def test_market_hours_calculations(self):
with trading.TradingEnvironment():
# DST in US/Eastern began on Sunday March 14, 2010
before = datetime.datetime(2010, 3, 12, 14, 31, tzinfo=pytz.utc)
after = factory.get_next_trading_dt(before,
datetime.timedelta(days=1))
self.assertEqual(after.hour, 13)
def test_ending_before_pay_date(self):
# post some trades in the market
events = factory.create_trade_history(1, [10, 10, 10, 10, 10],
[100, 100, 100, 100, 100],
oneday, self.sim_params)
pay_date = self.sim_params.first_open
# find pay date that is much later.
for i in xrange(30):
pay_date = factory.get_next_trading_dt(pay_date, oneday)
dividend = factory.create_dividend(1, 10.00, events[0].dt,
events[1].dt, pay_date)
buy_txn = create_txn(events[1], 10.0, 100)
events.insert(2, buy_txn)
events.insert(1, dividend)
results = calculate_results(self, events)
self.assertEqual(len(results), 5)
cumulative_returns = \
[event['cumulative_perf']['returns'] for event in results]
self.assertEqual(cumulative_returns, [0, 0, 0, 0.0, 0.0])
daily_returns = [event['daily_perf']['returns'] for event in results]
self.assertEqual(daily_returns, [0, 0, 0, 0, 0])
cash_flows = [event['daily_perf']['capital_used'] for event in results]
self.assertEqual(cash_flows, [0, -1000, 0, 0, 0])
cumulative_cash_flows = \
[event['cumulative_perf']['capital_used'] for event in results]
self.assertEqual(cumulative_cash_flows,
[0, -1000, -1000, -1000, -1000])
def test_ending_before_pay_date(self):
# post some trades in the market
events = factory.create_trade_history(
1, [10, 10, 10, 10, 10], [100, 100, 100, 100, 100], oneday, self.sim_params
)
pay_date = self.sim_params.first_open
# find pay date that is much later.
for i in xrange(30):
pay_date = factory.get_next_trading_dt(pay_date, oneday)
dividend = factory.create_dividend(1, 10.00, events[0].dt, events[1].dt, pay_date)
buy_txn = create_txn(1, 10.0, 100, events[1].dt)
events.insert(2, buy_txn)
events.insert(1, dividend)
results = calculate_results(self, events)
self.assertEqual(len(results), 5)
cumulative_returns = [event["cumulative_perf"]["returns"] for event in results]
self.assertEqual(cumulative_returns, [0, 0, 0, 0.0, 0.0])
daily_returns = [event["daily_perf"]["returns"] for event in results]
self.assertEqual(daily_returns, [0, 0, 0, 0, 0])
cash_flows = [event["daily_perf"]["capital_used"] for event in results]
self.assertEqual(cash_flows, [0, -1000, 0, 0, 0])
cumulative_cash_flows = [event["cumulative_perf"]["capital_used"] for event in results]
self.assertEqual(cumulative_cash_flows, [0, -1000, -1000, -1000, -1000])
def test_market_hours_calculations(self):
with trading.TradingEnvironment():
# DST in US/Eastern began on Sunday March 14, 2010
before = datetime(2010, 3, 12, 14, 31, tzinfo=pytz.utc)
after = factory.get_next_trading_dt(
before,
timedelta(days=1)
)
self.assertEqual(after.hour, 13)
def test_ending_before_pay_date(self):
# post some trades in the market
events = factory.create_trade_history(
1,
[10, 10, 10, 10, 10],
[100, 100, 100, 100, 100],
oneday,
self.sim_params
)
pay_date = self.sim_params.first_open
# find pay date that is much later.
for i in range(30):
pay_date = factory.get_next_trading_dt(pay_date, oneday)
dividend = factory.create_dividend(
1,
10.00,
events[0].dt,
events[0].dt,
pay_date
)
txns = [create_txn(events[1], 10.0, 100)]
results = calculate_results(
self,
events,
dividend_events=[dividend],
txns=txns,
)
self.assertEqual(len(results), 5)
cumulative_returns = \
[event['cumulative_perf']['returns'] for event in results]
self.assertEqual(cumulative_returns, [0, 0, 0, 0.0, 0.0])
daily_returns = [event['daily_perf']['returns'] for event in results]
self.assertEqual(daily_returns, [0, 0, 0, 0, 0])
cash_flows = [event['daily_perf']['capital_used'] for event in results]
self.assertEqual(cash_flows, [0, -1000, 0, 0, 0])
cumulative_cash_flows = \
[event['cumulative_perf']['capital_used'] for event in results]
self.assertEqual(
cumulative_cash_flows,
[0, -1000, -1000, -1000, -1000]
)
