def test_engine_with_multicolumn_loader(self):
open_, close = USEquityPricing.open, USEquityPricing.close
loader = MultiColumnLoader({
open_:
ConstantLoader(dates=self.dates,
assets=self.assets,
constants={open_: 1}),
close:
ConstantLoader(dates=self.dates,
assets=self.assets,
constants={close: 2})
})
engine = SimpleFFCEngine(loader, self.dates, self.asset_finder)
factor = RollingSumDifference()
result = engine.factor_matrix({'f': factor}, self.dates[2],
self.dates[-1])
self.assertIsNotNone(result)
self.assertEqual({'f'}, set(result.columns))
# (close - open) * window = (1 - 2) * 3 = -3
# skipped 2 from the start, so that the window is full
check_arrays(result['f'],
Series([-3] * len(self.assets) * (len(self.dates) - 2)))
def setUp(self):
self.constants = {
# Every day, assume every stock starts at 2, goes down to 1,
# goes up to 4, and finishes at 3.
USEquityPricing.low:
1,
USEquityPricing.open:
2,
USEquityPricing.close:
3,
USEquityPricing.high:
4,
}
self.assets = [1, 2, 3]
self.dates = date_range('2014-01-01', '2014-02-01', freq='D', tz='UTC')
self.loader = ConstantLoader(
constants=self.constants,
dates=self.dates,
assets=self.assets,
)
self.asset_info = make_simple_asset_info(
self.assets,
start_date=self.dates[0],
end_date=self.dates[-1],
)
self.asset_finder = AssetFinder(self.asset_info)