def test_different_frequency():
set_easy_context()
StockRecorder()
reader = CSVReader(data_path='./', file_name=TICKER, ticker=TICKER)
MarketMaker._initialize_feeds()
MarketMaker._initialize_calendar()
cleaner = SMA(rolling_window=10, buffer_day=20, frequency=FREQUENCY)
cleaner.initialize_buffer_data(TICKER, buffer_day=20)
key = f'{TICKER}_{FREQUENCY}'
# 测试不同 frequency 是否会新建 cleaner feed
assert key + '_' + cleaner.name in reader.env.cleaners_feeds
# 低 frequency 的 cleaners feed 中 bar 的更新不超过系统 bar 时间
MarketMaker.env.cur_suspended_tickers.clear()
MarketMaker.calendar.update_calendar()
MarketMaker._update_bar()
cleaner.run()
cleaner_latest_date = cleaner.data[key]['date'][-1]
bar_latest_date = cleaner.env.feeds[TICKER].date
assert arrow.get(cleaner_latest_date) == arrow.get(bar_latest_date)
assert arrow.get(cleaner_latest_date) <= arrow.get(cleaner.env.sys_date)
func_test_update_cleaner(FREQUENCY)
func_test_update_cleaner('H1')
def test_bar():
# 初始化数据
set_easy_context()
reader = CSVReader(data_path='./', file_name=TICKER, ticker=TICKER)
StockRecorder()
if FREQUENCY == 'H1':
shift_num = 1 / 24
elif FREQUENCY == 'D':
shift_num = 1
# 应该返回迭代器
bars = BarBase(TICKER, FREQUENCY)
bars.initialize(7)
for key in ['date', 'open', 'high', 'low', 'close', 'volume']: # key 小写
assert key in bars.next_ohlc, f"'{key}' should be lower case in data"
# 测试日期
# start = bars.next_ohlc['date']
start = arrow.get(START).format("YYYY-MM-DD HH:mm:ss")
pre_start = shift_date(start, -shift_num)
assert arrow.get(bars.current_ohlc['date']) <= arrow.get(START)
assert arrow.get(bars.current_ohlc['date']) <= arrow.get(
pre_start), "current_ohlc is wrong"
assert arrow.get(
bars.next_ohlc['date']) <= arrow.get(start), "next_ohlc is wrong"
bars.next_directly()
assert arrow.get(bars.previous_ohlc['date']) <= arrow.get(
pre_start), "previous_ohlc is wrong"
assert arrow.get(
bars.current_ohlc['date']) <= arrow.get(start), "current_ohlc is wrong"
[i for i in bars._iter_data]
assert arrow.get(
bars.next_ohlc['date']) <= arrow.get(END), "bar should not ahead"
# 测试变量类型
assert isinstance(bars.open, float), "should be float"
assert isinstance(bars.high, float), "should be float"
assert isinstance(bars.low, float), "should be float"
assert isinstance(bars.close, float), "should be float"
assert isinstance(bars.volume, float), "should be float"
assert isinstance(bars.next_ohlc['open'], float), "should be float"
# 测试变量返回值
assert bars.date == bars.current_ohlc['date']
assert bars.open == bars.current_ohlc['open']
assert bars.high == bars.current_ohlc['high']
assert bars.low == bars.current_ohlc['low']
assert bars.close == bars.current_ohlc['close']
assert bars.volume == bars.current_ohlc['volume']
bars.env.execute_on_close_or_next_open = 'open'
assert bars.execute_price == bars.next_ohlc['open']
bars.env.execute_on_close_or_next_open = 'close'
assert bars.execute_price == bars.close
def test_frequency_generate():
# 若不指定 frequency， 是否会产生新的 frequency
set_easy_context()
StockRecorder()
reader = CSVReader(data_path='./', file_name=TICKER, ticker=TICKER)
MarketMaker._initialize_feeds()
MarketMaker._initialize_calendar()
cleaner = SMA(rolling_window=10, buffer_day=20)
cleaner.initialize_buffer_data(TICKER, buffer_day=20)
assert cleaner.frequency == FREQUENCY
def func_test_update_cleaner(frequency):
set_easy_context()
StockRecorder()
reader = CSVReader(data_path='./', file_name=TICKER, ticker=TICKER)
cleaner = SMA(rolling_window=10, buffer_day=10, frequency=frequency)
cleaner2 = SMA(rolling_window=10, buffer_day=1, frequency=frequency)
env = reader.env
# 初始化
MarketMaker._initialize_feeds()
MarketMaker._initialize_calendar()
MarketMaker._initialize_cleaners() # 以sys_date初始化
# 以 sys_date 来进行初始化数据，因为一开始 sys_date 会比 fromdate 向前一步
# 测试开始回测时 buffer 数据最新一条是否为 Start 前一根 bar 的数据。
key = f'{TICKER}_{frequency}'
assert arrow.get(cleaner.data[key]['date'][-1]) <= arrow.get(env.sys_date)
# sys_date和cleaner中的数据都更新到和fromdate同步
MarketMaker.calendar.update_calendar()
MarketMaker._update_bar()
cleaner.run()
if INSTRUMENT == 'A_Shares': # 测试buffer_day是否会自动变化
assert cleaner2.buffer_day == 5
if cleaner.frequency == env.sys_frequency:
cur_bar = env.feeds[TICKER]
else:
cur_bar = env.cleaners_feeds[key + '_' + cleaner.name]
# cleaner run之后日期一切正常
latest_date = cleaner.data[key]['date'][-1]
assert latest_date == cur_bar.date, f'{latest_date} != {cur_bar.date}'
# 测试更新后是否成功
env.execute_on_close_or_next_open = 'open'
env.cur_suspended_tickers.clear()
MarketMaker.calendar.update_calendar()
MarketMaker._update_bar()
cleaner.run()
latest_date = cleaner.data[key]['date'][-1]
assert latest_date == cur_bar.date, f'{latest_date} != {cur_bar.date}'
assert cleaner.data[key]['open'][-1] == cur_bar.current_ohlc['open']
assert cleaner.data[key]['high'][-1] == cur_bar.current_ohlc['high']
assert cleaner.data[key]['low'][-1] == cur_bar.current_ohlc['low']
assert cleaner.data[key]['close'][-1] == cur_bar.current_ohlc['close']
assert cleaner.data[key]['volume'][-1] == cur_bar.current_ohlc['volume']
def test_csv_reader():
set_easy_context()
reader = CSVReader(data_path='./', file_name=TICKER, ticker=TICKER)
func_test_reader(reader)
def test_mongodb_reader():
set_easy_context()
reader = MongodbReader(database=DATABASE, ticker=TICKER)
func_test_reader(reader)