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_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]
)
