def __init__(self, start=start_default, end=end_default):
with warnings.catch_warnings():
warnings.simplefilter('ignore')
_all_days = date_range(start, end, freq=self.day, tz='UTC')
self._lunch_break_starts = days_at_time(_all_days, lunch_break_start,
self.tz, 0)
self._lunch_break_ends = days_at_time(_all_days, lunch_break_end,
self.tz, 0)
TradingCalendar.__init__(self, start=start_default, end=end_default)
def verify_bts_during_session(self, bts_time, bts_session_times, bts_idx):
def _check_session_bts_during(session_label, events, bts_dt):
minutes = self.nyse_calendar.minutes_for_session(session_label)
self.assertEqual(393, len(events))
self.assertEqual(events[0], (session_label, SESSION_START))
for i in range(1, bts_idx):
self.assertEqual(events[i], (minutes[i - 1], BAR))
self.assertEqual(events[bts_idx],
(bts_dt, BEFORE_TRADING_START_BAR))
for i in range(bts_idx + 1, 391):
self.assertEqual(events[i], (minutes[i - 2], BAR))
self.assertEqual(events[392], (minutes[-1], SESSION_END))
clock = MinuteSimulationClock(
self.sessions, self.opens, self.closes,
days_at_time(self.sessions, bts_time, "US/Eastern"), False)
all_events = list(clock)
_check_session_bts_during(self.sessions[0], all_events[0:393],
bts_session_times[0])
_check_session_bts_during(self.sessions[1], all_events[393:786],
bts_session_times[1])
_check_session_bts_during(self.sessions[2], all_events[786:],
bts_session_times[2])
def test_bts_before_session(self):
clock = MinuteSimulationClock(
self.sessions, self.opens, self.closes,
days_at_time(self.sessions, time(6, 17), "US/Eastern"), False)
all_events = list(clock)
def _check_session_bts_first(session_label, events, bts_dt):
minutes = self.nyse_calendar.minutes_for_session(session_label)
self.assertEqual(393, len(events))
self.assertEqual(events[0], (session_label, SESSION_START))
self.assertEqual(events[1], (bts_dt, BEFORE_TRADING_START_BAR))
for i in range(2, 392):
self.assertEqual(events[i], (minutes[i - 2], BAR))
self.assertEqual(events[392], (minutes[-1], SESSION_END))
_check_session_bts_first(
self.sessions[0], all_events[0:393],
pd.Timestamp("2016-07-15 6:17", tz='US/Eastern'))
_check_session_bts_first(
self.sessions[1], all_events[393:786],
pd.Timestamp("2016-07-18 6:17", tz='US/Eastern'))
_check_session_bts_first(
self.sessions[2], all_events[786:],
pd.Timestamp("2016-07-19 6:17", tz='US/Eastern'))
def test_bts_after_session(self):
clock = MinuteSimulationClock(
self.sessions, self.opens, self.closes,
days_at_time(self.sessions, time(19, 5), "US/Eastern"), False)
all_events = list(clock)
# since 19:05 Eastern is after the NYSE is closed, we don't emit
# BEFORE_TRADING_START. therefore, each day has SESSION_START,
# 390 BARs, and then SESSION_END
def _check_session_bts_after(session_label, events):
minutes = self.nyse_calendar.minutes_for_session(session_label)
self.assertEqual(392, len(events))
self.assertEqual(events[0], (session_label, SESSION_START))
for i in range(1, 391):
self.assertEqual(events[i], (minutes[i - 1], BAR))
self.assertEqual(events[-1], (minutes[389], SESSION_END))
for i in range(0, 2):
_check_session_bts_after(self.sessions[i],
all_events[(i * 392):((i + 1) * 392)])
def test_before_trading_start(self, test_name, num_days, freq,
emission_rate):
params = factory.create_simulation_parameters(
num_days=num_days, data_frequency=freq,
emission_rate=emission_rate)
def fake_benchmark(self, dt):
return 0.01
with patch.object(BenchmarkSource, "get_value",
self.fake_minutely_benchmark):
algo = BeforeTradingAlgorithm(sim_params=params, env=self.env)
algo.run(FakeDataPortal(self.env))
self.assertEqual(
len(algo.perf_tracker.sim_params.sessions),
num_days
)
bts_minutes = days_at_time(
params.sessions, time(8, 45), "US/Eastern"
)
self.assertTrue(
bts_minutes.equals(
pd.DatetimeIndex(algo.before_trading_at)
),
"Expected %s but was %s." % (params.sessions,
algo.before_trading_at))
def test_current_session(self):
regular_minutes = self.trading_calendar.minutes_for_sessions_in_range(
self.equity_minute_bar_days[0], self.equity_minute_bar_days[-1])
bts_minutes = days_at_time(self.equity_minute_bar_days, time(8, 45),
"US/Eastern")
# some other non-market-minute
three_oh_six_am_minutes = days_at_time(self.equity_minute_bar_days,
time(3, 6), "US/Eastern")
all_minutes = [regular_minutes, bts_minutes, three_oh_six_am_minutes]
for minute in list(concat(all_minutes)):
bar_data = self.create_bardata(lambda: minute)
self.assertEqual(
self.trading_calendar.minute_to_session_label(minute),
bar_data.current_session)
def __init__(self, start=start_default, end=end_default):
with warnings.catch_warnings():
warnings.simplefilter('ignore')
_all_days = date_range(start, end, freq=self.day, tz='UTC')
self._lunch_break_starts = days_at_time(_all_days, lunch_break_start, self.tz, 0)
self._lunch_break_ends = days_at_time(_all_days, lunch_break_end, self.tz, 0)
TradingCalendar.__init__(self, start=start_default, end=end_default)
self.schedule = pd.DataFrame(
index=_all_days,
columns=['market_open', 'market_close', 'lunch_break_start', 'lunch_break_end'],
data={
'market_open': self._opens,
'market_close': self._closes,
'lunch_break_start': self._lunch_break_starts,
'lunch_break_end': self._lunch_break_ends
},
dtype='datetime64[ns]',
)
def test_days_at_time(self, day, day_offset, time_offset, tz, expected):
days = pd.DatetimeIndex([pd.Timestamp(day, tz=tz)])
result = days_at_time(days, time_offset, tz, day_offset)[0]
expected = pd.Timestamp(expected, tz=tz).tz_convert('UTC')
self.assertEqual(result, expected)
