def testSecurityMovingHistoricalWindow(self):
window = 5
mh = SecurityMovingHistoricalWindow(window, 'close')
benchmark = {'aapl': deque(maxlen=window),
'ibm': deque(maxlen=window)}
for i in range(len(self.aapl['close'])):
data = {'aapl': {'close': self.aapl['close'][i]},
'ibm': {'close': self.ibm['close'][i]}}
mh.push(data)
for name in benchmark:
benchmark[name].append(data[name]['close'])
if i >= 1:
# check by get item methon
container = mh.value
for k in range(min(i + 1, window)):
calculated = mh[k]
for name in calculated.index():
self.assertAlmostEqual(calculated[name], benchmark[name][-1 - k],
"at index {0} positon {1} and symbol {2}\n"
"expected: {3}\n"
"calculated: {4}".format(i, k, name,
benchmark[name][-1],
calculated[name]))
# check by value method
for k in range(min(i + 1, window)):
for name in calculated.index():
self.assertAlmostEqual(container[name][k], benchmark[name][-1 - k],
"at index {0} positon {1} and symbol {2}\n"
"expected: {3}\n"
"calculated: {4}".format(i, k, name,
benchmark[name][-1],
container[name][k]))
def testSecurityMovingHistoricalWindow(self):
window = 5
mh = SecurityMovingHistoricalWindow(window, 'close')
benchmark = {'aapl': deque(maxlen=window),
'ibm': deque(maxlen=window)}
for i in range(len(self.aapl['close'])):
data = {'aapl': {'close': self.aapl['close'][i]},
'ibm': {'close': self.ibm['close'][i]}}
mh.push(data)
for name in benchmark:
benchmark[name].append(data[name]['close'])
if i >= 1:
# check by get item methon
container = mh.value
for k in range(min(i + 1, window)):
calculated = mh[k]
for name in calculated.index:
self.assertAlmostEqual(calculated[name], benchmark[name][-1 - k],
"at index {0} positon {1} and symbol {2}\n"
"expected: {3}\n"
"calculated: {4}".format(i, k, name,
benchmark[name][-1],
calculated[name]))
# check by value method
for k in range(min(i + 1, window)):
for name in calculated.index:
self.assertAlmostEqual(container[name][k], benchmark[name][-1 - k],
"at index {0} positon {1} and symbol {2}\n"
"expected: {3}\n"
"calculated: {4}".format(i, k, name,
benchmark[name][-1],
container[name][k]))
def testSecurityMovingHistoricalWindowPickle(self):
window = 10
ma = SecurityMovingHistoricalWindow(window, ['x'])
data = dict(aapl=dict(x=1.), ibm=dict(x=2.))
data2 = dict(aapl=dict(x=2.), ibm=dict(x=3.))
ma.push(data)
ma.push(data2)
with tempfile.NamedTemporaryFile('w+b', delete=False) as f:
pickle.dump(ma, f)
with open(f.name, 'rb') as f2:
pickled = pickle.load(f2)
for name in ma.value.index():
np.testing.assert_array_almost_equal(ma.value[name],
pickled.value[name])
os.unlink(f.name)
for v in np.random.rand(20):
data['aapl']['x'] = v
data['ibm']['x'] = v + 1.
ma.push(data)
with tempfile.NamedTemporaryFile('w+b', delete=False) as f:
pickle.dump(ma, f)
with open(f.name, 'rb') as f2:
pickled = pickle.load(f2)
for name in ma.value.index():
np.testing.assert_array_almost_equal(ma.value[name],
pickled.value[name])
os.unlink(f.name)
def testSecurityMovingHistoricalWindowDeepcopy(self):
window = 10
ma = SecurityMovingHistoricalWindow(window, ['x'])
data = dict(aapl=dict(x=1.), ibm=dict(x=2.))
data2 = dict(aapl=dict(x=2.), ibm=dict(x=3.))
ma.push(data)
ma.push(data2)
copied = copy.deepcopy(ma)
for name in ma.value.index():
np.testing.assert_array_almost_equal(ma.value[name],
copied.value[name])
for v in np.random.rand(20):
data['aapl']['x'] = v
data['ibm']['x'] = v + 1.
ma.push(data)
copied = copy.deepcopy(ma)
for name in ma.value.index():
np.testing.assert_array_almost_equal(ma.value[name],
copied.value[name])
def HIST(window, dependency='x'):
return SecurityMovingHistoricalWindow(window, dependency)
def HIST(window, dependency='x', symbolList=None):
return SecurityMovingHistoricalWindow(window, dependency, symbolList)