def test_orders_stop(self, name, order_data, event_data, expected):
data = order_data
data['asset'] = self.ASSET133
order = Order(**data)
if expected['transaction']:
expected['transaction']['asset'] = self.ASSET133
event_data['asset'] = self.ASSET133
assets = (
(133, pd.DataFrame(
{
'open': [event_data['open']],
'high': [event_data['high']],
'low': [event_data['low']],
'close': [event_data['close']],
'volume': [event_data['volume']],
},
index=[pd.Timestamp('2006-01-05 14:31', tz='UTC')],
)),
)
days = pd.date_range(
start=normalize_date(self.minutes[0]),
end=normalize_date(self.minutes[-1])
)
with tmp_bcolz_equity_minute_bar_reader(
self.trading_calendar, days, assets) as reader:
data_portal = DataPortal(
self.env.asset_finder, self.trading_calendar,
first_trading_day=reader.first_trading_day,
equity_minute_reader=reader,
)
slippage_model = VolumeShareSlippage()
try:
dt = pd.Timestamp('2006-01-05 14:31', tz='UTC')
bar_data = BarData(
data_portal,
lambda: dt,
self.sim_params.data_frequency,
self.trading_calendar,
NoRestrictions(),
)
_, txn = next(slippage_model.simulate(
bar_data,
self.ASSET133,
[order],
))
except StopIteration:
txn = None
if expected['transaction'] is None:
self.assertIsNone(txn)
else:
self.assertIsNotNone(txn)
for key, value in expected['transaction'].items():
self.assertEquals(value, txn[key])
def test_normalize_date():
value = date(2012, 9, 7)
result = tslib.normalize_date(value)
assert (result == datetime(2012, 9, 7))
value = datetime(2012, 9, 7, 12)
result = tslib.normalize_date(value)
assert (result == datetime(2012, 9, 7))
def __init__(self,
start_session,
end_session,
trading_calendar,
capital_base=DEFAULT_CAPITAL_BASE,
emission_rate='daily',
data_frequency='daily',
arena='backtest'):
assert type(start_session) == pd.Timestamp
assert type(end_session) == pd.Timestamp
assert trading_calendar is not None, \
"Must pass in trading calendar!"
assert start_session <= end_session, \
"Period start falls after period end."
assert start_session <= trading_calendar.last_trading_session, \
"Period start falls after the last known trading day."
assert end_session >= trading_calendar.first_trading_session, \
"Period end falls before the first known trading day."
# chop off any minutes or hours on the given start and end dates,
# as we only support session labels here (and we represent session
# labels as midnight UTC).
self._start_session = normalize_date(start_session)
self._end_session = normalize_date(end_session)
self._capital_base = capital_base
self._emission_rate = emission_rate
self._data_frequency = data_frequency
# copied to algorithm's environment for runtime access
self._arena = arena
self._trading_calendar = trading_calendar
if not trading_calendar.is_session(self._start_session):
# if the start date is not a valid session in this calendar,
# push it forward to the first valid session
self._start_session = trading_calendar.minute_to_session_label(
self._start_session)
if not trading_calendar.is_session(self._end_session):
# if the end date is not a valid session in this calendar,
# pull it backward to the last valid session before the given
# end date.
self._end_session = trading_calendar.minute_to_session_label(
self._end_session, direction="previous")
self._first_open = trading_calendar.open_and_close_for_session(
self._start_session)[0]
self._last_close = trading_calendar.open_and_close_for_session(
self._end_session)[1]
def test_normalize_date():
value = date(2012, 9, 7)
result = tslib.normalize_date(value)
assert (result == datetime(2012, 9, 7))
value = datetime(2012, 9, 7, 12)
result = tslib.normalize_date(value)
assert (result == datetime(2012, 9, 7))
value = datetime(2007, 10, 1, 1, 12, 5, 10)
actual = tslib.normalize_date(value)
assert actual == datetime(2007, 10, 1)
def _maybe_normalize_endpoints(start, end, normalize): # pragma: no cover
_normalized = True
if start is not None:
if normalize:
start = normalize_date(start)
_normalized = True
else:
_normalized = _normalized and start.time() == _midnight
if end is not None:
if normalize:
end = normalize_date(end)
_normalized = True
else:
_normalized = _normalized and end.time() == _midnight
return start, end, _normalized
def handle_data(context, data):
today = normalize_date(get_datetime())
results = pipeline_output('test')
expect_over_300 = {
AAPL: today < self.AAPL_split_date,
MSFT: False,
BRK_A: True,
}
for asset in assets:
should_pass_filter = expect_over_300[asset]
if set_screen and not should_pass_filter:
self.assertNotIn(asset, results.index)
continue
asset_results = results.loc[asset]
self.assertEqual(asset_results['filter'], should_pass_filter)
for length in vwaps:
computed = results.loc[asset, vwap_key(length)]
expected = vwaps[length][asset].loc[today]
# Only having two places of precision here is a bit
# unfortunate.
assert_almost_equal(computed, expected, decimal=2)
def _get_adjustments_in_range(self, asset, dts, field):
"""
Get the Float64Multiply objects to pass to an AdjustedArrayWindow.
For the use of AdjustedArrayWindow in the loader, which looks back
from current simulation time back to a window of data the dictionary is
structured with:
- the key into the dictionary for adjustments is the location of the
day from which the window is being viewed.
- the start of all multiply objects is always 0 (in each window all
adjustments are overlapping)
- the end of the multiply object is the location before the calendar
location of the adjustment action, making all days before the event
adjusted.
Parameters
----------
asset : Asset
The assets for which to get adjustments.
dts : iterable of datetime64-like
The dts for which adjustment data is needed.
field : str
OHLCV field for which to get the adjustments.
Returns
-------
out : dict[loc -> Float64Multiply]
The adjustments as a dict of loc -> Float64Multiply
"""
sid = int(asset)
start = normalize_date(dts[0])
end = normalize_date(dts[-1])
adjs = {}
#if field != 'volume':
# # 限定调整字段
if field in ('open', 'high', 'low', 'close'):
mergers = self._adjustments_reader.get_adjustments_for_sid(
'mergers', sid)
for m in mergers:
dt = m[0]
if start < dt <= end:
end_loc = dts.searchsorted(dt)
adj_loc = end_loc
mult = Float64Multiply(0, end_loc - 1, 0, 0, m[1])
try:
adjs[adj_loc].append(mult)
except KeyError:
adjs[adj_loc] = [mult]
divs = self._adjustments_reader.get_adjustments_for_sid(
'dividends', sid)
for d in divs:
dt = d[0]
if start < dt <= end:
end_loc = dts.searchsorted(dt)
adj_loc = end_loc
mult = Float64Multiply(0, end_loc - 1, 0, 0, d[1])
try:
adjs[adj_loc].append(mult)
except KeyError:
adjs[adj_loc] = [mult]
splits = self._adjustments_reader.get_adjustments_for_sid(
'splits', sid)
for s in splits:
dt = s[0]
if start < dt <= end:
if field == 'volume':
ratio = 1.0 / s[1]
# # else -> elif field in ('open', 'high', 'low', 'close')
elif field in ('open', 'high', 'low', 'close'):
ratio = s[1]
# # 使用原值 1
else:
ratio = 1
end_loc = dts.searchsorted(dt)
adj_loc = end_loc
mult = Float64Multiply(0, end_loc - 1, 0, 0, ratio)
try:
adjs[adj_loc].append(mult)
except KeyError:
adjs[adj_loc] = [mult]
return adjs