def test_get_spot_value(self, tws):
dt = None # dt is not used in real broker
data_freq = 'minute'
asset = self.env.asset_finder.retrieve_asset(1)
bars = {'last_trade_price': [12, 10, 11, 14],
'last_trade_size': [1, 2, 3, 4],
'total_volume': [10, 10, 10, 10],
'vwap': [12.1, 10.1, 11.1, 14.1],
'single_trade_flag': [0, 1, 0, 1]}
last_trade_times = [pd.to_datetime('2017-06-16 10:30:00', utc=True),
pd.to_datetime('2017-06-16 10:30:11', utc=True),
pd.to_datetime('2017-06-16 10:30:30', utc=True),
pd.to_datetime('2017-06-17 10:31:9', utc=True)]
index = pd.DatetimeIndex(last_trade_times)
broker = IBBroker(sentinel.tws_uri)
tws.return_value.bars = {asset.symbol: pd.DataFrame(
index=index, data=bars)}
price = broker.get_spot_value(asset, 'price', dt, data_freq)
last_trade = broker.get_spot_value(asset, 'last_traded', dt, data_freq)
open_ = broker.get_spot_value(asset, 'open', dt, data_freq)
high = broker.get_spot_value(asset, 'high', dt, data_freq)
low = broker.get_spot_value(asset, 'low', dt, data_freq)
close = broker.get_spot_value(asset, 'close', dt, data_freq)
volume = broker.get_spot_value(asset, 'volume', dt, data_freq)
# Only the last minute is taken into account, therefore
# the first bar is ignored
assert price == bars['last_trade_price'][-1]
assert last_trade == last_trade_times[-1]
assert open_ == bars['last_trade_price'][1]
assert high == max(bars['last_trade_price'][1:])
assert low == min(bars['last_trade_price'][1:])
assert close == bars['last_trade_price'][-1]
assert volume == sum(bars['last_trade_size'][1:])
def test_transactions_not_created_for_incompl_orders(self, symbol_lookup):
with patch('zipline.gens.brokers.ib_broker.TWSConnection.connect'):
broker = IBBroker("localhost:9999:1111", account_id='TEST-123')
broker._tws.nextValidId(0)
asset = self.asset_finder.retrieve_asset(1)
symbol_lookup.return_value = asset
amount = -4
limit_price = 43.1
stop_price = 6
style = StopLimitOrder(limit_price=limit_price, stop_price=stop_price)
order = broker.order(asset, amount, style)
assert not broker.transactions
assert len(broker.orders) == 1
assert broker.orders[order.id].open
ib_order_id = order.broker_order_id
ib_contract = self._create_contract(str(asset.symbol))
action, qty, order_type, limit_price, stop_price = \
'SELL', 4, 'STP LMT', 4.3, 2
ib_order = self._create_order(action, qty, order_type, limit_price,
stop_price)
ib_state = self._create_order_state('PreSubmitted')
broker._tws.openOrder(ib_order_id, ib_contract, ib_order, ib_state)
broker._tws.orderStatus(ib_order_id,
status='Cancelled',
filled=0,
remaining=4,
avg_fill_price=0.0,
perm_id=4,
parent_id=4,
last_fill_price=0.0,
client_id=32,
why_held='')
assert not broker.transactions
assert len(broker.orders) == 1
assert not broker.orders[order.id].open
broker._tws.orderStatus(ib_order_id,
status='Inactive',
filled=0,
remaining=4,
avg_fill_price=0.0,
perm_id=4,
parent_id=4,
last_fill_price=0.0,
client_id=1111,
why_held='')
assert not broker.transactions
assert len(broker.orders) == 1
assert not broker.orders[order.id].open
def test_order_ref_serdes(self):
# Even though _creater_order_ref and _parse_order_ref is private
# it is helpful to test as it plays a key role to re-create orders
order = self._create_order("BUY", 66, "STP LMT", 13.4, 44.2)
serialized = IBBroker._create_order_ref(order)
deserialized = IBBroker._parse_order_ref(serialized)
assert deserialized['action'] == order.m_action
assert deserialized['qty'] == order.m_totalQuantity
assert deserialized['order_type'] == order.m_orderType
assert deserialized['limit_price'] == order.m_lmtPrice
assert deserialized['stop_price'] == order.m_auxPrice
assert (deserialized['dt'] - pd.to_datetime('now', utc=True) <
pd.Timedelta('10s'))
def test_order_ref_serdes(self):
# Even though _creater_order_ref and _parse_order_ref is private
# it is helpful to test as it plays a key role to re-create orders
order = self._create_order("BUY", 66, "STP LMT", 13.4, 44.2)
serialized = IBBroker._create_order_ref(order)
deserialized = IBBroker._parse_order_ref(serialized)
assert deserialized['action'] == order.m_action
assert deserialized['qty'] == order.m_totalQuantity
assert deserialized['order_type'] == order.m_orderType
assert deserialized['limit_price'] == order.m_lmtPrice
assert deserialized['stop_price'] == order.m_auxPrice
assert (deserialized['dt'] - pd.to_datetime('now', utc=True) <
pd.Timedelta('10s'))
def test_get_spot_value(self, tws):
dt = None # dt is not used in real broker
data_freq = 'minute'
asset = self.env.asset_finder.retrieve_asset(1)
bars = {'last_trade_price': [12, 10, 11, 14],
'last_trade_size': [1, 2, 3, 4],
'total_volume': [10, 10, 10, 10],
'vwap': [12.1, 10.1, 11.1, 14.1],
'single_trade_flag': [0, 1, 0, 1]}
last_trade_times = [pd.to_datetime('2017-06-16 10:30:00', utc=True),
pd.to_datetime('2017-06-16 10:30:11', utc=True),
pd.to_datetime('2017-06-16 10:30:30', utc=True),
pd.to_datetime('2017-06-17 10:31:9', utc=True)]
index = pd.DatetimeIndex(last_trade_times)
broker = IBBroker(sentinel.tws_uri)
tws.return_value.bars = {asset.symbol: pd.DataFrame(
index=index, data=bars)}
price = broker.get_spot_value(asset, 'price', dt, data_freq)
last_trade = broker.get_spot_value(asset, 'last_traded', dt, data_freq)
open_ = broker.get_spot_value(asset, 'open', dt, data_freq)
high = broker.get_spot_value(asset, 'high', dt, data_freq)
low = broker.get_spot_value(asset, 'low', dt, data_freq)
close = broker.get_spot_value(asset, 'close', dt, data_freq)
volume = broker.get_spot_value(asset, 'volume', dt, data_freq)
# Only the last minute is taken into account, therefore
# the first bar is ignored
assert price == bars['last_trade_price'][-1]
assert last_trade == last_trade_times[-1]
assert open_ == bars['last_trade_price'][1]
assert high == max(bars['last_trade_price'][1:])
assert low == min(bars['last_trade_price'][1:])
assert close == bars['last_trade_price'][-1]
assert volume == sum(bars['last_trade_size'][1:])
def test_transactions_created_for_complete_orders(self, symbol_lookup):
with patch('zipline.gens.brokers.ib_broker.TWSConnection.connect'):
broker = IBBroker("localhost:9999:1111", account_id='TEST-123')
broker._tws.nextValidId(0)
asset = self.asset_finder.retrieve_asset(1)
symbol_lookup.return_value = asset
order_count = 0
for amount, order_style in [(-112,
StopLimitOrder(limit_price=9,
stop_price=1)),
(43, LimitOrder(limit_price=10)),
(-99, StopOrder(stop_price=8)),
(-32, MarketOrder())]:
order = broker.order(asset, amount, order_style)
broker._tws.orderStatus(order.broker_order_id,
'Filled',
filled=int(fabs(amount)),
remaining=0,
avg_fill_price=111,
perm_id=0,
parent_id=1,
last_fill_price=112,
client_id=1111,
why_held='')
contract = self._create_contract(str(asset.symbol))
(shares, cum_qty, price, avg_price, exec_time, exec_id) = \
(int(fabs(amount)), int(fabs(amount)), 12.3, 12.31,
pd.to_datetime('now', utc=True), order_count)
exec_detail = self._create_exec_detail(order.broker_order_id,
shares, cum_qty, price,
avg_price, exec_time,
exec_id)
broker._tws.execDetails(0, contract, exec_detail)
order_count += 1
assert len(broker.transactions) == order_count
transactions = [
tx for tx in broker.transactions.values()
if tx.order_id == order.id
]
assert len(transactions) == 1
assert broker.transactions[exec_id].asset == asset
assert broker.transactions[exec_id].amount == order.amount
assert (broker.transactions[exec_id].dt -
pd.to_datetime('now', utc=True) < pd.Timedelta('10s'))
assert broker.transactions[exec_id].price == price
assert broker.orders[order.id].commission == 0
def test_orders_loaded_from_exec_details(self, symbol_lookup):
with patch('zipline.gens.brokers.ib_broker.TWSConnection.connect'):
broker = IBBroker("localhost:9999:1111", account_id='TEST-123')
asset = self.asset_finder.retrieve_asset(1)
symbol_lookup.return_value = asset
(req_id, ib_order_id, shares, cum_qty, price, avg_price, exec_time,
exec_id) = (7, 3, 12, 40, 12.43, 12.50, '20160101 14:20', 4)
ib_contract = self._create_contract(str(asset.symbol))
exec_detail = self._create_exec_detail(ib_order_id, shares,
cum_qty, price, avg_price,
exec_time, exec_id)
broker._tws.execDetails(req_id, ib_contract, exec_detail)
assert len(broker.orders) == 1
zp_order = list(broker.orders.values())[-1]
assert zp_order.broker_order_id == ib_order_id
assert zp_order.open
assert zp_order.asset == asset
assert zp_order.amount == -40
assert zp_order.limit == limit_price
assert zp_order.stop == stop_price
assert (zp_order.dt - pd.to_datetime('now', utc=True) <
pd.Timedelta('10s'))
def test_transactions_created_for_complete_orders(self, symbol_lookup):
with patch('zipline.gens.brokers.ib_broker.TWSConnection.connect'):
broker = IBBroker("localhost:9999:1111", account_id='TEST-123')
broker._tws.nextValidId(0)
asset = self.env.asset_finder.retrieve_asset(1)
symbol_lookup.return_value = asset
order_count = 0
for amount, order_style in [
(-112, StopLimitOrder(limit_price=9, stop_price=1)),
(43, LimitOrder(limit_price=10)),
(-99, StopOrder(stop_price=8)),
(-32, MarketOrder())]:
order = broker.order(asset, amount, order_style)
broker._tws.orderStatus(order.broker_order_id, 'Filled',
filled=int(fabs(amount)), remaining=0,
avg_fill_price=111, perm_id=0, parent_id=1,
last_fill_price=112, client_id=1111,
why_held='')
contract = self._create_contract(str(asset.symbol))
(shares, cum_qty, price, avg_price, exec_time, exec_id) = \
(int(fabs(amount)), int(fabs(amount)), 12.3, 12.31,
pd.to_datetime('now', utc=True), order_count)
exec_detail = self._create_exec_detail(
order.broker_order_id, shares, cum_qty,
price, avg_price, exec_time, exec_id)
broker._tws.execDetails(0, contract, exec_detail)
order_count += 1
assert len(broker.transactions) == order_count
transactions = [tx
for tx in broker.transactions.values()
if tx.order_id == order.id]
assert len(transactions) == 1
assert broker.transactions[exec_id].asset == asset
assert broker.transactions[exec_id].amount == order.amount
assert (broker.transactions[exec_id].dt -
pd.to_datetime('now', utc=True) < pd.Timedelta('10s'))
assert broker.transactions[exec_id].price == price
assert broker.transactions[exec_id].commission == 0
def test_orders_updated_from_order_status(self, symbol_lookup):
with patch('zipline.gens.brokers.ib_broker.TWSConnection.connect'):
broker = IBBroker("localhost:9999:1111", account_id='TEST-123')
broker._tws.nextValidId(0)
# orderStatus calls only work if a respective order has been created
asset = self.env.asset_finder.retrieve_asset(1)
symbol_lookup.return_value = asset
amount = -4
limit_price = 43.1
stop_price = 6
style = StopLimitOrder(limit_price=limit_price, stop_price=stop_price)
order = broker.order(asset, amount, style)
ib_order_id = order.broker_order_id
status = 'Filled'
filled = 14
remaining = 9
avg_fill_price = 12.4
perm_id = 99
parent_id = 88
last_fill_price = 12.3
client_id = 1111
why_held = ''
broker._tws.orderStatus(ib_order_id,
status, filled, remaining, avg_fill_price,
perm_id, parent_id, last_fill_price, client_id,
why_held)
assert len(broker.orders) == 1
zp_order = list(broker.orders.values())[-1]
assert zp_order.broker_order_id == ib_order_id
assert zp_order.status == ORDER_STATUS.FILLED
assert not zp_order.open
assert zp_order.asset == asset
assert zp_order.amount == amount
assert zp_order.limit == limit_price
assert zp_order.stop == stop_price
assert (zp_order.dt - pd.to_datetime('now', utc=True) <
pd.Timedelta('10s'))
def test_orders_updated_from_order_status(self, symbol_lookup):
with patch('zipline.gens.brokers.ib_broker.TWSConnection.connect'):
broker = IBBroker("localhost:9999:1111", account_id='TEST-123')
broker._tws.nextValidId(0)
# orderStatus calls only work if a respective order has been created
asset = self.asset_finder.retrieve_asset(1)
symbol_lookup.return_value = asset
amount = -4
limit_price = 43.1
stop_price = 6
style = StopLimitOrder(limit_price=limit_price, stop_price=stop_price)
order = broker.order(asset, amount, style)
ib_order_id = order.broker_order_id
status = 'Filled'
filled = 14
remaining = 9
avg_fill_price = 12.4
perm_id = 99
parent_id = 88
last_fill_price = 12.3
client_id = 1111
why_held = ''
broker._tws.orderStatus(ib_order_id, status, filled, remaining,
avg_fill_price, perm_id, parent_id,
last_fill_price, client_id, why_held)
assert len(broker.orders) == 1
zp_order = list(broker.orders.values())[-1]
assert zp_order.broker_order_id == ib_order_id
assert zp_order.status == ORDER_STATUS.FILLED
assert not zp_order.open
assert zp_order.asset == asset
assert zp_order.amount == amount
assert zp_order.limit == limit_price
assert zp_order.stop == stop_price
assert (zp_order.dt - pd.to_datetime('now', utc=True) <
pd.Timedelta('10s'))
def test_transactions_not_created_for_incompl_orders(self, symbol_lookup):
with patch('zipline.gens.brokers.ib_broker.TWSConnection.connect'):
broker = IBBroker("localhost:9999:1111", account_id='TEST-123')
broker._tws.nextValidId(0)
asset = self.env.asset_finder.retrieve_asset(1)
symbol_lookup.return_value = asset
amount = -4
limit_price = 43.1
stop_price = 6
style = StopLimitOrder(limit_price=limit_price, stop_price=stop_price)
order = broker.order(asset, amount, style)
assert not broker.transactions
assert len(broker.orders) == 1
assert broker.orders[order.id].open
ib_order_id = order.broker_order_id
ib_contract = self._create_contract(str(asset.symbol))
action, qty, order_type, limit_price, stop_price = \
'SELL', 4, 'STP LMT', 4.3, 2
ib_order = self._create_order(
action, qty, order_type, limit_price, stop_price)
ib_state = self._create_order_state('PreSubmitted')
broker._tws.openOrder(ib_order_id, ib_contract, ib_order, ib_state)
broker._tws.orderStatus(ib_order_id, status='Cancelled', filled=0,
remaining=4, avg_fill_price=0.0, perm_id=4,
parent_id=4, last_fill_price=0.0, client_id=32,
why_held='')
assert not broker.transactions
assert len(broker.orders) == 1
assert not broker.orders[order.id].open
broker._tws.orderStatus(ib_order_id, status='Inactive', filled=0,
remaining=4, avg_fill_price=0.0, perm_id=4,
parent_id=4, last_fill_price=0.0,
client_id=1111, why_held='')
assert not broker.transactions
assert len(broker.orders) == 1
assert not broker.orders[order.id].open
def test_new_order_appears_in_orders(self, symbol_lookup):
with patch('zipline.gens.brokers.ib_broker.TWSConnection.connect'):
broker = IBBroker("localhost:9999:1111", account_id='TEST-123')
broker._tws.nextValidId(0)
asset = self.env.asset_finder.retrieve_asset(1)
symbol_lookup.return_value = asset
amount = -4
limit_price = 43.1
stop_price = 6
style = StopLimitOrder(limit_price=limit_price, stop_price=stop_price)
order = broker.order(asset, amount, style)
assert len(broker.orders) == 1
assert broker.orders[order.id] == order
assert order.open
assert order.asset == asset
assert order.amount == amount
assert order.limit == limit_price
assert order.stop == stop_price
assert (order.dt - pd.to_datetime('now', utc=True) <
pd.Timedelta('10s'))
def test_new_order_appears_in_orders(self, symbol_lookup):
with patch('zipline.gens.brokers.ib_broker.TWSConnection.connect'):
broker = IBBroker("localhost:9999:1111", account_id='TEST-123')
broker._tws.nextValidId(0)
asset = self.asset_finder.retrieve_asset(1)
symbol_lookup.return_value = asset
amount = -4
limit_price = 43.1
stop_price = 6
style = StopLimitOrder(limit_price=limit_price, stop_price=stop_price)
order = broker.order(asset, amount, style)
assert len(broker.orders) == 1
assert broker.orders[order.id] == order
assert order.open
assert order.asset == asset
assert order.amount == amount
assert order.limit == limit_price
assert order.stop == stop_price
assert (order.dt - pd.to_datetime('now', utc=True) <
pd.Timedelta('10s'))
def test_multiple_orders(self, symbol_lookup):
with patch('zipline.gens.brokers.ib_broker.TWSConnection.connect'):
broker = IBBroker("localhost:9999:1111", account_id='TEST-123')
broker._tws.nextValidId(0)
asset = self.env.asset_finder.retrieve_asset(1)
symbol_lookup.return_value = asset
order_count = 0
for amount, order_style in [
(-112, StopLimitOrder(limit_price=9, stop_price=1)),
(43, LimitOrder(limit_price=10)),
(-99, StopOrder(stop_price=8)),
(-32, MarketOrder())]:
order = broker.order(asset, amount, order_style)
order_count += 1
assert order_count == len(broker.orders)
assert broker.orders[order.id] == order
is_buy = amount > 0
assert order.stop == order_style.get_stop_price(is_buy)
assert order.limit == order_style.get_limit_price(is_buy)
def test_multiple_orders(self, symbol_lookup):
with patch('zipline.gens.brokers.ib_broker.TWSConnection.connect'):
broker = IBBroker("localhost:9999:1111", account_id='TEST-123')
broker._tws.nextValidId(0)
asset = self.asset_finder.retrieve_asset(1)
symbol_lookup.return_value = asset
order_count = 0
for amount, order_style in [(-112,
StopLimitOrder(limit_price=9,
stop_price=1)),
(43, LimitOrder(limit_price=10)),
(-99, StopOrder(stop_price=8)),
(-32, MarketOrder())]:
order = broker.order(asset, amount, order_style)
order_count += 1
assert order_count == len(broker.orders)
assert broker.orders[order.id] == order
is_buy = amount > 0
assert order.stop == order_style.get_stop_price(is_buy)
assert order.limit == order_style.get_limit_price(is_buy)
def run_algorithm(start,
end,
initialize,
capital_base,
handle_data=None,
before_trading_start=None,
analyze=None,
data_frequency='daily',
data=None,
bundle=None,
bundle_timestamp=None,
default_extension=True,
extensions=(),
strict_extensions=True,
environ=os.environ,
live_trading=False,
tws_uri=None):
"""Run a trading algorithm.
Parameters
----------
start : datetime
The start date of the backtest.
end : datetime
The end date of the backtest..
initialize : callable[context -> None]
The initialize function to use for the algorithm. This is called once
at the very begining of the backtest and should be used to set up
any state needed by the algorithm.
capital_base : float
The starting capital for the backtest.
handle_data : callable[(context, BarData) -> None], optional
The handle_data function to use for the algorithm. This is called
every minute when ``data_frequency == 'minute'`` or every day
when ``data_frequency == 'daily'``.
before_trading_start : callable[(context, BarData) -> None], optional
The before_trading_start function for the algorithm. This is called
once before each trading day (after initialize on the first day).
analyze : callable[(context, pd.DataFrame) -> None], optional
The analyze function to use for the algorithm. This function is called
once at the end of the backtest and is passed the context and the
performance data.
data_frequency : {'daily', 'minute'}, optional
The data frequency to run the algorithm at.
data : pd.DataFrame, pd.Panel, or DataPortal, optional
The ohlcv data to run the backtest with.
This argument is mutually exclusive with:
``bundle``
``bundle_timestamp``
bundle : str, optional
The name of the data bundle to use to load the data to run the backtest
with. This defaults to 'quantopian-quandl'.
This argument is mutually exclusive with ``data``.
bundle_timestamp : datetime, optional
The datetime to lookup the bundle data for. This defaults to the
current time.
This argument is mutually exclusive with ``data``.
default_extension : bool, optional
Should the default zipline extension be loaded. This is found at
``$ZIPLINE_ROOT/extension.py``
extensions : iterable[str], optional
The names of any other extensions to load. Each element may either be
a dotted module path like ``a.b.c`` or a path to a python file ending
in ``.py`` like ``a/b/c.py``.
strict_extensions : bool, optional
Should the run fail if any extensions fail to load. If this is false,
a warning will be raised instead.
environ : mapping[str -> str], optional
The os environment to use. Many extensions use this to get parameters.
This defaults to ``os.environ``.
Returns
-------
perf : pd.DataFrame
The daily performance of the algorithm.
See Also
--------
zipline.data.bundles.bundles : The available data bundles.
"""
if live_trading is False:
raise KeyError('Live Interactive broker environment selected with backtest config')
load_extensions(default_extension, extensions, strict_extensions, environ)
non_none_data = valfilter(bool, {
'data': data is not None,
'bundle': bundle is not None,
})
if not non_none_data:
# if neither data nor bundle are passed use 'quantopian-quandl'
bundle = 'quantopian-quandl'
elif len(non_none_data) != 1:
raise ValueError(
'must specify one of `data`, `data_portal`, or `bundle`,'
' got: %r' % non_none_data,
)
elif 'bundle' not in non_none_data and bundle_timestamp is not None:
raise ValueError(
'cannot specify `bundle_timestamp` without passing `bundle`',
)
broker = IBBroker(tws_uri)
return _run(
handle_data=handle_data,
initialize=initialize,
before_trading_start=before_trading_start,
analyze=analyze,
algofile=None,
algotext=None,
defines=(),
data_frequency=data_frequency,
capital_base=capital_base,
data=data,
bundle=bundle,
bundle_timestamp=bundle_timestamp,
start=start,
end=end,
output=os.devnull,
print_algo=False,
local_namespace=False,
environ=environ,
broker=broker,
state_filename='test.state',
realtime_bar_target='realtime_bar'
)
def test_get_realtime_bars_produces_correct_df(self):
bars = self._tws_bars()
with patch('zipline.gens.brokers.ib_broker.TWSConnection'):
broker = IBBroker(sentinel.tws_uri)
broker._tws.bars = bars
assets = (self.env.asset_finder.retrieve_asset(1),
self.env.asset_finder.retrieve_asset(2))
realtime_history = broker.get_realtime_bars(assets, '1m')
asset_spy = self.env.asset_finder.retrieve_asset(1)
asset_xiv = self.env.asset_finder.retrieve_asset(2)
assert asset_spy in realtime_history
assert asset_xiv in realtime_history
spy = realtime_history[asset_spy]
xiv = realtime_history[asset_xiv]
assert list(spy.columns) == ['open', 'high', 'low', 'close', 'volume']
assert list(xiv.columns) == ['open', 'high', 'low', 'close', 'volume']
# There are 159 minutes between the first (XIV @ 2017-09-27 9:32:00)
# and the last bar (SPY @ 2017-09-27 12:10:00)
assert len(realtime_history) == 159
spy_non_na = spy.dropna()
xiv_non_na = xiv.dropna()
assert len(spy_non_na) == 4
assert len(xiv_non_na) == 3
assert spy_non_na.iloc[0].name == pd.to_datetime(
'2017-09-27 10:30:00', utc=True)
assert spy_non_na.iloc[0].open == 12.40
assert spy_non_na.iloc[0].high == 12.41
assert spy_non_na.iloc[0].low == 12.40
assert spy_non_na.iloc[0].close == 12.41
assert spy_non_na.iloc[0].volume == 20
assert spy_non_na.iloc[1].name == pd.to_datetime(
'2017-09-27 10:31:00', utc=True)
assert spy_non_na.iloc[1].open == 12.44
assert spy_non_na.iloc[1].high == 12.44
assert spy_non_na.iloc[1].low == 12.44
assert spy_non_na.iloc[1].close == 12.44
assert spy_non_na.iloc[1].volume == 20
assert spy_non_na.iloc[-1].name == pd.to_datetime(
'2017-09-27 12:10:00', utc=True)
assert spy_non_na.iloc[-1].open == 12.99
assert spy_non_na.iloc[-1].high == 12.99
assert spy_non_na.iloc[-1].low == 12.99
assert spy_non_na.iloc[-1].close == 12.99
assert spy_non_na.iloc[-1].volume == 15
assert xiv_non_na.iloc[0].name == pd.to_datetime(
'2017-09-27 9:32:00', utc=True)
assert xiv_non_na.iloc[0].open == 100.4
assert xiv_non_na.iloc[0].high == 100.41
assert xiv_non_na.iloc[0].low == 100.4
assert xiv_non_na.iloc[0].close == 100.41
assert xiv_non_na.iloc[0].volume == 200
def test_get_realtime_bars_produces_correct_df(self):
bars = self._tws_bars()
with patch('zipline.gens.brokers.ib_broker.TWSConnection'):
broker = IBBroker(sentinel.tws_uri)
broker._tws.bars = bars
assets = (self.asset_finder.retrieve_asset(1),
self.asset_finder.retrieve_asset(2))
realtime_history = broker.get_realtime_bars(assets, '1m')
asset_spy = self.asset_finder.retrieve_asset(1)
asset_xiv = self.asset_finder.retrieve_asset(2)
assert asset_spy in realtime_history
assert asset_xiv in realtime_history
spy = realtime_history[asset_spy]
xiv = realtime_history[asset_xiv]
assert list(spy.columns) == ['open', 'high', 'low', 'close', 'volume']
assert list(xiv.columns) == ['open', 'high', 'low', 'close', 'volume']
# There are 159 minutes between the first (XIV @ 2017-09-27 9:32:00)
# and the last bar (SPY @ 2017-09-27 12:10:00)
assert len(realtime_history) == 159
spy_non_na = spy.dropna()
xiv_non_na = xiv.dropna()
assert len(spy_non_na) == 4
assert len(xiv_non_na) == 3
assert spy_non_na.iloc[0].name == pd.to_datetime('2017-09-27 10:30:00',
utc=True)
assert spy_non_na.iloc[0].open == 12.40
assert spy_non_na.iloc[0].high == 12.41
assert spy_non_na.iloc[0].low == 12.40
assert spy_non_na.iloc[0].close == 12.41
assert spy_non_na.iloc[0].volume == 20
assert spy_non_na.iloc[1].name == pd.to_datetime('2017-09-27 10:31:00',
utc=True)
assert spy_non_na.iloc[1].open == 12.44
assert spy_non_na.iloc[1].high == 12.44
assert spy_non_na.iloc[1].low == 12.44
assert spy_non_na.iloc[1].close == 12.44
assert spy_non_na.iloc[1].volume == 20
assert spy_non_na.iloc[-1].name == pd.to_datetime(
'2017-09-27 12:10:00', utc=True)
assert spy_non_na.iloc[-1].open == 12.99
assert spy_non_na.iloc[-1].high == 12.99
assert spy_non_na.iloc[-1].low == 12.99
assert spy_non_na.iloc[-1].close == 12.99
assert spy_non_na.iloc[-1].volume == 15
assert xiv_non_na.iloc[0].name == pd.to_datetime('2017-09-27 9:32:00',
utc=True)
assert xiv_non_na.iloc[0].open == 100.4
assert xiv_non_na.iloc[0].high == 100.41
assert xiv_non_na.iloc[0].low == 100.4
assert xiv_non_na.iloc[0].close == 100.41
assert xiv_non_na.iloc[0].volume == 200