def init_class_fixtures(cls):
super(SecurityListTestCase, cls).init_class_fixtures()
# this is ugly, but we need to create two different
# TradingEnvironment/DataPortal pairs
cls.start = pd.Timestamp(list(LEVERAGED_ETFS.keys())[0])
end = pd.Timestamp('2015-02-17', tz='utc')
cls.extra_knowledge_date = pd.Timestamp('2015-01-27', tz='utc')
cls.trading_day_before_first_kd = pd.Timestamp('2015-01-23', tz='utc')
symbols = ['AAPL', 'GOOG', 'BZQ', 'URTY', 'JFT']
cls.env = cls.enter_class_context(tmp_trading_env(
equities=pd.DataFrame.from_records([{
'start_date': cls.start,
'end_date': end,
'symbol': symbol,
'exchange': "TEST",
} for symbol in symbols]),
load=cls.make_load_function(),
))
cls.sim_params = factory.create_simulation_parameters(
start=cls.start,
num_days=4,
trading_calendar=cls.trading_calendar
)
cls.sim_params2 = sp2 = factory.create_simulation_parameters(
start=cls.trading_day_before_first_kd, num_days=4
)
cls.env2 = cls.enter_class_context(tmp_trading_env(
equities=pd.DataFrame.from_records([{
'start_date': sp2.start_session,
'end_date': sp2.end_session,
'symbol': symbol,
'exchange': "TEST",
} for symbol in symbols]),
load=cls.make_load_function(),
))
cls.tempdir = cls.enter_class_context(tmp_dir())
cls.tempdir2 = cls.enter_class_context(tmp_dir())
cls.data_portal = create_data_portal(
asset_finder=cls.env.asset_finder,
tempdir=cls.tempdir,
sim_params=cls.sim_params,
sids=range(0, 5),
trading_calendar=cls.trading_calendar,
)
cls.data_portal2 = create_data_portal(
asset_finder=cls.env2.asset_finder,
tempdir=cls.tempdir2,
sim_params=cls.sim_params2,
sids=range(0, 5),
trading_calendar=cls.trading_calendar,
)
def init_class_fixtures(cls):
super(SecurityListTestCase, cls).init_class_fixtures()
# this is ugly, but we need to create two different
# TradingEnvironment/DataPortal pairs
cls.start = pd.Timestamp(list(LEVERAGED_ETFS.keys())[0])
end = pd.Timestamp('2015-02-17', tz='utc')
cls.extra_knowledge_date = pd.Timestamp('2015-01-27', tz='utc')
cls.trading_day_before_first_kd = pd.Timestamp('2015-01-23', tz='utc')
symbols = ['AAPL', 'GOOG', 'BZQ', 'URTY', 'JFT']
cls.env = cls.enter_class_context(
tmp_trading_env(equities=pd.DataFrame.from_records([{
'start_date':
cls.start,
'end_date':
end,
'symbol':
symbol,
'exchange':
"TEST",
} for symbol in symbols]), ))
cls.sim_params = factory.create_simulation_parameters(
start=cls.start, num_days=4, trading_calendar=cls.trading_calendar)
cls.sim_params2 = sp2 = factory.create_simulation_parameters(
start=cls.trading_day_before_first_kd, num_days=4)
cls.env2 = cls.enter_class_context(
tmp_trading_env(equities=pd.DataFrame.from_records([{
'start_date':
sp2.start_session,
'end_date':
sp2.end_session,
'symbol':
symbol,
'exchange':
"TEST",
} for symbol in symbols]), ))
cls.tempdir = cls.enter_class_context(tmp_dir())
cls.tempdir2 = cls.enter_class_context(tmp_dir())
cls.data_portal = create_data_portal(
asset_finder=cls.env.asset_finder,
tempdir=cls.tempdir,
sim_params=cls.sim_params,
sids=range(0, 5),
trading_calendar=cls.trading_calendar,
)
cls.data_portal2 = create_data_portal(
asset_finder=cls.env2.asset_finder,
tempdir=cls.tempdir2,
sim_params=cls.sim_params2,
sids=range(0, 5),
trading_calendar=cls.trading_calendar,
)
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) 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_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.period_start,
'end_date':
sim_params.period_end,
}])
with TempDirectory() as new_tempdir, \
security_list_copy(), \
tmp_trading_env(equities=equities) 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_schedule=self.trading_schedule,
)
algo = RestrictedAlgoWithoutCheck(symbol='BZQ',
sim_params=sim_params,
env=env)
algo.run(data_portal)
def test_algo_with_rl_violation_after_knowledge_date(self):
sim_params = factory.create_simulation_parameters(
start=list(LEVERAGED_ETFS.keys())[0] + timedelta(days=7),
num_days=5,
env=self.env)
data_portal = create_data_portal(self.env,
self.tempdir,
sim_params=sim_params,
sids=range(0, 5))
algo = RestrictedAlgoWithoutCheck(symbol='BZQ',
sim_params=sim_params,
env=self.env)
with self.assertRaises(TradingControlViolation) as ctx:
algo.run(data_portal)
self.check_algo_exception(algo, ctx, 0)
def test_algo_with_rl_violation_after_knowledge_date(self):
sim_params = factory.create_simulation_parameters(start=self.start +
timedelta(days=7),
num_days=5)
data_portal = create_data_portal(
self.env.asset_finder,
self.tempdir,
sim_params=sim_params,
sids=range(0, 5),
trading_calendar=self.trading_calendar,
)
algo = RestrictedAlgoWithoutCheck(symbol='BZQ',
sim_params=sim_params,
env=self.env)
with self.assertRaises(TradingControlViolation) as ctx:
algo.run(data_portal)
self.check_algo_exception(algo, ctx, 0)
def test_algo_with_rl_violation_after_knowledge_date(self):
sim_params = factory.create_simulation_parameters(
start=list(
LEVERAGED_ETFS.keys())[0] + timedelta(days=7), num_days=5)
data_portal = create_data_portal(
self.env.asset_finder,
self.tempdir,
sim_params=sim_params,
sids=range(0, 5),
trading_schedule=self.trading_schedule,
)
algo = RestrictedAlgoWithoutCheck(symbol='BZQ',
sim_params=sim_params,
env=self.env)
with self.assertRaises(TradingControlViolation) as ctx:
algo.run(data_portal)
self.check_algo_exception(algo, ctx, 0)
