def test_algo_without_rl_violation_after_delete(self):
sim_params = factory.create_simulation_parameters(
start=self.extra_knowledge_date,
num_days=4,
)
equities = pd.DataFrame.from_records([{
'symbol': 'BZQ',
'start_date': sim_params.start_session,
'end_date': sim_params.end_session,
'exchange': "TEST",
}])
with TempDirectory() as new_tempdir, \
security_list_copy(), \
tmp_trading_env(equities=equities,
load=self.make_load_function()) as env:
# add a delete statement removing bzq
# write a new delete statement file to disk
add_security_data([], ['BZQ'])
data_portal = create_data_portal(
env.asset_finder,
new_tempdir,
sim_params,
range(0, 5),
trading_calendar=self.trading_calendar,
)
algo = RestrictedAlgoWithoutCheck(symbol='BZQ',
sim_params=sim_params,
env=env)
algo.run(data_portal)
def test_algo_with_rl_violation_after_add(self):
with security_list_copy():
add_security_data(['AAPL'], [])
algo = RestrictedAlgoWithoutCheck(symbol='AAPL',
sim_params=self.sim_params2,
env=self.env2)
with self.assertRaises(TradingControlViolation) as ctx:
algo.run(self.data_portal2)
self.check_algo_exception(algo, ctx, 2)
def test_security_add_delete(self):
with security_list_copy():
def get_datetime():
return pd.Timestamp("2015-01-27", tz='UTC')
rl = SecurityListSet(get_datetime, self.env.asset_finder)
self.assertNotIn(
"BZQ",
rl.leveraged_etf_list.current_securities(get_datetime()))
self.assertNotIn(
"URTY",
rl.leveraged_etf_list.current_securities(get_datetime()))
def test_security_add(self):
def get_datetime():
return pd.Timestamp("2015-01-27", tz='UTC')
with security_list_copy():
add_security_data(['AAPL', 'GOOG'], [])
rl = SecurityListSet(get_datetime, self.env.asset_finder)
should_exist = [
asset.sid for asset in [
self.env.asset_finder.lookup_symbol(
symbol, as_of_date=self.extra_knowledge_date)
for symbol in ["AAPL", "GOOG", "BZQ", "URTY"]
]
]
for sid in should_exist:
self.assertIn(
sid,
rl.leveraged_etf_list.current_securities(get_datetime()))
def test_algo_with_rl_violation_cumulative(self):
"""
Add a new restriction, run a test long after both
knowledge dates, make sure stock from original restriction
set is still disallowed.
"""
sim_params = factory.create_simulation_parameters(start=self.start +
timedelta(days=7),
num_days=4)
with security_list_copy():
add_security_data(['AAPL'], [])
algo = RestrictedAlgoWithoutCheck(symbol='BZQ',
sim_params=sim_params,
env=self.env)
with self.assertRaises(TradingControlViolation) as ctx:
algo.run(self.data_portal)
self.check_algo_exception(algo, ctx, 0)