def test_normal(self):
days_to_use = self.sim_params.sessions[1:]
source = BenchmarkSource(self.asset_finder.retrieve_asset(1),
self.trading_calendar, days_to_use,
self.data_portal)
# should be the equivalent of getting the price history, then doing
# a pct_change on it
manually_calculated = self.data_portal.get_history_window(
[1],
days_to_use[-1],
len(days_to_use),
"1d",
"close",
"daily",
)[1].pct_change()
# compare all the fields except the first one, for which we don't have
# data in manually_calculated
for idx, day in enumerate(days_to_use[1:]):
self.assertEqual(source.get_value(day),
manually_calculated[idx + 1])
# compare a slice of the data
assert_series_equal(source.get_range(days_to_use[1], days_to_use[10]),
manually_calculated[1:11])
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.env.minutes_for_days_in_range(
self.sim_params.trading_days[0], self.sim_params.trading_days[5])
path = write_minute_data(self.env, self.tempdir, minutes, [2])
self.data_portal._minutes_equities_path = path
source = BenchmarkSource(2, self.env, self.sim_params.trading_days,
self.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 = self.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_asset_not_trading(self):
benchmark = self.env.asset_finder.retrieve_asset(3)
benchmark_start = benchmark.start_date
benchmark_end = benchmark.end_date
with self.assertRaises(BenchmarkAssetNotAvailableTooEarly) as exc:
BenchmarkSource(
3,
self.env,
self.trading_calendar,
self.sim_params.sessions[1:],
self.data_portal
)
self.assertEqual(
'3 does not exist on %s. It started trading on %s.' %
(self.sim_params.sessions[1], benchmark_start),
exc.exception.message
)
with self.assertRaises(BenchmarkAssetNotAvailableTooLate) as exc2:
BenchmarkSource(
3,
self.env,
self.trading_calendar,
self.sim_params.sessions[120:],
self.data_portal
)
self.assertEqual(
'3 does not exist on %s. It stopped trading on %s.' %
(self.sim_params.sessions[-1], benchmark_end),
exc2.exception.message
)
def test_asset_not_trading(self):
with self.assertRaises(BenchmarkAssetNotAvailableTooEarly) as exc:
BenchmarkSource(
3,
self.env,
self.sim_params.trading_days[1:],
self.data_portal
)
self.assertEqual(
'3 does not exist on 2006-01-04 00:00:00+00:00. '
'It started trading on 2006-05-26 00:00:00+00:00.',
exc.exception.message
)
with self.assertRaises(BenchmarkAssetNotAvailableTooLate) as exc2:
BenchmarkSource(
3,
self.env,
self.sim_params.trading_days[120:],
self.data_portal
)
self.assertEqual(
'3 does not exist on 2006-06-26 00:00:00+00:00. '
'It stopped trading on 2006-08-09 00:00:00+00:00.',
exc2.exception.message
)
def test_normal(self):
days_to_use = self.sim_params.sessions[1:]
source = BenchmarkSource(
self.env.asset_finder.retrieve_asset(1),
self.trading_calendar,
days_to_use,
self.data_portal
)
# should be the equivalent of getting the price history, then doing
# a pct_change on it
manually_calculated = self.data_portal.get_history_window(
[1],
days_to_use[-1],
len(days_to_use),
"1d",
"close",
"daily",
)[1].pct_change()
# compare all the fields except the first one, for which we don't have
# data in manually_calculated
for idx, day in enumerate(days_to_use[1:]):
self.assertEqual(
source.get_value(day),
manually_calculated[idx + 1]
)
# compare a slice of the data
assert_series_equal(
source.get_range(days_to_use[1], days_to_use[10]),
manually_calculated[1:11]
)
def test_asset_not_trading(self):
benchmark = self.asset_finder.retrieve_asset(3)
benchmark_start = benchmark.start_date
benchmark_end = benchmark.end_date
expected_msg = (
f"Equity(3 [C]) does not exist on {self.sim_params.sessions[1]}. "
f"It started trading on {benchmark_start}.")
with pytest.raises(BenchmarkAssetNotAvailableTooEarly,
match=re.escape(expected_msg)):
BenchmarkSource(
benchmark,
self.trading_calendar,
self.sim_params.sessions[1:],
self.data_portal,
)
expected_msg = (
f"Equity(3 [C]) does not exist on {self.sim_params.sessions[-1]}. "
f"It stopped trading on {benchmark_end}.")
with pytest.raises(BenchmarkAssetNotAvailableTooLate,
match=re.escape(expected_msg)):
BenchmarkSource(
benchmark,
self.trading_calendar,
self.sim_params.sessions[120:],
self.data_portal,
)
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_calendar.minutes_for_sessions_in_range(
self.sim_params.sessions[0],
self.sim_params.sessions[5]
)
tmp_reader = tmp_bcolz_equity_minute_bar_reader(
self.trading_calendar,
self.trading_calendar.all_sessions,
create_minute_bar_data(minutes, [2]),
)
with tmp_reader as reader:
data_portal = DataPortal(
self.env.asset_finder, self.trading_calendar,
first_trading_day=reader.first_trading_day,
equity_minute_reader=reader,
equity_daily_reader=self.bcolz_equity_daily_bar_reader,
adjustment_reader=self.adjustment_reader,
)
source = BenchmarkSource(
2,
self.env,
self.trading_calendar,
self.sim_params.sessions,
data_portal
)
days_to_use = self.sim_params.sessions
# 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",
"daily",
)[2].pct_change()
for idx, day in enumerate(days_to_use[1:]):
self.assertEqual(
source.get_value(day),
manually_calculated[idx + 1]
)
def test_normal(self):
days_to_use = self.sim_params.trading_days[1:]
source = BenchmarkSource(1, self.env, days_to_use, self.data_portal)
# should be the equivalent of getting the price history, then doing
# a pct_change on it
manually_calculated = self.data_portal.get_history_window(
[1], days_to_use[-1], len(days_to_use), "1d",
"close")[1].pct_change()
# compare all the fields except the first one, for which we don't have
# data in manually_calculated
for idx, day in enumerate(days_to_use[1:]):
self.assertEqual(source.get_value(day),
manually_calculated[idx + 1])
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_calendar.minutes_for_sessions_in_range(
self.sim_params.sessions[0],
self.sim_params.sessions[5]
)
tmp_reader = tmp_bcolz_equity_minute_bar_reader(
self.trading_calendar,
self.trading_calendar.all_sessions,
create_minute_bar_data(minutes, [2]),
)
with tmp_reader as reader:
data_portal = DataPortal(
self.env.asset_finder, self.trading_calendar,
first_trading_day=reader.first_trading_day,
equity_minute_reader=reader,
equity_daily_reader=self.bcolz_equity_daily_bar_reader,
adjustment_reader=self.adjustment_reader,
)
source = BenchmarkSource(
2,
self.env,
self.trading_calendar,
self.sim_params.sessions,
data_portal
)
days_to_use = self.sim_params.sessions
# 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_normal(self):
days_to_use = self.sim_params.trading_days[1:]
source = BenchmarkSource(
1, self.env, days_to_use, self.data_portal
)
# should be the equivalent of getting the price history, then doing
# a pct_change on it
manually_calculated = self.data_portal.get_history_window(
[1], days_to_use[-1], len(days_to_use), "1d", "close"
)[1].pct_change()
# compare all the fields except the first one, for which we don't have
# data in manually_calculated
for idx, day in enumerate(days_to_use[1:]):
self.assertEqual(
source.get_value(day),
manually_calculated[idx + 1]
)
def test_no_stock_dividends_allowed(self):
# try to use sid(4) as benchmark, should blow up due to the presence
# of a stock dividend
with self.assertRaises(InvalidBenchmarkAsset) as exc:
BenchmarkSource(4, self.env, self.sim_params.trading_days,
self.data_portal)
self.assertEqual(
"4 cannot be used as the benchmark because it has a "
"stock dividend on 2006-03-16 00:00:00. Choose "
"another asset to use as the benchmark.", exc.exception.message)
def test_no_stock_dividends_allowed(self):
# try to use sid(4) as benchmark, should blow up due to the presence
# of a stock dividend
with self.assertRaises(InvalidBenchmarkAsset) as exc:
BenchmarkSource(self.asset_finder.retrieve_asset(4),
self.trading_calendar, self.sim_params.sessions,
self.data_portal)
self.assertEqual(
"Equity(4 [D]) cannot be used as the benchmark "
"because it has a stock dividend on 2006-03-16 "
"00:00:00. Choose another asset to use as the "
"benchmark.", exc.exception.message)
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.env.minutes_for_days_in_range(
self.sim_params.trading_days[0],
self.sim_params.trading_days[5]
)
path = write_minute_data(
self.env,
self.tempdir,
minutes,
[2]
)
self.data_portal._minutes_equities_path = path
source = BenchmarkSource(
2,
self.env,
self.sim_params.trading_days,
self.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 = self.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_no_stock_dividends_allowed(self):
# try to use sid(4) as benchmark, should blow up due to the presence
# of a stock dividend
err_msg = ("Equity(4 [D]) cannot be used as the benchmark "
"because it has a stock dividend on 2006-03-16 "
"00:00:00. Choose another asset to use as the "
"benchmark.")
with pytest.raises(InvalidBenchmarkAsset, match=re.escape(err_msg)):
BenchmarkSource(
self.asset_finder.retrieve_asset(4),
self.trading_calendar,
self.sim_params.sessions,
self.data_portal,
)
