def test_datasource_exception(self):
self.zipline_test_config['trade_source'] = ExceptionSource()
zipline = simfactory.create_test_zipline(
**self.zipline_test_config
)
with self.assertRaises(ZeroDivisionError):
output, _ = drain_zipline(self, zipline)
def test_datasource_exception(self):
self.zipline_test_config["trade_source"] = ExceptionSource()
zipline = simfactory.create_test_zipline(**self.zipline_test_config)
with self.assertRaises(ZeroDivisionError) as ctx:
output, _ = drain_zipline(self, zipline)
self.assertEqual(ctx.exception.message, "integer division or modulo by zero")
def test_datasource_exception(self):
self.zipline_test_config['trade_source'] = ExceptionSource()
zipline = simfactory.create_test_zipline(**self.zipline_test_config)
with self.assertRaises(ZeroDivisionError) as ctx:
output, _ = drain_zipline(self, zipline)
self.assertEqual(ctx.exception.message,
'integer division or modulo by zero')
def test_tranform_exception(self):
exc_tnfm = StatefulTransform(ExceptionTransform)
self.zipline_test_config['transforms'] = [exc_tnfm]
zipline = simfactory.create_test_zipline(**self.zipline_test_config)
with self.assertRaises(AssertionError) as ctx:
output, _ = drain_zipline(self, zipline)
self.assertEqual(ctx.exception.message, 'An assertion message')
def test_tranform_exception(self):
exc_tnfm = StatefulTransform(ExceptionTransform)
self.zipline_test_config["transforms"] = [exc_tnfm]
zipline = simfactory.create_test_zipline(**self.zipline_test_config)
with self.assertRaises(AssertionError) as ctx:
output, _ = drain_zipline(self, zipline)
self.assertEqual(ctx.exception.message, "An assertion message")
def test_order_methods(self):
"""Only test that order methods can be called without error.
Correct filling of orders is tested in zipline.
"""
test_algo = TradingAlgorithm(script=call_all_order_methods, sim_params=self.sim_params)
set_algo_instance(test_algo)
self.zipline_test_config["algorithm"] = test_algo
self.zipline_test_config["trade_count"] = 200
zipline = simfactory.create_test_zipline(**self.zipline_test_config)
output, _ = drain_zipline(self, zipline)
def test_exception_in_handle_data(self):
# Simulation
# ----------
self.zipline_test_config["algorithm"] = ExceptionAlgorithm(
"handle_data", self.zipline_test_config["sid"], sim_params=factory.create_simulation_parameters()
)
zipline = simfactory.create_test_zipline(**self.zipline_test_config)
with self.assertRaises(Exception) as ctx:
output, _ = drain_zipline(self, zipline)
self.assertEqual(ctx.exception.message, "Algo exception in handle_data")
def test_zerodivision_exception_in_handle_data(self):
# Simulation
# ----------
self.zipline_test_config["algorithm"] = DivByZeroAlgorithm(
self.zipline_test_config["sid"], sim_params=factory.create_simulation_parameters()
)
zipline = simfactory.create_test_zipline(**self.zipline_test_config)
with self.assertRaises(ZeroDivisionError) as ctx:
output, _ = drain_zipline(self, zipline)
self.assertEqual(ctx.exception.message, "integer division or modulo by zero")
def _algo_record_float_magic_should_pass(self, var_type):
test_algo = TradingAlgorithm(script=record_float_magic % var_type, sim_params=self.sim_params)
set_algo_instance(test_algo)
self.zipline_test_config["algorithm"] = test_algo
self.zipline_test_config["trade_count"] = 200
zipline = simfactory.create_test_zipline(**self.zipline_test_config)
output, _ = drain_zipline(self, zipline)
self.assertEqual(len(output), 252)
incr = []
for o in output[:200]:
incr.append(o["daily_perf"]["recorded_vars"]["data"])
np.testing.assert_array_equal(incr, [np.nan] * 200)
def test_zerodivision_exception_in_handle_data(self):
# Simulation
# ----------
self.zipline_test_config['algorithm'] = \
DivByZeroAlgorithm(
self.zipline_test_config['sid'],
sim_params=factory.create_simulation_parameters(),
env=self.env
)
zipline = simfactory.create_test_zipline(**self.zipline_test_config)
with self.assertRaises(ZeroDivisionError):
output, _ = drain_zipline(self, zipline)
def test_algo_record_vars(self):
test_algo = TradingAlgorithm(script=record_variables, sim_params=self.sim_params)
set_algo_instance(test_algo)
self.zipline_test_config["algorithm"] = test_algo
self.zipline_test_config["trade_count"] = 200
zipline = simfactory.create_test_zipline(**self.zipline_test_config)
output, _ = drain_zipline(self, zipline)
self.assertEqual(len(output), 252)
incr = []
for o in output[:200]:
incr.append(o["daily_perf"]["recorded_vars"]["incr"])
np.testing.assert_array_equal(incr, range(1, 201))
def test_zerodivision_exception_in_handle_data(self):
# Simulation
# ----------
self.zipline_test_config['algorithm'] = \
DivByZeroAlgorithm(
self.zipline_test_config['sid']
)
zipline = simfactory.create_test_zipline(**self.zipline_test_config)
with self.assertRaises(ZeroDivisionError) as ctx:
output, _ = drain_zipline(self, zipline)
self.assertEqual(ctx.exception.message,
'integer division or modulo by zero')
def test_exception_in_handle_data(self):
# Simulation
# ----------
self.zipline_test_config['algorithm'] = \
ExceptionAlgorithm(
'handle_data',
self.zipline_test_config['sid']
)
zipline = simfactory.create_test_zipline(**self.zipline_test_config)
with self.assertRaises(Exception) as ctx:
output, _ = drain_zipline(self, zipline)
self.assertEqual(ctx.exception.message,
'Algo exception in handle_data')
def test_zerodivision_exception_in_handle_data(self):
# Simulation
# ----------
self.zipline_test_config['algorithm'] = \
DivByZeroAlgorithm(
self.zipline_test_config['sid'],
sim_params=factory.create_simulation_parameters()
)
zipline = simfactory.create_test_zipline(
**self.zipline_test_config
)
with self.assertRaises(ZeroDivisionError):
output, _ = drain_zipline(self, zipline)
def test_order_methods(self):
"""Only test that order methods can be called without error.
Correct filling of orders is tested in zipline.
"""
test_algo = TradingAlgorithm(
script=call_all_order_methods,
sim_params=self.sim_params,
)
set_algo_instance(test_algo)
self.zipline_test_config['algorithm'] = test_algo
self.zipline_test_config['trade_count'] = 200
zipline = simfactory.create_test_zipline(**self.zipline_test_config)
output, _ = drain_zipline(self, zipline)
def test_portfolio_in_init(self):
"""
Test that accessing portfolio in init doesn't break.
"""
test_algo = TradingAlgorithm(
script=access_portfolio_in_init,
sim_params=self.sim_params,
)
set_algo_instance(test_algo)
self.zipline_test_config['algorithm'] = test_algo
self.zipline_test_config['trade_count'] = 1
zipline = simfactory.create_test_zipline(**self.zipline_test_config)
output, _ = drain_zipline(self, zipline)
def test_exception_in_handle_data(self):
# Simulation
# ----------
self.zipline_test_config['algorithm'] = \
ExceptionAlgorithm(
'handle_data',
self.zipline_test_config['sid'],
sim_params=factory.create_simulation_parameters(),
env=self.env
)
zipline = simfactory.create_test_zipline(**self.zipline_test_config)
with self.assertRaises(Exception) as ctx:
output, _ = drain_zipline(self, zipline)
self.assertEqual(str(ctx.exception), 'Algo exception in handle_data')
def test_account_in_init(self):
"""
Test that accessing account in init doesn't break.
"""
test_algo = TradingAlgorithm(
script=access_account_in_init,
sim_params=self.sim_params,
)
set_algo_instance(test_algo)
self.zipline_test_config['algorithm'] = test_algo
self.zipline_test_config['trade_count'] = 1
zipline = simfactory.create_test_zipline(
**self.zipline_test_config)
output, _ = drain_zipline(self, zipline)
def _algo_record_float_magic_should_pass(self, var_type):
test_algo = TradingAlgorithm(
script=record_float_magic % var_type,
sim_params=self.sim_params,
)
set_algo_instance(test_algo)
self.zipline_test_config['algorithm'] = test_algo
self.zipline_test_config['trade_count'] = 200
zipline = simfactory.create_test_zipline(**self.zipline_test_config)
output, _ = drain_zipline(self, zipline)
self.assertEqual(len(output), 252)
incr = []
for o in output[:200]:
incr.append(o['daily_perf']['recorded_vars']['data'])
np.testing.assert_array_equal(incr, [np.nan] * 200)
def test_set_portfolio(self):
"""
Are we protected against overwriting an algo's portfolio?
"""
# Simulation
# ----------
self.zipline_test_config["algorithm"] = SetPortfolioAlgorithm(
self.zipline_test_config["sid"], sim_params=factory.create_simulation_parameters()
)
zipline = simfactory.create_test_zipline(**self.zipline_test_config)
with self.assertRaises(AttributeError) as ctx:
output, _ = drain_zipline(self, zipline)
self.assertEqual(ctx.exception.message, "can't set attribute")
def test_exception_in_handle_data(self):
# Simulation
# ----------
self.zipline_test_config['algorithm'] = \
ExceptionAlgorithm(
'handle_data',
self.zipline_test_config['sid']
)
zipline = simfactory.create_test_zipline(
**self.zipline_test_config
)
with self.assertRaises(Exception) as ctx:
output, _ = drain_zipline(self, zipline)
self.assertEqual(ctx.exception.message,
'Algo exception in handle_data')
def test_set_portfolio(self):
"""
Are we protected against overwriting an algo's portfolio?
"""
# Simulation
# ----------
self.zipline_test_config['algorithm'] = \
SetPortfolioAlgorithm(
self.zipline_test_config['sid'],
sim_params=factory.create_simulation_parameters(),
env=self.env
)
zipline = simfactory.create_test_zipline(**self.zipline_test_config)
with self.assertRaises(AttributeError):
output, _ = drain_zipline(self, zipline)
def test_zerodivision_exception_in_handle_data(self):
# Simulation
# ----------
self.zipline_test_config['algorithm'] = \
DivByZeroAlgorithm(
self.zipline_test_config['sid']
)
zipline = simfactory.create_test_zipline(
**self.zipline_test_config
)
with self.assertRaises(ZeroDivisionError) as ctx:
output, _ = drain_zipline(self, zipline)
self.assertEqual(ctx.exception.message,
'integer division or modulo by zero')
def test_algo_record_vars(self):
test_algo = TradingAlgorithm(
script=record_variables,
sim_params=self.sim_params,
)
set_algo_instance(test_algo)
self.zipline_test_config['algorithm'] = test_algo
self.zipline_test_config['trade_count'] = 200
zipline = simfactory.create_test_zipline(**self.zipline_test_config)
output, _ = drain_zipline(self, zipline)
self.assertEqual(len(output), 252)
incr = []
for o in output[:200]:
incr.append(o['daily_perf']['recorded_vars']['incr'])
np.testing.assert_array_equal(incr, range(1, 201))
def test_set_portfolio(self):
"""
Are we protected against overwriting an algo's portfolio?
"""
# Simulation
# ----------
self.zipline_test_config['algorithm'] = \
SetPortfolioAlgorithm(
self.zipline_test_config['sid']
)
zipline = simfactory.create_test_zipline(**self.zipline_test_config)
with self.assertRaises(AttributeError) as ctx:
output, _ = drain_zipline(self, zipline)
self.assertEqual(ctx.exception.message, "can't set attribute")
def test_set_portfolio(self):
"""
Are we protected against overwriting an algo's portfolio?
"""
# Simulation
# ----------
self.zipline_test_config['algorithm'] = \
SetPortfolioAlgorithm(
self.zipline_test_config['sid'],
sim_params=factory.create_simulation_parameters()
)
zipline = simfactory.create_test_zipline(
**self.zipline_test_config
)
with self.assertRaises(AttributeError):
output, _ = drain_zipline(self, zipline)
def test_exception_in_handle_data(self):
# Simulation
# ----------
self.zipline_test_config['algorithm'] = \
ExceptionAlgorithm(
'handle_data',
self.zipline_test_config['sid'],
sim_params=factory.create_simulation_parameters(),
env=self.env
)
zipline = simfactory.create_test_zipline(
**self.zipline_test_config
)
with self.assertRaises(Exception) as ctx:
output, _ = drain_zipline(self, zipline)
self.assertEqual(str(ctx.exception), 'Algo exception in handle_data')
