def testRankedSecurityValueHolder(self):
benchmark = SecurityLatestValueHolder(dependency='close')
rankHolder = RankedSecurityValueHolder(benchmark)
for i in range(len(self.datas['aapl']['close'])):
data = {'aapl': {Factors.CLOSE: self.datas['aapl'][Factors.CLOSE][i],
Factors.OPEN: self.datas['aapl'][Factors.OPEN][i]},
'ibm': {Factors.CLOSE: self.datas['ibm'][Factors.CLOSE][i],
Factors.OPEN: self.datas['ibm'][Factors.OPEN][i]}}
benchmark.push(data)
rankHolder.push(data)
benchmarkValues = benchmark.value
np.testing.assert_array_almost_equal(benchmarkValues.rank(), rankHolder.value)
def testFilteredSecurityValueHolder(self):
benchmark = SecurityLatestValueHolder(dependency='close') > 0
filtered = FilteredSecurityValueHolder(benchmark, benchmark)
for i in range(len(self.datas['aapl']['close'])):
data = {'aapl': {Factors.CLOSE: self.datas['aapl'][Factors.CLOSE][i],
Factors.OPEN: self.datas['aapl'][Factors.OPEN][i]},
'ibm': {Factors.CLOSE: self.datas['ibm'][Factors.CLOSE][i],
Factors.OPEN: self.datas['ibm'][Factors.OPEN][i]}}
benchmark.push(data)
filtered.push(data)
if np.isnan(filtered['aapl']):
self.assertTrue(filtered['aapl'])
if np.isnan(filtered['ibm']):
self.assertTrue(filtered['ibm'])
def testRankedSecurityValueHolder(self):
benchmark = SecurityLatestValueHolder(dependency='close')
rankHolder = RankedSecurityValueHolder(benchmark)
for i in range(len(self.datas['aapl']['close'])):
data = {
'aapl': {
Factors.CLOSE: self.datas['aapl'][Factors.CLOSE][i],
Factors.OPEN: self.datas['aapl'][Factors.OPEN][i]
},
'ibm': {
Factors.CLOSE: self.datas['ibm'][Factors.CLOSE][i],
Factors.OPEN: self.datas['ibm'][Factors.OPEN][i]
}
}
benchmark.push(data)
rankHolder.push(data)
benchmarkValues = benchmark.value
np.testing.assert_array_almost_equal(benchmarkValues.rank(),
rankHolder.value)
def testFilteredSecurityValueHolder(self):
benchmark = SecurityLatestValueHolder(dependency='close') > 0
filtered = FilteredSecurityValueHolder(benchmark, benchmark)
for i in range(len(self.datas['aapl']['close'])):
data = {
'aapl': {
Factors.CLOSE: self.datas['aapl'][Factors.CLOSE][i],
Factors.OPEN: self.datas['aapl'][Factors.OPEN][i]
},
'ibm': {
Factors.CLOSE: self.datas['ibm'][Factors.CLOSE][i],
Factors.OPEN: self.datas['ibm'][Factors.OPEN][i]
}
}
benchmark.push(data)
filtered.push(data)
if np.isnan(filtered['aapl']):
self.assertTrue(filtered['aapl'])
if np.isnan(filtered['ibm']):
self.assertTrue(filtered['ibm'])
def testGtSecurityValueHolder(self):
filter = SecurityLatestValueHolder('close') > 10.0
ma = SecurityMovingAverage(10, 'close')[filter]
data = {
'aapl': {
'close': 15.
},
'ibm': {
'close': 8.
},
'goog': {
'close': 7.
}
}
ma.push(data)
expected = {'aapl': 15.}
calculated = ma.value
for name in expected:
self.assertAlmostEqual(expected[name], calculated[name], 15)
data = {
'aapl': {
'close': 9.
},
'ibm': {
'close': 11.
},
'goog': {
'close': 8.
}
}
ma.push(data)
expected = {'ibm': 9.5}
calculated = ma.value
for name in expected:
self.assertAlmostEqual(expected[name], calculated[name], 15)
def LAST(dependency='x'):
return SecurityLatestValueHolder(dependency)
def LAST(dependency='x', symbolList=None):
return SecurityLatestValueHolder(dependency, symbolList)
