Esempio n. 1
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    def test_lookup_symbol(self):

        # Incrementing by two so that start and end dates for each
        # generated Asset don't overlap (each Asset's end_date is the
        # day after its start date.)
        dates = pd.date_range('2013-01-01', freq='2D', periods=5, tz='UTC')
        df = pd.DataFrame.from_records(
            [
                {
                    'sid': i,
                    'symbol':  'existing',
                    'start_date': date.value,
                    'end_date': (date + timedelta(days=1)).value,
                    'exchange': 'NYSE',
                }
                for i, date in enumerate(dates)
            ]
        )
        self.write_assets(equities=df)
        finder = self.asset_finder
        for _ in range(2):  # Run checks twice to test for caching bugs.
            with self.assertRaises(SymbolNotFound):
                finder.lookup_symbol('NON_EXISTING', dates[0])

            with self.assertRaises(MultipleSymbolsFound):
                finder.lookup_symbol('EXISTING', None)

            for i, date in enumerate(dates):
                # Verify that we correctly resolve multiple symbols using
                # the supplied date
                result = finder.lookup_symbol('EXISTING', date)
                self.assertEqual(result.symbol, 'EXISTING')
                self.assertEqual(result.sid, i)
Esempio n. 2
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 def test_group_by_type(self):
     equities = make_simple_equity_info(
         range(5),
         start_date=pd.Timestamp('2014-01-01'),
         end_date=pd.Timestamp('2015-01-01'),
     )
     futures = make_commodity_future_info(
         first_sid=6,
         root_symbols=['CL'],
         years=[2014],
     )
     # Intersecting sid queries, to exercise loading of partially-cached
     # results.
     queries = [
         ([0, 1, 3], [6, 7]),
         ([0, 2, 3], [7, 10]),
         (list(equities.index), list(futures.index)),
     ]
     self.write_assets(
         equities=equities,
         futures=futures,
     )
     finder = self.asset_finder
     for equity_sids, future_sids in queries:
         results = finder.group_by_type(equity_sids + future_sids)
         self.assertEqual(
             results,
             {'equity': set(equity_sids), 'future': set(future_sids)},
         )
Esempio n. 3
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    def test_retrieve_specific_type(self, type_, lookup_name, failure_type):
        equities = make_simple_equity_info(
            range(5),
            start_date=pd.Timestamp('2014-01-01'),
            end_date=pd.Timestamp('2015-01-01'),
        )
        max_equity = equities.index.max()
        futures = make_commodity_future_info(
            first_sid=max_equity + 1,
            root_symbols=['CL'],
            years=[2014],
        )
        equity_sids = [0, 1]
        future_sids = [max_equity + 1, max_equity + 2, max_equity + 3]
        if type_ == Equity:
            success_sids = equity_sids
            fail_sids = future_sids
        else:
            fail_sids = equity_sids
            success_sids = future_sids

        self.write_assets(
            equities=equities,
            futures=futures,
        )
        finder = self.asset_finder
        # Run twice to exercise caching.
        lookup = getattr(finder, lookup_name)
        for _ in range(2):
            results = lookup(success_sids)
            self.assertIsInstance(results, dict)
            self.assertEqual(set(results.keys()), set(success_sids))
            self.assertEqual(
                valmap(int, results),
                dict(zip(success_sids, success_sids)),
            )
            self.assertEqual(
                {type_},
                {type(asset) for asset in itervalues(results)},
            )
            with self.assertRaises(failure_type):
                lookup(fail_sids)
            with self.assertRaises(failure_type):
                # Should fail if **any** of the assets are bad.
                lookup([success_sids[0], fail_sids[0]])
Esempio n. 4
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    def test_retrieve_all(self):
        equities = make_simple_equity_info(
            range(5),
            start_date=pd.Timestamp('2014-01-01'),
            end_date=pd.Timestamp('2015-01-01'),
        )
        max_equity = equities.index.max()
        futures = make_commodity_future_info(
            first_sid=max_equity + 1,
            root_symbols=['CL'],
            years=[2014],
        )
        self.write_assets(
            equities=equities,
            futures=futures,
        )
        finder = self.asset_finder
        all_sids = finder.sids
        self.assertEqual(len(all_sids), len(equities) + len(futures))
        queries = [
            # Empty Query.
            (),
            # Only Equities.
            tuple(equities.index[:2]),
            # Only Futures.
            tuple(futures.index[:3]),
            # Mixed, all cache misses.
            tuple(equities.index[2:]) + tuple(futures.index[3:]),
            # Mixed, all cache hits.
            tuple(equities.index[2:]) + tuple(futures.index[3:]),
            # Everything.
            all_sids,
            all_sids,
        ]
        for sids in queries:
            equity_sids = [i for i in sids if i <= max_equity]
            future_sids = [i for i in sids if i > max_equity]
            results = finder.retrieve_all(sids)
            self.assertEqual(sids, tuple(map(int, results)))

            self.assertEqual(
                [Equity for _ in equity_sids] +
                [Future for _ in future_sids],
                list(map(type, results)),
            )
            self.assertEqual(
                (
                    list(equities.symbol.loc[equity_sids]) +
                    list(futures.symbol.loc[future_sids])
                ),
                list(asset.symbol for asset in results),
            )
Esempio n. 5
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    def test_lookup_symbol_delimited(self):
        as_of = pd.Timestamp('2013-01-01', tz='UTC')
        frame = pd.DataFrame.from_records(
            [
                {
                    'sid': i,
                    'symbol':  'TEST.%d' % i,
                    'company_name': "company%d" % i,
                    'start_date': as_of.value,
                    'end_date': as_of.value,
                    'exchange': uuid.uuid4().hex
                }
                for i in range(3)
            ]
        )
        self.write_assets(equities=frame)
        finder = self.asset_finder
        asset_0, asset_1, asset_2 = (
            finder.retrieve_asset(i) for i in range(3)
        )

        # we do it twice to catch caching bugs
        for i in range(2):
            with self.assertRaises(SymbolNotFound):
                finder.lookup_symbol('TEST', as_of)
            with self.assertRaises(SymbolNotFound):
                finder.lookup_symbol('TEST1', as_of)
            # '@' is not a supported delimiter
            with self.assertRaises(SymbolNotFound):
                finder.lookup_symbol('TEST@1', as_of)

            # Adding an unnecessary fuzzy shouldn't matter.
            for fuzzy_char in ['-', '/', '_', '.']:
                self.assertEqual(
                    asset_1,
                    finder.lookup_symbol('TEST%s1' % fuzzy_char, as_of)
                )
Esempio n. 6
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 def test_blocked_lookup_symbol_query(self):
     # we will try to query for more variables than sqlite supports
     # to make sure we are properly chunking on the client side
     as_of = pd.Timestamp('2013-01-01', tz='UTC')
     # we need more sids than we can query from sqlite
     nsids = SQLITE_MAX_VARIABLE_NUMBER + 10
     sids = range(nsids)
     frame = pd.DataFrame.from_records(
         [
             {
                 'sid': sid,
                 'symbol':  'TEST.%d' % sid,
                 'start_date': as_of.value,
                 'end_date': as_of.value,
                 'exchange': uuid.uuid4().hex
             }
             for sid in sids
         ]
     )
     self.write_assets(equities=frame)
     assets = self.asset_finder.retrieve_equities(sids)
     assert_equal(viewkeys(assets), set(sids))
Esempio n. 7
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def build_lookup_generic_cases(asset_finder_type):
    """
    Generate test cases for the type of asset finder specific by
    asset_finder_type for test_lookup_generic.
    """

    unique_start = pd.Timestamp('2013-01-01', tz='UTC')
    unique_end = pd.Timestamp('2014-01-01', tz='UTC')

    dupe_0_start = pd.Timestamp('2013-01-01', tz='UTC')
    dupe_0_end = dupe_0_start + timedelta(days=1)

    dupe_1_start = pd.Timestamp('2013-01-03', tz='UTC')
    dupe_1_end = dupe_1_start + timedelta(days=1)

    frame = pd.DataFrame.from_records(
        [
            {
                'sid': 0,
                'symbol': 'duplicated',
                'start_date': dupe_0_start.value,
                'end_date': dupe_0_end.value,
                'exchange': 'TEST',
            },
            {
                'sid': 1,
                'symbol': 'duplicated',
                'start_date': dupe_1_start.value,
                'end_date': dupe_1_end.value,
                'exchange': 'TEST',
            },
            {
                'sid': 2,
                'symbol': 'unique',
                'start_date': unique_start.value,
                'end_date': unique_end.value,
                'exchange': 'TEST',
            },
        ],
        index='sid')
    with tmp_assets_db(equities=frame) as assets_db:
        finder = asset_finder_type(assets_db)
        dupe_0, dupe_1, unique = assets = [
            finder.retrieve_asset(i)
            for i in range(3)
        ]

        dupe_0_start = dupe_0.start_date
        dupe_1_start = dupe_1.start_date
        yield (
            ##
            # Scalars

            # Asset object
            (finder, assets[0], None, assets[0]),
            (finder, assets[1], None, assets[1]),
            (finder, assets[2], None, assets[2]),
            # int
            (finder, 0, None, assets[0]),
            (finder, 1, None, assets[1]),
            (finder, 2, None, assets[2]),
            # Duplicated symbol with resolution date
            (finder, 'DUPLICATED', dupe_0_start, dupe_0),
            (finder, 'DUPLICATED', dupe_1_start, dupe_1),
            # Unique symbol, with or without resolution date.
            (finder, 'UNIQUE', unique_start, unique),
            (finder, 'UNIQUE', None, unique),

            ##
            # Iterables

            # Iterables of Asset objects.
            (finder, assets, None, assets),
            (finder, iter(assets), None, assets),
            # Iterables of ints
            (finder, (0, 1), None, assets[:-1]),
            (finder, iter((0, 1)), None, assets[:-1]),
            # Iterables of symbols.
            (finder, ('DUPLICATED', 'UNIQUE'), dupe_0_start, [dupe_0, unique]),
            (finder, ('DUPLICATED', 'UNIQUE'), dupe_1_start, [dupe_1, unique]),
            # Mixed types
            (finder,
             ('DUPLICATED', 2, 'UNIQUE', 1, dupe_1),
             dupe_0_start,
             [dupe_0, assets[2], unique, assets[1], dupe_1]),
        )