def test_vwap(self, name, add_custom_events):
vwap = MovingVWAP(market_aware=True, window_length=2)
if add_custom_events:
self.source = self.intersperse_custom_events(self.source)
transformed = list(vwap.transform(self.source))
# Output values. Unprocessed custom events will not have a field
# corresponding to the transform hash.
tnfm_vals = [
message[vwap.get_hash()] for message in transformed
if message.type != DATASOURCE_TYPE.CUSTOM
]
# "Hand calculated" values.
expected = [
(10.0 * 100) / 100.0,
((10.0 * 100) + (10.0 * 100)) / (200.0),
# We should drop the first event here.
((10.0 * 100) + (11.0 * 100)) / (200.0),
# We should drop the second event here.
((11.0 * 100) + (11.0 * 300)) / (400.0)
]
# Output should match the expected.
self.assertEquals(tnfm_vals, expected)
def test_vwap(self):
vwap = MovingVWAP(market_aware=True, window_length=2)
transformed = list(vwap.transform(self.source))
# Output values
tnfm_vals = [message[vwap.get_hash()] for message in transformed]
# "Hand calculated" values.
expected = [
(10.0 * 100) / 100.0,
((10.0 * 100) + (10.0 * 100)) / (200.0),
# We should drop the first event here.
((10.0 * 100) + (11.0 * 100)) / (200.0),
# We should drop the second event here.
((11.0 * 100) + (11.0 * 300)) / (400.0)
]
# Output should match the expected.
self.assertEquals(tnfm_vals, expected)
def test_vwap(self):
vwap = MovingVWAP(market_aware=False, delta=timedelta(days=2))
transformed = list(vwap.transform(self.source))
# Output values
tnfm_vals = [message.tnfm_value for message in transformed]
# "Hand calculated" values.
expected = [
(10.0 * 100) / 100.0,
((10.0 * 100) + (10.0 * 100)) / (200.0),
# We should drop the first event here.
((10.0 * 100) + (11.0 * 100)) / (200.0),
# We should drop the second event here.
((11.0 * 100) + (11.0 * 300)) / (400.0)
]
# Output should match the expected.
assert tnfm_vals == expected