def test_size(self):
ts = DataSeriesTest.factory.build_time_series(series_id="test")
series = DataSeries(time_series=ts)
self.assertEqual(0, series.size())
series.add(data={"timestamp": 0, "v1": 1})
self.assertEqual(1, series.size())
series.add(data={"timestamp": 1, "v1": 1})
self.assertEqual(2, series.size())
class PnlAnalyzer(Analyzer):
Pnl = "Pnl"
def __init__(self, portfolio, state):
self.portfolio = portfolio
self.state = state
self.series = DataSeries(time_series=self.state.pnl.series)
def update(self, timestamp: int, total_equity: float):
performance_series = self.portfolio.performance.series
if self.series.size() >= 2:
self.state.pnl.last_pnl = performance_series.get_by_idx(-1, PerformanceAnalyzer.TotalEquity) - \
performance_series.get_by_idx(-2, PerformanceAnalyzer.TotalEquity)
self.series.add(timestamp=timestamp, data={self.Pnl: self.state.pnl.last_pnl})
else:
self.state.pnl.last_pnl = 0
self.series.add(timestamp=timestamp, data={self.Pnl: self.state.pnl.last_pnl})
def get_result(self):
return {self.Pnl: self.state.pnl.last_pnl}
def get_series(self, keys=None):
keys = keys if keys else self.Pnl
return {self.Pnl: self.series.get_series(self.Pnl)}
def last_pnl(self) -> float:
return self.state.pnl.last_pnl
def test_override_w_same_time(self):
ts = DataSeriesTest.factory.build_time_series(series_id="test", keys=["timestamp", "v1", "v2", "v3"])
series = DataSeries(time_series=ts)
series.add(data={"timestamp": 1, "v1": 2, "v2": 3})
self.assertEqual(1, series.size())
self.assertEqual(2, series.get_by_idx(0, "v1"))
self.assertEqual(2, series.get_by_time(1, "v1"))
self.assertEqual(3, series.get_by_idx(0, "v2"))
self.assertEqual(3, series.get_by_time(1, "v2"))
self.assertEqual(0.0, series.get_by_idx(0, "v3"))
self.assertEqual(0.0, series.get_by_time(1, "v3"))
series.add(data={"timestamp": 1, "v1": 2.4, "v2": 3.4, "v3": 1.1})
self.assertEqual(1, series.size())
self.assertEqual(2.4, series.get_by_idx(0, "v1"))
self.assertEqual(2.4, series.get_by_time(1, "v1"))
self.assertEqual(3.4, series.get_by_idx(0, "v2"))
self.assertEqual(3.4, series.get_by_time(1, "v2"))
self.assertEqual(1.1, series.get_by_idx(0, "v3"))
self.assertEqual(1.1, series.get_by_time(1, "v3"))
series.add(data={"timestamp": 2, "v1": 2.6, "v2": 3.6})
self.assertEqual(2, series.size())
self.assertEqual(2.4, series.get_by_idx(0, "v1"))
self.assertEqual(2.4, series.get_by_time(1, "v1"))
self.assertEqual(3.4, series.get_by_idx(0, "v2"))
self.assertEqual(3.4, series.get_by_time(1, "v2"))
self.assertEqual(1.1, series.get_by_idx(0, "v3"))
self.assertEqual(1.1, series.get_by_time(1, "v3"))
self.assertEqual(2.6, series.get_by_idx(1, "v1"))
self.assertEqual(2.6, series.get_by_time(2, "v1"))
self.assertEqual(3.6, series.get_by_idx(1, "v2"))
self.assertEqual(3.6, series.get_by_time(2, "v2"))
self.assertEqual(0.0, series.get_by_idx(1, "v3"))
self.assertEqual(0.0, series.get_by_time(2, "v3"))
def test_init_w_data(self):
ts = DataSeriesTest.factory.build_time_series(series_id="test",
keys=["v1"])
DataSeriesTest.factory.add_time_series_item(ts, 0, {"v1": 1})
DataSeriesTest.factory.add_time_series_item(ts, 1, {"v1": 2})
series = DataSeries(time_series=ts)
self.assertEqual(2, series.size())
result = series.get_data()
self.assertEqual(2, len(result))
self.assertEqual(1, result[0]["v1"])
self.assertEqual(2, result[1]["v1"])