def testIncremental_Recursive(self):
size = 20
ds1 = dataseries.SequenceDataSeries()
ds2 = dataseries.SequenceDataSeries()
ads1, ads2 = aligned.datetime_aligned(ds1, ds2)
# Align the aligned dataseries again with respect to each other.
ads1, ads2 = aligned.datetime_aligned(ads1, ads2)
now = datetime.datetime.now()
for i in range(size):
ds1.appendWithDateTime(now + datetime.timedelta(seconds=i), i)
ds2.appendWithDateTime(now + datetime.timedelta(seconds=i), i)
self.assertEqual(len(ads1), len(ads2))
self.assertEqual(ads1[:], ads2[:])
self.assertEqual(ads1.getDateTimes()[:], ads2.getDateTimes()[:])
def __init__(self, ds1, ds2, windowSize):
# We're going to use datetime aligned versions of the dataseries.
self.__ds1, self.__ds2 = aligned.datetime_aligned(ds1, ds2)
self.__windowSize = windowSize
self.__hedgeRatio = None
self.__spread = None
self.__spreadMean = None
self.__spreadStd = None
self.__zScore = None
def testNotAligned_Recursive(self):
size = 20
ds1 = dataseries.SequenceDataSeries()
ds2 = dataseries.SequenceDataSeries()
ads1, ads2 = aligned.datetime_aligned(ds1, ds2)
# Align the aligned dataseries again with respect to each other.
ads1, ads2 = aligned.datetime_aligned(ads1, ads2)
now = datetime.datetime.now()
for i in range(size):
if i % 2 == 0:
ds1.appendWithDateTime(now + datetime.timedelta(seconds=i), i)
else:
ds2.appendWithDateTime(now + datetime.timedelta(seconds=i), i)
self.assertEqual(len(ds1), len(ds2))
for ads in [ads1, ads2]:
self.assertEqual(len(ads), 0)
self.assertEqual(ads.getValueAbsolute(0), None)
self.assertEqual(ads.getDateTimes(), [])
def testBoundedSources(self):
ds1 = dataseries.SequenceDataSeries(1)
ds2 = dataseries.SequenceDataSeries(1)
ads1, ads2 = aligned.datetime_aligned(ds1, ds2)
now = datetime.datetime.now()
ds1.appendWithDateTime(now + datetime.timedelta(seconds=1), 1)
ds1.appendWithDateTime(now + datetime.timedelta(seconds=2), 2)
ds1.appendWithDateTime(now + datetime.timedelta(seconds=3), 3)
ds2.appendWithDateTime(now + datetime.timedelta(seconds=2), 2)
ds2.appendWithDateTime(now + datetime.timedelta(seconds=3), 3)
ds2.appendWithDateTime(now + datetime.timedelta(seconds=4), 4)
self.assertEqual(ads1[:], [2, 3])
self.assertEqual(ads2[:], [2, 3])
def testPartiallyAligned_Recursive(self):
size = 20
commonDateTimes = []
ds1 = dataseries.SequenceDataSeries()
ds2 = dataseries.SequenceDataSeries()
ads1, ads2 = aligned.datetime_aligned(ds1, ds2)
# Align the aligned dataseries again with respect to each other.
ads1, ads2 = aligned.datetime_aligned(ads1, ads2)
now = datetime.datetime.now()
for i in range(size):
if i % 3 == 0:
commonDateTimes.append(now + datetime.timedelta(seconds=i))
ds1.appendWithDateTime(now + datetime.timedelta(seconds=i), i)
ds2.appendWithDateTime(now + datetime.timedelta(seconds=i), i)
elif i % 2 == 0:
ds1.appendWithDateTime(now + datetime.timedelta(seconds=i), i)
else:
ds2.appendWithDateTime(now + datetime.timedelta(seconds=i), i)
self.assertEqual(len(ads1), len(ads2))
self.assertEqual(ads1[:], ads2[:])
self.assertEqual(ads1.getDateTimes(), commonDateTimes)
self.assertEqual(ads2.getDateTimes(), commonDateTimes)
def testFullyAligned(self):
size = 20
ds1 = dataseries.SequenceDataSeries()
ds2 = dataseries.SequenceDataSeries()
ads1, ads2 = aligned.datetime_aligned(ds1, ds2)
now = datetime.datetime.now()
for i in range(size):
ds1.appendWithDateTime(now + datetime.timedelta(seconds=i), i)
ds2.appendWithDateTime(now + datetime.timedelta(seconds=i), i)
self.assertEqual(len(ds1), len(ds2))
for ads in [ads1, ads2]:
self.assertEqual(len(ads), size)
for i in range(size):
self.assertEqual(ads.getValueAbsolute(i), i)
self.assertEqual(ads.getDateTimes()[i],
now + datetime.timedelta(seconds=i))