def test_history_grow_length(self,
freq,
field,
data_frequency,
construct_digest):
bar_count = 2 if construct_digest else 1
spec = history.HistorySpec(
bar_count=bar_count,
frequency=freq,
field=field,
ffill=True,
data_frequency=data_frequency,
)
specs = {spec.key_str: spec}
initial_sids = [1]
initial_dt = pd.Timestamp(
'2013-06-28 13:31'
if data_frequency == 'minute'
else '2013-06-28 12:00AM',
tz='UTC',
)
container = HistoryContainer(
specs, initial_sids, initial_dt, data_frequency,
)
if construct_digest:
self.assertEqual(
container.digest_panels[spec.frequency].window_length, 1,
)
bar_data = BarData()
container.update(bar_data, initial_dt)
to_add = (
history.HistorySpec(
bar_count=bar_count + 1,
frequency=freq,
field=field,
ffill=True,
data_frequency=data_frequency,
),
history.HistorySpec(
bar_count=bar_count + 2,
frequency=freq,
field=field,
ffill=True,
data_frequency=data_frequency,
),
)
for spec in to_add:
container.ensure_spec(spec, initial_dt, bar_data)
self.assertEqual(
container.digest_panels[spec.frequency].window_length,
spec.bar_count - 1,
)
self.assert_history(container, spec, initial_dt)
def test_multiple_specs_on_same_bar(self):
"""
Test that a ffill and non ffill spec both get
the correct results when called on the same tick
"""
spec = history.HistorySpec(
bar_count=3,
frequency='1m',
field='price',
ffill=True,
data_frequency='minute',
env=self.env,
)
no_fill_spec = history.HistorySpec(
bar_count=3,
frequency='1m',
field='price',
ffill=False,
data_frequency='minute',
env=self.env,
)
specs = {spec.key_str: spec, no_fill_spec.key_str: no_fill_spec}
initial_sids = [
1,
]
initial_dt = pd.Timestamp('2013-06-28 9:31AM',
tz='US/Eastern').tz_convert('UTC')
container = HistoryContainer(
specs,
initial_sids,
initial_dt,
'minute',
env=self.env,
)
bar_data = BarData()
container.update(bar_data, initial_dt)
# Add data on bar two of first day.
second_bar_dt = pd.Timestamp('2013-06-28 9:32AM',
tz='US/Eastern').tz_convert('UTC')
bar_data[1] = {'price': 10, 'dt': second_bar_dt}
container.update(bar_data, second_bar_dt)
third_bar_dt = pd.Timestamp('2013-06-28 9:33AM',
tz='US/Eastern').tz_convert('UTC')
del bar_data[1]
# add nan for 3rd bar
container.update(bar_data, third_bar_dt)
prices = container.get_history(spec, third_bar_dt)
no_fill_prices = container.get_history(no_fill_spec, third_bar_dt)
self.assertEqual(prices.values[-1], 10)
self.assertTrue(np.isnan(no_fill_prices.values[-1]),
"Last price should be np.nan")
def test_history_add_field(self, bar_count, freq, pair, data_frequency):
first, second = pair
spec = history.HistorySpec(
bar_count=bar_count,
frequency=freq,
field=first,
ffill=True,
data_frequency=data_frequency,
env=self.env,
)
specs = {spec.key_str: spec}
initial_sids = [1]
initial_dt = pd.Timestamp(
'2013-06-28 13:31'
if data_frequency == 'minute' else '2013-06-28 12:00AM',
tz='UTC',
)
container = HistoryContainer(specs,
initial_sids,
initial_dt,
data_frequency,
env=self.env)
if bar_count > 1:
self.assertEqual(
container.digest_panels[spec.frequency].window_length,
1,
)
bar_data = BarData()
container.update(bar_data, initial_dt)
new_spec = history.HistorySpec(
bar_count,
frequency=freq,
field=second,
ffill=True,
data_frequency=data_frequency,
env=self.env,
)
container.ensure_spec(new_spec, initial_dt, bar_data)
if bar_count > 1:
digest_panel = container.digest_panels[new_spec.frequency]
self.assertEqual(digest_panel.window_length, bar_count - 1)
self.assertIn(second, digest_panel.items)
else:
self.assertNotIn(new_spec.frequency, container.digest_panels)
with warnings.catch_warnings():
warnings.simplefilter('ignore')
self.assert_history(container, new_spec, initial_dt)
def get_index_at_dt(case_input):
history_spec = history.HistorySpec(
case_input['bar_count'],
case_input['frequency'],
None,
False,
data_frequency='minute',
)
return history.index_at_dt(history_spec, case_input['algo_dt'])
def get_index_at_dt(case_input):
history_spec = history.HistorySpec(
case_input['bar_count'],
case_input['frequency'],
None,
False,
daily_at_midnight=False
)
return history.index_at_dt(history_spec, case_input['algo_dt'])
def test_container_nans_and_daily_roll(self):
spec = history.HistorySpec(
bar_count=3,
frequency='1d',
field='price',
ffill=True,
data_frequency='minute'
)
specs = {spec.key_str: spec}
initial_sids = [1, ]
initial_dt = pd.Timestamp(
'2013-06-28 9:31AM', tz='US/Eastern').tz_convert('UTC')
container = HistoryContainer(
specs, initial_sids, initial_dt, 'minute'
)
bar_data = BarData()
container.update(bar_data, initial_dt)
# Since there was no backfill because of no db.
# And no first bar of data, so all values should be nans.
prices = container.get_history(spec, initial_dt)
nan_values = np.isnan(prices[1])
self.assertTrue(all(nan_values), nan_values)
# Add data on bar two of first day.
second_bar_dt = pd.Timestamp(
'2013-06-28 9:32AM', tz='US/Eastern').tz_convert('UTC')
bar_data[1] = {
'price': 10,
'dt': second_bar_dt
}
container.update(bar_data, second_bar_dt)
prices = container.get_history(spec, second_bar_dt)
# Prices should be
# 1
# 2013-06-26 20:00:00+00:00 NaN
# 2013-06-27 20:00:00+00:00 NaN
# 2013-06-28 13:32:00+00:00 10
self.assertTrue(np.isnan(prices[1].ix[0]))
self.assertTrue(np.isnan(prices[1].ix[1]))
self.assertEqual(prices[1].ix[2], 10)
third_bar_dt = pd.Timestamp(
'2013-06-28 9:33AM', tz='US/Eastern').tz_convert('UTC')
del bar_data[1]
container.update(bar_data, third_bar_dt)
prices = container.get_history(spec, third_bar_dt)
# The one should be forward filled
# Prices should be
# 1
# 2013-06-26 20:00:00+00:00 NaN
# 2013-06-27 20:00:00+00:00 NaN
# 2013-06-28 13:33:00+00:00 10
self.assertEquals(prices[1][third_bar_dt], 10)
# Note that we did not fill in data at the close.
# There was a bug where a nan was being introduced because of the
# last value of 'raw' data was used, instead of a ffilled close price.
day_two_first_bar_dt = pd.Timestamp(
'2013-07-01 9:31AM', tz='US/Eastern').tz_convert('UTC')
bar_data[1] = {
'price': 20,
'dt': day_two_first_bar_dt
}
container.update(bar_data, day_two_first_bar_dt)
prices = container.get_history(spec, day_two_first_bar_dt)
# Prices Should Be
# 1
# 2013-06-27 20:00:00+00:00 nan
# 2013-06-28 20:00:00+00:00 10
# 2013-07-01 13:31:00+00:00 20
self.assertTrue(np.isnan(prices[1].ix[0]))
self.assertEqual(prices[1].ix[1], 10)
self.assertEqual(prices[1].ix[2], 20)
# Clear out the bar data
del bar_data[1]
day_three_first_bar_dt = pd.Timestamp(
'2013-07-02 9:31AM', tz='US/Eastern').tz_convert('UTC')
container.update(bar_data, day_three_first_bar_dt)
prices = container.get_history(spec, day_three_first_bar_dt)
# 1
# 2013-06-28 20:00:00+00:00 10
# 2013-07-01 20:00:00+00:00 20
# 2013-07-02 13:31:00+00:00 20
self.assertTrue(prices[1].ix[0], 10)
self.assertTrue(prices[1].ix[1], 20)
self.assertTrue(prices[1].ix[2], 20)
day_four_first_bar_dt = pd.Timestamp(
'2013-07-03 9:31AM', tz='US/Eastern').tz_convert('UTC')
container.update(bar_data, day_four_first_bar_dt)
prices = container.get_history(spec, day_four_first_bar_dt)
# 1
# 2013-07-01 20:00:00+00:00 20
# 2013-07-02 20:00:00+00:00 20
# 2013-07-03 13:31:00+00:00 20
self.assertEqual(prices[1].ix[0], 20)
self.assertEqual(prices[1].ix[1], 20)
self.assertEqual(prices[1].ix[2], 20)