def test_orders_stop(self, name, order_data, event_data, expected): data = order_data data['sid'] = self.ASSET133 order = Order(**data) 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_minute_bar_reader(self.trading_schedule, days, assets) \ as reader: data_portal = DataPortal( self.env.asset_finder, self.trading_schedule, 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, 'minute') _, 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_orders_stop(self, name, order_data, event_data, expected): data = order_data data['sid'] = self.ASSET133 order = Order(**data) 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_minute_bar_reader(self.env, days, assets) as reader: data_portal = DataPortal( self.env, 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, 'minute') _, 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_asset_IPOed_same_day(self): # gotta get some minute data up in here. # add sid 4 for a couple of days minutes = self.trading_schedule.execution_minutes_for_days_in_range( self.sim_params.trading_days[0], self.sim_params.trading_days[5] ) tmp_reader = tmp_bcolz_minute_bar_reader( self.trading_schedule, self.trading_schedule.all_execution_days, create_minute_bar_data(minutes, [2]), ) with tmp_reader as reader: data_portal = DataPortal( self.env.asset_finder, self.trading_schedule, first_trading_day=reader.first_trading_day, equity_minute_reader=reader, equity_daily_reader=self.bcolz_daily_bar_reader, adjustment_reader=self.adjustment_reader, ) source = BenchmarkSource( 2, self.env, self.trading_schedule, self.sim_params.trading_days, data_portal ) days_to_use = self.sim_params.trading_days # first value should be 0.0, coming from daily data self.assertAlmostEquals(0.0, source.get_value(days_to_use[0])) manually_calculated = data_portal.get_history_window( [2], days_to_use[-1], len(days_to_use), "1d", "close", )[2].pct_change() for idx, day in enumerate(days_to_use[1:]): self.assertEqual( source.get_value(day), manually_calculated[idx + 1] )
def test_volume_share_slippage(self): assets = ( (133, pd.DataFrame( { 'open': [3.00], 'high': [3.15], 'low': [2.85], 'close': [3.00], 'volume': [200], }, index=[self.minutes[0]], )), ) days = pd.date_range( start=normalize_date(self.minutes[0]), end=normalize_date(self.minutes[-1]) ) with tmp_bcolz_minute_bar_reader(self.env, days, assets) as reader: data_portal = DataPortal( self.env, first_trading_day=reader.first_trading_day, equity_minute_reader=reader, ) slippage_model = VolumeShareSlippage() open_orders = [ Order( dt=datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc), amount=100, filled=0, sid=self.ASSET133 ) ] bar_data = BarData(data_portal, lambda: self.minutes[0], 'minute') orders_txns = list(slippage_model.simulate( bar_data, self.ASSET133, open_orders, )) self.assertEquals(len(orders_txns), 1) _, txn = orders_txns[0] expected_txn = { 'price': float(3.0001875), 'dt': datetime.datetime( 2006, 1, 5, 14, 31, tzinfo=pytz.utc), 'amount': int(5), 'sid': int(133), 'commission': None, 'type': DATASOURCE_TYPE.TRANSACTION, 'order_id': open_orders[0].id } self.assertIsNotNone(txn) # TODO: Make expected_txn an Transaction object and ensure there # is a __eq__ for that class. self.assertEquals(expected_txn, txn.__dict__) open_orders = [ Order( dt=datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc), amount=100, filled=0, sid=self.ASSET133 ) ] # Set bar_data to be a minute ahead of last trade. # Volume share slippage should not execute when there is no trade. bar_data = BarData(data_portal, lambda: self.minutes[1], 'minute') orders_txns = list(slippage_model.simulate( bar_data, self.ASSET133, open_orders, )) self.assertEquals(len(orders_txns), 0)
def test_volume_share_slippage(self): assets = { 133: pd.DataFrame( { 'open': [3.00], 'high': [3.15], 'low': [2.85], 'close': [3.00], 'volume': [200], }, index=[self.minutes[0]], ), } days = pd.date_range( start=normalize_date(self.minutes[0]), end=normalize_date(self.minutes[-1]) ) with tmp_bcolz_minute_bar_reader(self.env, days, assets) as reader: data_portal = DataPortal( self.env, equity_minute_reader=reader, ) slippage_model = VolumeShareSlippage() open_orders = [ Order( dt=datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc), amount=100, filled=0, sid=self.ASSET133 ) ] bar_data = BarData(data_portal, lambda: self.minutes[0], 'minute') orders_txns = list(slippage_model.simulate( bar_data, self.ASSET133, open_orders, )) self.assertEquals(len(orders_txns), 1) _, txn = orders_txns[0] expected_txn = { 'price': float(3.0001875), 'dt': datetime.datetime( 2006, 1, 5, 14, 31, tzinfo=pytz.utc), 'amount': int(5), 'sid': int(133), 'commission': None, 'type': DATASOURCE_TYPE.TRANSACTION, 'order_id': open_orders[0].id } self.assertIsNotNone(txn) # TODO: Make expected_txn an Transaction object and ensure there # is a __eq__ for that class. self.assertEquals(expected_txn, txn.__dict__) open_orders = [ Order( dt=datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc), amount=100, filled=0, sid=self.ASSET133 ) ] # Set bar_data to be a minute ahead of last trade. # Volume share slippage should not execute when there is no trade. bar_data = BarData(data_portal, lambda: self.minutes[1], 'minute') orders_txns = list(slippage_model.simulate( bar_data, self.ASSET133, open_orders, )) self.assertEquals(len(orders_txns), 0)