def test_update_stocks_vol_last(self):
structures.update_stocks_vol('SPX', TEST_DB_NAME)
with database.connect_db(TEST_DB_NAME) as db:
db.execute('SELECT MAX(date) FROM stocks WHERE symbol=?;', ['SPX'])
test_date = database.decode_date(db.fetchall()[0][0])
db.execute('SELECT * FROM volatility WHERE symbol=? AND date=?;',
['SPX', test_date])
original_row = db.fetchall()[0][3:]
db.execute('UPDATE volatility SET change=?, vol1d=?, vol2d=?, ' \
'vol3d=?, vol4d=?, vol5d=?, vol6d=?, vol7d=?, vol8d=?, '\
'vol9d=?, vol1m=?, vol2m=?, vol3m=?, vol6m=?, vol1y=? ' \
'WHERE symbol=? AND date=?;',
[0] * 15 + ['SPX', test_date])
db.execute('SELECT * FROM volatility WHERE symbol=? AND date=?;',
['SPX', test_date])
corrupted_row = db.fetchall()[0][3:]
self.assertTrue(all(abs(item) > 1e-5 for item in original_row))
self.assertTrue(all(abs(item) < 1e-5 for item in corrupted_row))
structures.update_stocks_vol_last('SPX', TEST_DB_NAME)
with database.connect_db(TEST_DB_NAME) as db:
db.execute('SELECT * FROM volatility WHERE symbol=? AND date=?;',
['SPX', test_date])
updated_row = db.fetchall()[0][3:]
self.assertTrue(all(abs(item) > 1e-5 for item in updated_row))
def test_update_stocks_vol(self):
test_date = date(2015, 12, 18)
expected_row = ('SPX', database.encode_date(test_date),
-1.78, -28.25, 3.15, 28.47, 26.80, 23.70, 24.49, 22.66,
21.15, 19.84, 16.89, 15.69, 15.88, 18.30, 15.39)
with database.connect_db(TEST_DB_NAME) as db:
db.execute('SELECT COUNT(*) FROM volatility WHERE symbol=?;',
['SPX'])
self.assertEqual(db.fetchall(), [(0,)])
structures.update_stocks_vol('SPX', TEST_DB_NAME)
with database.connect_db(TEST_DB_NAME) as db:
db.execute('SELECT * FROM volatility WHERE symbol=? AND date=?;',
['SPX', test_date])
self.assertEqual(db.fetchall()[0], expected_row)
db.execute('DELETE FROM volatility WHERE symbol=? AND date=?;',
['SPX', test_date])
db.execute('SELECT * FROM volatility WHERE symbol=? AND date=?;',
['SPX', test_date])
self.assertEqual(db.fetchall(), [])
structures.update_stocks_vol('SPX', TEST_DB_NAME)
with database.connect_db(TEST_DB_NAME) as db:
db.execute('SELECT * FROM volatility WHERE symbol=? AND date=?;',
['SPX', test_date])
self.assertEqual(db.fetchall()[0], expected_row)
def update_quotes():
"""Retrieves all required historical quotes"""
logger = logging.getLogger(__name__)
logger.info('Updating quotes ...')
all_symbols = [
'VIX', 'VXST', 'VXV', 'VXMT', 'VVIX', 'SPX', 'XIV', 'VXX', 'TLT']
for symbol in all_symbols:
stocks.fetch_historical(symbol)
structures.update_stocks_vol('SPX')
futures.fetch_historical('VX')
options.fetch_historical('SPX')
logger.info('Done')
def test_volatility_cone(self):
stocks.fetch_historical('SPX', TEST_DB_NAME)
structures.update_stocks_vol('SPX', TEST_DB_NAME)
cone1 = structures.volatility_cone(
'SPX', self.test_timestamp.date(), 252, TEST_DB_NAME)
cone2 = np.array([
[ 19.84, 16.89, 15.69, 15.88, 18.30, 15.39],
[ 5.82, 8.08, 9.37, 9.64, 10.81, 11.54],
[ 8.85, 9.43, 9.98, 10.50, 11.50, 11.69],
[ 9.83, 10.54, 11.18, 11.01, 12.26, 11.85],
[ 12.32, 12.41, 11.90, 12.57, 12.94, 12.3 ],
[ 16.04, 16.64, 18.51, 20.50, 16.94, 15.04],
[ 21.94, 26.19, 23.62, 21.59, 17.34, 15.3 ],
[ 43.41, 31.95, 25.45, 22.06, 18.30, 15.54],
])
self.assertTrue(np.array_equal(cone1, cone2))
