def test_data_from_data_utils(self):
feature_df, price_s = create_toy_feature(order_book_ids_number=2,
feature_number=3,
start="2020-01-01",
end="2020-01-11",
random_seed=555)
print(price_s)
data_source = DataSource(feature_df=feature_df, price_s=price_s)
#availabel_dts
availabel_dts = data_source.get_available_trading_dts()
first_dt_expected = pd.Timestamp("2020-01-01")
first_dt = availabel_dts[0]
self.assertEqual(first_dt, first_dt_expected)
end_dt_expected = pd.Timestamp("2020-01-11")
end_dt = availabel_dts[-1]
self.assertEqual(end_dt, end_dt_expected)
#get_availabel_order_book_ids
order_book_ids = data_source.get_available_order_book_ids()
forth_dt_expected = pd.Timestamp("2020-01-04")
forth_dt = availabel_dts[3]
self.assertEqual(forth_dt, forth_dt_expected)
#get state
#state = data_source.history_bars(order_book_ids=order_book_ids, dt=availabel_dts[3], bar_count=2)
#get last price
last_price = data_source.get_last_price(
order_book_id=order_book_ids[0], dt=forth_dt_expected)
last_price_expected = 20.11
self.assertEqual(last_price, last_price_expected)
class TestOneObjectImplmentCorrection(unittest.TestCase):
def setUp(self):
feature_df, price_s = create_toy_feature(order_book_ids_number=2,
feature_number=3,
start="2020-01-01",
end="2020-01-11",
random_seed=111)
self.data_source = DataSource(feature_df=feature_df, price_s=price_s)
self.look_backward_window = 2
self.starting_cash = {"STOCK": 1000000, "FUTURE": 10000}
self.env = TradingEnv(data_source=self.data_source,
look_backward_window=self.look_backward_window,
mode="rl",
starting_cash=self.starting_cash)
def test_portfolio_setup(self):
portfolio = Context.get_instance().portfolio
expected_total_value = sum(self.starting_cash.values())
actual_total_value = portfolio.total_value
self.assertEqual(actual_total_value, expected_total_value)
def test_trading_dts_setup(self):
#test available trading dts
all_trading_dts = self.data_source.get_available_trading_dts()
expected_available_trading_dts = all_trading_dts[self.
look_backward_window -
1:]
actual_available_trading_dts = Context.get_instance(
).get_available_trading_dts()
self.assertListEqual(list(actual_available_trading_dts),
list(expected_available_trading_dts))
#test the first trading dt
expected_first_trading_dt = expected_available_trading_dts[0]
actual_first_trading_dt = Context.get_instance().trading_dt
self.assertEqual(actual_first_trading_dt, expected_first_trading_dt)
order_book_ids = self.data_source.get_available_order_book_ids()
expected_first_last_price = self.data_source.get_last_price(
order_book_id=order_book_ids[0], dt=expected_first_trading_dt)
actual_first_last_price = Context.get_instance().get_last_price(
order_book_id=order_book_ids[0])
self.assertEqual(actual_first_last_price, expected_first_last_price)