def test_moving_average(self):
mavg = MovingAverage(
market_aware=True,
fields=['price', 'volume'],
window_length=2
)
transformed = list(mavg.transform(self.source))
# Output values.
tnfm_prices = [message[mavg.get_hash()].price
for message in transformed]
tnfm_volumes = [message[mavg.get_hash()].volume
for message in transformed]
# "Hand-calculated" values
expected_prices = [
((10.0) / 1.0),
((10.0 + 10.0) / 2.0),
# First event should get dropped here.
((10.0 + 11.0) / 2.0),
# Second event should get dropped here.
((11.0 + 11.0) / 2.0)
]
expected_volumes = [
((100.0) / 1.0),
((100.0 + 100.0) / 2.0),
# First event should get dropped here.
((100.0 + 100.0) / 2.0),
# Second event should get dropped here.
((100.0 + 300.0) / 2.0)
]
self.assertEquals(tnfm_prices, expected_prices)
self.assertEquals(tnfm_volumes, expected_volumes)
def test_moving_average(self):
mavg = MovingAverage(
market_aware=False,
fields=['price', 'volume'],
delta=timedelta(days=2),
)
transformed = list(mavg.transform(self.source))
# Output values.
tnfm_prices = [message.tnfm_value.price for message in transformed]
tnfm_volumes = [message.tnfm_value.volume for message in transformed]
# "Hand-calculated" values
expected_prices = [
((10.0) / 1.0),
((10.0 + 10.0) / 2.0),
# First event should get dropped here.
((10.0 + 11.0) / 2.0),
# Second event should get dropped here.
((11.0 + 11.0) / 2.0)
]
expected_volumes = [
((100.0) / 1.0),
((100.0 + 100.0) / 2.0),
# First event should get dropped here.
((100.0 + 100.0) / 2.0),
# Second event should get dropped here.
((100.0 + 300.0) / 2.0)
]
assert tnfm_prices == expected_prices
assert tnfm_volumes == expected_volumes
def test_moving_average(self):
mavg = MovingAverage(
market_aware=False,
fields=['price', 'volume'],
delta=timedelta(days=2),
)
transformed = list(mavg.transform(self.source))
# Output values.
tnfm_prices = [message.tnfm_value.price for message in transformed]
tnfm_volumes = [message.tnfm_value.volume for message in transformed]
# "Hand-calculated" values
expected_prices = [
((10.0) / 1.0),
((10.0 + 10.0) / 2.0),
# First event should get dropped here.
((10.0 + 11.0) / 2.0),
# Second event should get dropped here.
((11.0 + 11.0) / 2.0)
]
expected_volumes = [
((100.0) / 1.0),
((100.0 + 100.0) / 2.0),
# First event should get dropped here.
((100.0 + 100.0) / 2.0),
# Second event should get dropped here.
((100.0 + 300.0) / 2.0)
]
assert tnfm_prices == expected_prices
assert tnfm_volumes == expected_volumes
def test_moving_average(self, name, add_custom_events):
mavg = MovingAverage(
market_aware=True,
fields=['price', 'volume'],
window_length=2
)
if add_custom_events:
self.source = self.intersperse_custom_events(self.source)
transformed = list(mavg.transform(self.source))
# Output values.
tnfm_prices = [message[mavg.get_hash()].price
for message in transformed
if message.type != DATASOURCE_TYPE.CUSTOM]
tnfm_volumes = [message[mavg.get_hash()].volume
for message in transformed
if message.type != DATASOURCE_TYPE.CUSTOM]
# "Hand-calculated" values
expected_prices = [
((10.0) / 1.0),
((10.0 + 10.0) / 2.0),
# First event should get dropped here.
((10.0 + 11.0) / 2.0),
# Second event should get dropped here.
((11.0 + 11.0) / 2.0)
]
expected_volumes = [
((100.0) / 1.0),
((100.0 + 100.0) / 2.0),
# First event should get dropped here.
((100.0 + 100.0) / 2.0),
# Second event should get dropped here.
((100.0 + 300.0) / 2.0)
]
self.assertEquals(tnfm_prices, expected_prices)
self.assertEquals(tnfm_volumes, expected_volumes)
def test_moving_average(self, name, add_custom_events):
mavg = MovingAverage(market_aware=True,
fields=['price', 'volume'],
window_length=2)
if add_custom_events:
self.source = self.intersperse_custom_events(self.source)
transformed = list(mavg.transform(self.source))
# Output values.
tnfm_prices = [
message[mavg.get_hash()].price for message in transformed
if message.type != DATASOURCE_TYPE.CUSTOM
]
tnfm_volumes = [
message[mavg.get_hash()].volume for message in transformed
if message.type != DATASOURCE_TYPE.CUSTOM
]
# "Hand-calculated" values
expected_prices = [
((10.0) / 1.0),
((10.0 + 10.0) / 2.0),
# First event should get dropped here.
((10.0 + 11.0) / 2.0),
# Second event should get dropped here.
((11.0 + 11.0) / 2.0)
]
expected_volumes = [
((100.0) / 1.0),
((100.0 + 100.0) / 2.0),
# First event should get dropped here.
((100.0 + 100.0) / 2.0),
# Second event should get dropped here.
((100.0 + 300.0) / 2.0)
]
self.assertEquals(tnfm_prices, expected_prices)
self.assertEquals(tnfm_volumes, expected_volumes)