def test_NthTradingDayOfWeek_day_zero(self):
"""
Test that we don't blow up when trying to call week_start's
should_trigger on the first day of a trading environment.
"""
cal = get_calendar('NYSE')
rule = NthTradingDayOfWeek(0)
rule.cal = cal
self.assertTrue(rule.should_trigger(self.nyse_cal.all_trading_days[0]))
def test_NthTradingDayOfWeek_day_zero(self):
"""
Test that we don't blow up when trying to call week_start's
should_trigger on the first day of a trading environment.
"""
cal = get_calendar('NYSE')
rule = NthTradingDayOfWeek(0)
rule.cal = cal
self.assertTrue(
rule.should_trigger(self.nyse_cal.all_trading_days[0])
)
def test_edge_cases_for_TradingDayOfWeek(self):
"""
Test that we account for midweek holidays. Monday 01/20 is a holiday.
Ensure that the trigger date for that week is adjusted
appropriately, or thrown out if not enough trading days. Also, test
that if we start the simulation on a day where we miss the trigger
for that week, that the trigger is recalculated for next week.
"""
# December 2013
# Su Mo Tu We Th Fr Sa
# 1 2 3 4 5 6 7
# 8 9 10 11 12 13 14
# 15 16 17 18 19 20 21
# 22 23 24 25 26 27 28
# 29 30 31
# January 2014
# Su Mo Tu We Th Fr Sa
# 1 2 3 4
# 5 6 7 8 9 10 11
# 12 13 14 15 16 17 18
# 19 20 21 22 23 24 25
# 26 27 28 29 30 31
# Include last day of 2013 to exercise case where the first day of a
# week is in the previous year.
# `week_start`
rule = NthTradingDayOfWeek(0)
rule.cal = self.cal
expected = {
# A Monday before the New Year.
'2013-12-30': True,
# Should not trigger on day after.
'2013-12-31': False,
# Should not trigger at market open of 1-2, a Thursday,
# day after a holiday.
'2014-01-02': False,
# Test that the next Monday, which is at a start of a
# 'normal' week successfully triggers.
'2014-01-06': True,
# Test around a Monday holiday, MLK day, to exercise week
# start on a Tuesday.
# MLK is 2014-01-20 in 2014.
'2014-01-21': True,
# Should not trigger at market open of 01-22, a Wednesday.
'2014-01-22': False,
}
results = {
x: rule.should_trigger(self.cal.next_open(T(x)))
for x in expected.keys()
}
self.assertEquals(expected, results)
# Ensure that offset from start of week also works around edge cases.
rule = NthTradingDayOfWeek(1)
rule.cal = self.cal
expected = {
# Should trigger at market open of 12-31, day after week start.
'2013-12-31': True,
# Should not trigger at market open of 1-2, a Thursday,
# day after a holiday.
'2014-01-02': False,
# Test around a Monday holiday, MLK day, to exercise
# week start on a Tuesday.
# MLK is 2014-01-20 in 2014.
# Should trigger at market open, two days after Monday hoilday.
'2014-01-22': True,
# Should not trigger at market open of 01-23, a Thursday.
'2014-01-23': False,
}
results = {
x: rule.should_trigger(self.cal.next_open(T(x)))
for x in expected.keys()
}
self.assertEquals(expected, results)
# `week_end`
rule = NDaysBeforeLastTradingDayOfWeek(0)
rule.cal = self.cal
expected = {
# Should trigger at market open of the Friday of the first week.
'2014-01-03': True,
# Should not trigger day before the end of the week.
'2014-01-02': False,
# Test around a Monday holiday, MLK day, to exercise week
# start on a Tuesday.
# MLK is 2014-01-20 in 2014.
# Should trigger at market open, on Friday after the holiday.
'2014-01-24': True,
# Should not trigger at market open of 01-23, a Thursday.
'2014-01-23': False,
}
results = {
x: rule.should_trigger(self.cal.next_open(T(x)))
for x in expected.keys()
}
self.assertEquals(expected, results)
def test_edge_cases_for_TradingDayOfWeek(self):
"""
Test that we account for midweek holidays. Monday 01/20 is a holiday.
Ensure that the trigger date for that week is adjusted
appropriately, or thrown out if not enough trading days. Also, test
that if we start the simulation on a day where we miss the trigger
for that week, that the trigger is recalculated for next week.
"""
# December 2013
# Su Mo Tu We Th Fr Sa
# 1 2 3 4 5 6 7
# 8 9 10 11 12 13 14
# 15 16 17 18 19 20 21
# 22 23 24 25 26 27 28
# 29 30 31
# January 2014
# Su Mo Tu We Th Fr Sa
# 1 2 3 4
# 5 6 7 8 9 10 11
# 12 13 14 15 16 17 18
# 19 20 21 22 23 24 25
# 26 27 28 29 30 31
# Include last day of 2013 to exercise case where the first day of a
# week is in the previous year.
# `week_start`
rule = NthTradingDayOfWeek(0)
rule.cal = self.cal
expected = {
# A Monday before the New Year.
'2013-12-30': True,
# Should not trigger on day after.
'2013-12-31': False,
# Should not trigger at market open of 1-2, a Thursday,
# day after a holiday.
'2014-01-02': False,
# Test that the next Monday, which is at a start of a
# 'normal' week successfully triggers.
'2014-01-06': True,
# Test around a Monday holiday, MLK day, to exercise week
# start on a Tuesday.
# MLK is 2014-01-20 in 2014.
'2014-01-21': True,
# Should not trigger at market open of 01-22, a Wednesday.
'2014-01-22': False,
}
results = {
x: rule.should_trigger(self.cal.next_open(T(x)))
for x in expected.keys()
}
self.assertEquals(expected, results)
# Ensure that offset from start of week also works around edge cases.
rule = NthTradingDayOfWeek(1)
rule.cal = self.cal
expected = {
# Should trigger at market open of 12-31, day after week start.
'2013-12-31': True,
# Should not trigger at market open of 1-2, a Thursday,
# day after a holiday.
'2014-01-02': False,
# Test around a Monday holiday, MLK day, to exercise
# week start on a Tuesday.
# MLK is 2014-01-20 in 2014.
# Should trigger at market open, two days after Monday hoilday.
'2014-01-22': True,
# Should not trigger at market open of 01-23, a Thursday.
'2014-01-23': False,
}
results = {
x: rule.should_trigger(self.cal.next_open(T(x)))
for x in expected.keys()
}
self.assertEquals(expected, results)
# `week_end`
rule = NDaysBeforeLastTradingDayOfWeek(0)
rule.cal = self.cal
expected = {
# Should trigger at market open of the Friday of the first week.
'2014-01-03': True,
# Should not trigger day before the end of the week.
'2014-01-02': False,
# Test around a Monday holiday, MLK day, to exercise week
# start on a Tuesday.
# MLK is 2014-01-20 in 2014.
# Should trigger at market open, on Friday after the holiday.
'2014-01-24': True,
# Should not trigger at market open of 01-23, a Thursday.
'2014-01-23': False,
}
results = {
x: rule.should_trigger(self.cal.next_open(T(x)))
for x in expected.keys()
}
self.assertEquals(expected, results)