def test_week_and_time_composed_rule(self, type):
week_rule = NthTradingDayOfWeek(0) if type == 'week_start' else \
NDaysBeforeLastTradingDayOfWeek(4)
time_rule = AfterOpen(minutes=60)
week_rule.cal = self.nyse_cal
time_rule.cal = self.nyse_cal
composed_rule = week_rule & time_rule
should_trigger = composed_rule.should_trigger
week_minutes = self.nyse_cal.trading_minutes_for_days_in_range(
datetime.date(year=2014, month=1, day=6),
datetime.date(year=2014, month=1, day=10))
dt = pd.Timestamp('2014-01-06 14:30:00', tz='UTC')
trigger_day_offset = 0
trigger_minute_offset = 60
n_triggered = 0
for m in week_minutes:
if should_trigger(m):
self.assertEqual(
m, dt + timedelta(days=trigger_day_offset) +
timedelta(minutes=trigger_minute_offset))
n_triggered += 1
self.assertEqual(n_triggered, 1)
def test_week_and_time_composed_rule(self, rule_type):
week_rule = NthTradingDayOfWeek(0) if rule_type == 'week_start' else \
NDaysBeforeLastTradingDayOfWeek(4)
time_rule = AfterOpen(minutes=60)
week_rule.cal = self.cal
time_rule.cal = self.cal
composed_rule = week_rule & time_rule
should_trigger = composed_rule.should_trigger
week_minutes = self.cal.minutes_for_sessions_in_range(
pd.Timestamp("2014-01-06", tz='UTC'),
pd.Timestamp("2014-01-10", tz='UTC'))
dt = pd.Timestamp('2014-01-06 14:30:00', tz='UTC')
trigger_day_offset = 0
trigger_minute_offset = 60
n_triggered = 0
for m in week_minutes:
if should_trigger(m):
self.assertEqual(
m, dt + timedelta(days=trigger_day_offset) +
timedelta(minutes=trigger_minute_offset))
n_triggered += 1
self.assertEqual(n_triggered, 1)
def test_week_and_time_composed_rule(self, type):
week_rule = NthTradingDayOfWeek(0) if type == 'week_start' else \
NDaysBeforeLastTradingDayOfWeek(4)
time_rule = AfterOpen(minutes=60)
week_rule.cal = self.cal
time_rule.cal = self.cal
composed_rule = week_rule & time_rule
should_trigger = composed_rule.should_trigger
week_minutes = self.cal.minutes_for_sessions_in_range(
pd.Timestamp("2014-01-06", tz='UTC'),
pd.Timestamp("2014-01-10", tz='UTC')
)
dt = pd.Timestamp('2014-01-06 14:30:00', tz='UTC')
trigger_day_offset = 0
trigger_minute_offset = 60
n_triggered = 0
for m in week_minutes:
if should_trigger(m):
self.assertEqual(m, dt + timedelta(days=trigger_day_offset) +
timedelta(minutes=trigger_minute_offset))
n_triggered += 1
self.assertEqual(n_triggered, 1)
def test_far_after_open(self):
minute_groups = minutes_for_days(self.cal, ordered_days=True)
after_open = AfterOpen(hours=9, minutes=25)
after_open.cal = self.cal
for session_minutes in minute_groups:
for i, minute in enumerate(session_minutes):
if i != 564:
self.assertFalse(after_open.should_trigger(minute))
else:
self.assertTrue(after_open.should_trigger(minute))
def test_far_after_open(self):
minute_groups = minutes_for_days(self.cal, ordered_days=True)
after_open = AfterOpen(hours=9, minutes=25)
after_open.cal = self.cal
for session_minutes in minute_groups:
for i, minute in enumerate(session_minutes):
if i != 564:
self.assertFalse(after_open.should_trigger(minute))
else:
self.assertTrue(after_open.should_trigger(minute))
def test_invalid_offset(self):
with self.assertRaises(ValueError):
AfterOpen(hours=12, minutes=1)
with self.assertRaises(ValueError):
AfterOpen(hours=0, minutes=0)
with self.assertRaises(ValueError):
BeforeClose(hours=12, minutes=1)
with self.assertRaises(ValueError):
BeforeClose(hours=0, minutes=0)
def test_offset_too_far(self):
minute_groups = minutes_for_days(self.cal, ordered_days=True)
# Neither rule should ever fire, since they are configured to fire
# 11+ hours after the open or before the close. a NYSE session is
# never longer than 6.5 hours.
after_open_rule = AfterOpen(hours=11, minutes=11)
after_open_rule.cal = self.cal
before_close_rule = BeforeClose(hours=11, minutes=5)
before_close_rule.cal = self.cal
for session_minutes in minute_groups:
for minute in session_minutes:
self.assertFalse(after_open_rule.should_trigger(minute))
self.assertFalse(before_close_rule.should_trigger(minute))
def test_offset_too_far(self):
minute_groups = minutes_for_days(self.cal, ordered_days=True)
# Neither rule should ever fire, since they are configured to fire
# 11+ hours after the open or before the close. a NYSE session is
# never longer than 6.5 hours.
after_open_rule = AfterOpen(hours=11, minutes=11)
after_open_rule.cal = self.cal
before_close_rule = BeforeClose(hours=11, minutes=5)
before_close_rule.cal = self.cal
for session_minutes in minute_groups:
for minute in session_minutes:
self.assertFalse(after_open_rule.should_trigger(minute))
self.assertFalse(before_close_rule.should_trigger(minute))
def test_AfterOpen(self):
should_trigger = AfterOpen(minutes=5, hours=1).should_trigger
for d in self.trading_days:
for m in islice(d, 65):
self.assertFalse(should_trigger(m))
for m in islice(d, 65, None):
self.assertTrue(should_trigger(m))
def live_algo_start(offset=2):
ny_tz = pytz.timezone('America/New_York')
now = datetime.now(ny_tz)
now = "%0d:%0d" % (now.hour, now.minute)
td = datetime.strptime(now, "%H:%M") - datetime.strptime(
"09:30", "%H:%M")
h, r = divmod(td.seconds, 3600)
m, s = divmod(r, 60)
m = m + offset
return AfterOpen(offset=None, hours=h, minutes=m)
def test_AfterOpen(self, ms):
should_trigger = AfterOpen(minutes=5, hours=1).should_trigger
for m in islice(ms, 64):
# Check the first 64 minutes of data.
# We use 64 because the offset is from market open
# at 13:30 UTC, meaning the first minute of data has an
# offset of 1.
self.assertFalse(should_trigger(m))
for m in islice(ms, 64, None):
# Check the rest of the day.
self.assertTrue(should_trigger(m))
def setUpClass(cls):
cls.env = TradingEnvironment()
# On the AfterOpen and BeforeClose tests, we want ensure that the
# functions are pure, and that running them with the same input will
# provide the same output, regardless of whether the function is run 1
# or N times. (For performance reasons, we cache some internal state
# in AfterOpen and BeforeClose, but we don't want it to affect
# purity). Hence, we use the same before_close and after_open across
# subtests.
cls.before_close = BeforeClose(hours=1, minutes=5)
cls.after_open = AfterOpen(hours=1, minutes=5)
cls.class_ = None # Mark that this is the base class.
def market_open(offset=None, hours=None, minutes=None):
return AfterOpen(offset=offset, hours=hours, minutes=minutes)
