def test_rule_m_():
date: dt = RelativeDate('1M', base_date=dt(
2021, 1, 19)).apply_rule(holiday_calendar=holiday_calendar)
assert date == dt(2021, 1, 4)
date: dt = RelativeDate('4M', base_date=dt(
2021, 1, 19)).apply_rule(holiday_calendar=holiday_calendar)
assert date == dt(2021, 1, 25)
def test_rule_b():
date: dt = RelativeDate('-1b', base_date=dt(
2021, 1, 19)).apply_rule(holiday_calendar=holiday_calendar)
assert date == dt(2021, 1, 15)
date: dt = RelativeDate('+1b', base_date=dt(
2021, 1, 19)).apply_rule(holiday_calendar=holiday_calendar)
assert date == dt(2021, 1, 20)
def test_rule_z_():
date: dt = RelativeDate('1Z', base_date=dt(
2021, 1, 19)).apply_rule(holiday_calendar=holiday_calendar)
assert date == dt(2021, 1, 3)
date: dt = RelativeDate('4Z', base_date=dt(
2021, 1, 19)).apply_rule(holiday_calendar=holiday_calendar)
assert date == dt(2021, 1, 24)
def test_rule_r_():
date: dt = RelativeDate('1R', base_date=dt(
2021, 1, 19)).apply_rule(holiday_calendar=holiday_calendar)
assert date == dt(2021, 1, 7)
date: dt = RelativeDate('4R', base_date=dt(
2021, 1, 19)).apply_rule(holiday_calendar=holiday_calendar)
assert date == dt(2021, 1, 28)
def test_rule_w_():
date: dt = RelativeDate('1W', base_date=dt(
2021, 1, 19)).apply_rule(holiday_calendar=holiday_calendar)
assert date == dt(2021, 1, 6)
date: dt = RelativeDate('4W', base_date=dt(
2021, 1, 19)).apply_rule(holiday_calendar=holiday_calendar)
assert date == dt(2021, 1, 27)
def test_rule_y():
date: dt = RelativeDate('2y', base_date=dt(
2021, 1, 19)).apply_rule(holiday_calendar=holiday_calendar)
assert date == dt(2023, 1, 19)
date: dt = RelativeDate('-2y', base_date=dt(
2021, 1, 19)).apply_rule(holiday_calendar=holiday_calendar)
assert date == dt(2019, 1, 21)
def test_rule_k():
date: dt = RelativeDate('1k', base_date=dt(
2021, 1, 19)).apply_rule(holiday_calendar=holiday_calendar)
assert date == dt(2022, 1, 19)
date: dt = RelativeDate('-1k', base_date=dt(
2021, 1, 19)).apply_rule(holiday_calendar=holiday_calendar)
assert date == dt(2020, 1, 20)
def test_rule_t_():
date: dt = RelativeDate('1T', base_date=dt(
2021, 1, 19)).apply_rule(holiday_calendar=holiday_calendar)
assert date == dt(2021, 1, 5)
date: dt = RelativeDate('4T', base_date=dt(
2021, 1, 19)).apply_rule(holiday_calendar=holiday_calendar)
assert date == dt(2021, 1, 26)
def test_rule_v_():
date: dt = RelativeDate('1V', base_date=dt(
2021, 1, 19)).apply_rule(holiday_calendar=holiday_calendar)
assert date == dt(2021, 1, 2)
date: dt = RelativeDate('4V', base_date=dt(
2021, 1, 19)).apply_rule(holiday_calendar=holiday_calendar)
assert date == dt(2021, 1, 23)
def test_rule_u():
date: dt = RelativeDate('1u', base_date=dt(
2021, 1, 19)).apply_rule(holiday_calendar=holiday_calendar)
assert date == dt(2021, 1, 20)
date: dt = RelativeDate('2u', base_date=dt(
2021, 1, 19)).apply_rule(holiday_calendar=holiday_calendar)
assert date == dt(2021, 1, 21)
date: dt = RelativeDate('-2u', base_date=dt(
2021, 1, 19)).apply_rule(holiday_calendar=holiday_calendar)
assert date == dt(2021, 1, 14)
def test_rule_g():
date: dt = RelativeDate('1g', base_date=dt(
2021, 1, 19)).apply_rule(holiday_calendar=holiday_calendar)
assert date == dt(2021, 1, 26)
date: dt = RelativeDate('3g', base_date=dt(
2021, 1, 19)).apply_rule(holiday_calendar=holiday_calendar)
assert date == dt(2021, 2, 9)
date: dt = RelativeDate('-1g', base_date=dt(
2021, 1, 19)).apply_rule(holiday_calendar=holiday_calendar)
assert date == dt(2021, 1, 12)
def test_rdate_datagrid(mocker):
mocker.patch.object(GsSession.__class__, 'default_value',
return_value=GsSession.get(Environment.QA, 'client_id', 'secret'))
name = 'Testing'
SPX = get_test_entity('MA4B66MW5E27U8P32SB')
close = DataCoordinate(
measure=DataMeasure.CLOSE_PRICE,
frequency=DataFrequency.DAILY,
)
last_trade_price = DataCoordinate(
measure=DataMeasure.TRADE_PRICE,
frequency=DataFrequency.REAL_TIME,
)
rows = [
DataRow(SPX),
]
columns = [
DataColumn(name="1d Chg (RT)",
processor=ChangeProcessor(AppendProcessor(close, last_trade_price,
start=RelativeDate("-1d",
base_date=date(2021, 1, 22)))))
]
datagrid = DataGrid(name=name, rows=rows, columns=columns)
start_date = datagrid.columns[0].processor.children['a'].start
assert start_date.base_date == RelativeDate('-1d', base_date=date(2021, 1, 22)).base_date
assert start_date.rule == RelativeDate('-1d').rule
datagrid.initialize()
datagrid.poll()
assert str(datagrid._data_queries[0].query.start) == '2021-01-21'
as_dict = datagrid.as_dict()
start = as_dict['parameters']['columns'][0]['parameters']['a']['parameters']['start']
assert start['type'] == 'relativeDate'
assert start['value'] == {'rule': '-1d', 'baseDate': '2021-01-22'}
# Check that base_date is not persisted when not passed in.
columns = [
DataColumn(name="1d Chg (RT)",
processor=ChangeProcessor(AppendProcessor(close, last_trade_price,
start=RelativeDate("-1d"))))
]
datagrid = DataGrid(name=name, rows=rows, columns=columns)
as_dict = datagrid.as_dict()
start = as_dict['parameters']['columns'][0]['parameters']['a']['parameters']['start']
assert start['type'] == 'relativeDate'
assert start['type'] == 'relativeDate'
assert start['value'] == {'rule': '-1d'}
def _resolve_rdates(self, rule_cache: Dict = None):
# TODO: Thread this...
rule_cache = rule_cache or {}
# Default to no calendar for rdate for external and oauth
calendar = [] if not GsSession.current.is_internal() and isinstance(GsSession.current, OAuth2Session) else None
for entity_id, rules in self.rdate_entity_map.items():
entity = self.entity_map.get(entity_id)
currencies = None
exchanges = None
if isinstance(entity, Entity):
entity_dict = entity.get_entity()
currency = entity_dict.get("currency")
exchange = entity_dict.get("exchange")
currencies = [currency] if currency else None
exchanges = [exchange] if exchange else None
for rule_base_date_tuple in rules:
rule, base_date = rule_base_date_tuple[0], rule_base_date_tuple[1]
cache_key = get_rdate_cache_key(rule_base_date_tuple[0], rule_base_date_tuple[1], currencies,
exchanges)
date_value = rule_cache.get(cache_key)
if date_value is None:
if base_date:
base_date = dt.datetime.strptime(base_date, "%Y-%m-%d").date()
date_value = RelativeDate(rule, base_date).apply_rule(currencies=currencies,
exchanges=exchanges,
holiday_calendar=calendar)
rule_cache[cache_key] = date_value
self.rule_cache[get_entity_rdate_key(entity_id, rule, base_date)] = date_value
def get_df_with_retries(fetcher, start_date, end_date, exchange, retries=1):
"""
Loads results from Data Service by calling fetcher function. Shifts query date range back by business days until
result is not empty or retry limit reached. This is a fallback feature in case a data upload is late. Measure
implementations should be written such that retries are usually not required.
:param fetcher: a no-argument function runs a data query and returns a DataFrame
:param start_date: initial start date for query
:param end_date: initial end date for query
:param exchange: exchange to use for holiday calendar
:param retries: maximum number of retries
:return: DataFrame
"""
retries = max(retries, 0)
while retries > -1:
with DataContext(start_date, end_date):
result = fetcher()
if not result.empty:
break
kwargs = {'exchanges': [exchange]} if exchange else {}
# no need to include any part of the previous date range since it's known to be empty
end_date = RelativeDate('-1b',
base_date=start_date).apply_rule(**kwargs)
start_date = end_date
retries -= 1
return result
def test_rule_parsing():
assert RelativeDate('A')._get_rules() == ['A']
assert RelativeDate('1d')._get_rules() == ['1d']
assert RelativeDate('-1d')._get_rules() == ['-1d']
assert RelativeDate('1y-1d')._get_rules() == ['1y', '-1d']
assert RelativeDate('-1y-1d')._get_rules() == ['-1y', '-1d']
assert RelativeDate('-1y+1d')._get_rules() == ['-1y', '1d']
def test_currency_holiday_calendars():
replace = Replacer()
replace('gs_quant.api.gs.data.GsDataApi.query_data',
Mock(side_effect=mock_holiday_data))
rdate = RelativeDate('-1b', base_date=dt(2022, 4, 12))
assert dt(2022, 4, 11) == rdate.apply_rule(currencies=[])
assert dt(2022, 4, 11) == rdate.apply_rule(currencies=['GBP'])
assert dt(2022, 4, 8) == rdate.apply_rule(currencies=['USD'])
assert dt(2022, 4, 8) == rdate.apply_rule()
replace.restore()
def get_final_date(inst, create_date, duration, holiday_calendar=None):
global final_date_cache
cache_key = (inst, create_date, duration, holiday_calendar)
if cache_key in final_date_cache:
return final_date_cache[cache_key]
if duration is None:
final_date_cache[cache_key] = dt.date.max
return dt.date.max
if isinstance(duration, (dt.datetime, dt.date)):
final_date_cache[cache_key] = duration
return duration
if hasattr(inst, str(duration)):
final_date_cache[cache_key] = getattr(inst, str(duration))
return getattr(inst, str(duration))
final_date_cache[cache_key] = RelativeDate(
duration, create_date).apply_rule(holiday_calendar=holiday_calendar)
return final_date_cache[cache_key]
def test_rule_e():
date: dt = RelativeDate('e', base_date=dt(
2021, 1, 19)).apply_rule(holiday_calendar=holiday_calendar)
assert date == dt(2021, 1, 31)
def test_chaining():
date: dt = RelativeDate('J+14d+0u+4u', base_date=dt(
2021, 1, 19)).apply_rule(holiday_calendar=holiday_calendar)
assert date == dt(2021, 1, 22)
def test_rule_a_():
date: dt = RelativeDate('A', base_date=dt(2021, 1, 19)).apply_rule()
assert date == dt(2021, 1, 1)