def test_different_frequency():
set_easy_context()
StockRecorder()
reader = CSVReader(data_path='./', file_name=TICKER, ticker=TICKER)
MarketMaker._initialize_feeds()
MarketMaker._initialize_calendar()
cleaner = SMA(rolling_window=10, buffer_day=20, frequency=FREQUENCY)
cleaner.initialize_buffer_data(TICKER, buffer_day=20)
key = f'{TICKER}_{FREQUENCY}'
# 测试不同 frequency 是否会新建 cleaner feed
assert key + '_' + cleaner.name in reader.env.cleaners_feeds
# 低 frequency 的 cleaners feed 中 bar 的更新不超过系统 bar 时间
MarketMaker.env.cur_suspended_tickers.clear()
MarketMaker.calendar.update_calendar()
MarketMaker._update_bar()
cleaner.run()
cleaner_latest_date = cleaner.data[key]['date'][-1]
bar_latest_date = cleaner.env.feeds[TICKER].date
assert arrow.get(cleaner_latest_date) == arrow.get(bar_latest_date)
assert arrow.get(cleaner_latest_date) <= arrow.get(cleaner.env.sys_date)
func_test_update_cleaner(FREQUENCY)
func_test_update_cleaner('H1')
def test_frequency_generate():
# 若不指定 frequency， 是否会产生新的 frequency
set_easy_context()
StockRecorder()
reader = CSVReader(data_path='./', file_name=TICKER, ticker=TICKER)
MarketMaker._initialize_feeds()
MarketMaker._initialize_calendar()
cleaner = SMA(rolling_window=10, buffer_day=20)
cleaner.initialize_buffer_data(TICKER, buffer_day=20)
assert cleaner.frequency == FREQUENCY
def func_test_update_cleaner(frequency):
set_easy_context()
StockRecorder()
reader = CSVReader(data_path='./', file_name=TICKER, ticker=TICKER)
cleaner = SMA(rolling_window=10, buffer_day=10, frequency=frequency)
cleaner2 = SMA(rolling_window=10, buffer_day=1, frequency=frequency)
env = reader.env
# 初始化
MarketMaker._initialize_feeds()
MarketMaker._initialize_calendar()
MarketMaker._initialize_cleaners() # 以sys_date初始化
# 以 sys_date 来进行初始化数据，因为一开始 sys_date 会比 fromdate 向前一步
# 测试开始回测时 buffer 数据最新一条是否为 Start 前一根 bar 的数据。
key = f'{TICKER}_{frequency}'
assert arrow.get(cleaner.data[key]['date'][-1]) <= arrow.get(env.sys_date)
# sys_date和cleaner中的数据都更新到和fromdate同步
MarketMaker.calendar.update_calendar()
MarketMaker._update_bar()
cleaner.run()
if INSTRUMENT == 'A_Shares': # 测试buffer_day是否会自动变化
assert cleaner2.buffer_day == 5
if cleaner.frequency == env.sys_frequency:
cur_bar = env.feeds[TICKER]
else:
cur_bar = env.cleaners_feeds[key + '_' + cleaner.name]
# cleaner run之后日期一切正常
latest_date = cleaner.data[key]['date'][-1]
assert latest_date == cur_bar.date, f'{latest_date} != {cur_bar.date}'
# 测试更新后是否成功
env.execute_on_close_or_next_open = 'open'
env.cur_suspended_tickers.clear()
MarketMaker.calendar.update_calendar()
MarketMaker._update_bar()
cleaner.run()
latest_date = cleaner.data[key]['date'][-1]
assert latest_date == cur_bar.date, f'{latest_date} != {cur_bar.date}'
assert cleaner.data[key]['open'][-1] == cur_bar.current_ohlc['open']
assert cleaner.data[key]['high'][-1] == cur_bar.current_ohlc['high']
assert cleaner.data[key]['low'][-1] == cur_bar.current_ohlc['low']
assert cleaner.data[key]['close'][-1] == cur_bar.current_ohlc['close']
assert cleaner.data[key]['volume'][-1] == cur_bar.current_ohlc['volume']