algo, handle_data, 9) # Only ten orders are placed per day, so this should pass even though # in total more than 20 orders are placed. algo = SetMaxOrderCountAlgorithm(10) self.check_algo_succeeds(algo, handle_data, order_count=20) def test_long_only(self): # Sell immediately -> fail immediately. def handle_data(algo, data): algo.order(self.sid, -1) algo.order_count += 1 algo = SetLongOnlyAlgorithm() self.check_algo_fails(algo, handle_data, 0) # Buy on even days, sell on odd days. Never takes a short position, so # should succeed. def handle_data(algo, data): if (algo.order_count % 2) == 0: algo.order(self.sid, 1) else: algo.order(self.sid, -1) algo.order_count += 1 algo = SetLongOnlyAlgorithm() self.check_algo_succeeds(algo, handle_data) # Buy on first three days, then sell off holdings. Should succeed. def handle_data(algo, data): amounts = [1, 1, 1, -3] algo.order(self.sid, amounts[algo.order_count]) algo.order_count += 1 algo = SetLongOnlyAlgorithm() self.check_algo_succeeds(algo, handle_data) # Buy on first three days, then sell off holdings plus an extra share. # Should fail on the last sale. def handle_data(algo, data): amounts = [1, 1, 1, -4] algo.order(self.sid, amounts[algo.order_count]) algo.order_count += 1 algo = SetLongOnlyAlgorithm() self.check_algo_fails(algo, handle_data, 3) def test_register_post_init(self): def initialize(algo): algo.initialized = True def handle_data(algo, data): with self.assertRaises(RegisterTradingControlPostInit): algo.set_max_position_size(self.sid, 1, 1) with self.assertRaises(RegisterTradingControlPostInit): algo.set_max_order_size(self.sid, 1, 1) with self.assertRaises(RegisterTradingControlPostInit): algo.set_max_order_count(1) with self.assertRaises(RegisterTradingControlPostInit): algo.set_long_only() algo = TradingAlgorithm(initialize=initialize, handle_data=handle_data) algo.run(self.source) self.source.rewind()