def testShiftedSecurityValueHolder(self):
mm = SecurityMovingAverage(2, 'close')
shifted1 = mm.shift(1)
data1 = {'aapl': {'close': 1.0},
'ibm': {'close': 2.0},
'goog': {'close': 3.0}}
shifted1.push(data1)
calculated = shifted1.value
for name in calculated.index():
self.assertTrue(np.isnan(calculated[name]))
data2 = {'aapl': {'close': 2.0},
'ibm': {'close': 3.0},
'goog': {'close': 4.0}}
shifted1.push(data2)
expected = SeriesValues({'aapl': 1.0,
'ibm': 2.0,
'goog': 3.0})
calculated = shifted1.value
for name in expected.index():
self.assertAlmostEqual(expected[name], calculated[name])
data3 = ({'aapl': {'close': 3.0},
'ibm': {'close': 4.0},
'goog': {'close': 5.0}})
shifted1.push(data3)
expected = SeriesValues({'aapl': 1.5,
'ibm': 2.5,
'goog': 3.5})
calculated = shifted1.value
for name in expected.index():
self.assertAlmostEqual(expected[name], calculated[name])
def testSecurityValuesInit(self):
data = np.array([1, 2, 3])
index = ['c', 'b', 'a']
test = SeriesValues(data, dict(zip(index, range(len(index)))))
expected = dict(zip(index, data))
for name in test.index():
self.assertEqual(test[name], expected[name])
def testDeltaSecurityValueHolder(self):
mm = SecurityMovingAverage(2, 'close')
delta1 = SecurityDeltaValueHolder(mm, 2)
data1 = {'aapl': {'close': 1.0},
'ibm': {'close': 2.0},
'goog': {'close': 3.0}}
delta1.push(data1)
calculated = delta1.value
for name in calculated.index():
self.assertTrue(np.isnan(calculated[name]))
data2 = {'aapl': {'close': 2.0},
'ibm': {'close': 3.0},
'goog': {'close': 4.0}}
delta1.push(data2)
data3 = {'aapl': {'close': 3.0},
'ibm': {'close': 4.0},
'goog': {'close': 5.0}}
delta1.push(data3)
expected = SeriesValues({'aapl': 1.5,
'ibm': 1.5,
'goog': 1.5})
calculated = delta1.value
for name in expected.index():
self.assertAlmostEqual(expected[name], calculated[name])
data4 = ({'aapl': {'close': 4.0},
'ibm': {'close': 5.0},
'goog': {'close': 6.0}})
delta1.push(data4)
expected = SeriesValues({'aapl': 2.0,
'ibm': 2.0,
'goog': 2.0})
calculated = delta1.value
for name in expected.index():
self.assertAlmostEqual(expected[name], calculated[name])
def testSecurityValuesUnit(self):
data = np.array([3, -2, np.nan, np.nan, 4, 5])
index = [1, 2, 3, 4, 5, 6]
test = SeriesValues(data, index)
test = test.unit()
expected = SeriesValues(data / np.nansum(np.abs(data)), dict(zip(index, range(len(index)))))
for name in test.index():
if np.isnan(test[name]):
self.assertTrue(np.isnan(expected[name]))
else:
self.assertEqual(test[name], expected[name])
def testSecurityConstArrayValueHolder(self):
constArray = SecurityConstArrayValueHolder({'a': 1.0, 'b': 2.0})
testValue = constArray.value
expectedValue = SeriesValues(np.array([1.0, 2.0]), index=['a', 'b'])
for name in expectedValue.index():
self.assertAlmostEqual(testValue[name], expectedValue[name])
testValue = constArray.value_by_name('a')
self.assertAlmostEqual(1.0, testValue)
testValue = constArray.value_by_names(['b', 'a', 'c'])
expectedValue = SeriesValues(np.array([2.0, 1.0, np.nan]), index=['b', 'a', 'c'])
np.testing.assert_array_almost_equal(testValue.values, expectedValue.values)
self.assertEqual(testValue.name_mapping, expectedValue.name_mapping)
