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'])
