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https://github.com/saymrwulf/zipline.git
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e934c6aeaf
When adding fixtures for futures data, there will be a need for multiple calendars in the fixture ecosystem. e.g. a test that includes both equities and futures would need an overall calendar which encompasses both equities and futures; however, the test data for equities should still still be limited to the bounds set by the NYSE calendar. Make the fixtures that setup trading calendars and values dervied from the trading calendar (e.g. trading sessions) accept an iterable of calendars which need to be created, then populate those values into a dict keyed by the calendar name. Change `WithNYSETradingDays` to include sessions in the name, since we are moving to session as the name for the 'day' unit. Provide `trading_days` which is really "NYSE trading sessions` on `WithTradingSessions` for backwards compatibility.
311 lines
11 KiB
Python
311 lines
11 KiB
Python
from datetime import timedelta
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import pandas as pd
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from testfixtures import TempDirectory
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from zipline.algorithm import TradingAlgorithm
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from zipline.errors import TradingControlViolation
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from zipline.testing import (
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add_security_data,
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create_data_portal,
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security_list_copy,
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tmp_trading_env,
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tmp_dir,
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)
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from zipline.testing.fixtures import (
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WithLogger,
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WithTradingCalendars,
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ZiplineTestCase,
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)
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from zipline.utils import factory
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from zipline.utils.security_list import (
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SecurityListSet,
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load_from_directory,
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)
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LEVERAGED_ETFS = load_from_directory('leveraged_etf_list')
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class RestrictedAlgoWithCheck(TradingAlgorithm):
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def initialize(self, symbol):
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self.rl = SecurityListSet(self.get_datetime, self.asset_finder)
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self.set_do_not_order_list(self.rl.leveraged_etf_list)
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self.order_count = 0
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self.sid = self.symbol(symbol)
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def handle_data(self, data):
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if not self.order_count:
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if self.sid not in \
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self.rl.leveraged_etf_list:
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self.order(self.sid, 100)
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self.order_count += 1
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class RestrictedAlgoWithoutCheck(TradingAlgorithm):
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def initialize(self, symbol):
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self.rl = SecurityListSet(self.get_datetime, self.asset_finder)
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self.set_do_not_order_list(self.rl.leveraged_etf_list)
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self.order_count = 0
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self.sid = self.symbol(symbol)
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def handle_data(self, data):
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self.order(self.sid, 100)
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self.order_count += 1
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class IterateRLAlgo(TradingAlgorithm):
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def initialize(self, symbol):
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self.rl = SecurityListSet(self.get_datetime, self.asset_finder)
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self.set_do_not_order_list(self.rl.leveraged_etf_list)
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self.order_count = 0
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self.sid = self.symbol(symbol)
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self.found = False
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def handle_data(self, data):
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for stock in self.rl.leveraged_etf_list:
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if stock == self.sid:
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self.found = True
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class SecurityListTestCase(WithLogger, WithTradingCalendars, ZiplineTestCase):
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@classmethod
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def init_class_fixtures(cls):
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super(SecurityListTestCase, cls).init_class_fixtures()
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# this is ugly, but we need to create two different
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# TradingEnvironment/DataPortal pairs
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cls.start = pd.Timestamp(list(LEVERAGED_ETFS.keys())[0])
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end = pd.Timestamp('2015-02-17', tz='utc')
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cls.extra_knowledge_date = pd.Timestamp('2015-01-27', tz='utc')
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cls.trading_day_before_first_kd = pd.Timestamp('2015-01-23', tz='utc')
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symbols = ['AAPL', 'GOOG', 'BZQ', 'URTY', 'JFT']
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cls.env = cls.enter_class_context(tmp_trading_env(
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equities=pd.DataFrame.from_records([{
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'start_date': cls.start,
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'end_date': end,
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'symbol': symbol,
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'exchange': "TEST",
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} for symbol in symbols]),
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))
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cls.sim_params = factory.create_simulation_parameters(
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start=cls.start,
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num_days=4,
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trading_calendar=cls.trading_calendar
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)
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cls.sim_params2 = sp2 = factory.create_simulation_parameters(
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start=cls.trading_day_before_first_kd, num_days=4
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)
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cls.env2 = cls.enter_class_context(tmp_trading_env(
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equities=pd.DataFrame.from_records([{
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'start_date': sp2.start_session,
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'end_date': sp2.end_session,
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'symbol': symbol,
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'exchange': "TEST",
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} for symbol in symbols]),
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))
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cls.tempdir = cls.enter_class_context(tmp_dir())
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cls.tempdir2 = cls.enter_class_context(tmp_dir())
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cls.data_portal = create_data_portal(
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asset_finder=cls.env.asset_finder,
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tempdir=cls.tempdir,
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sim_params=cls.sim_params,
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sids=range(0, 5),
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trading_calendar=cls.trading_calendar,
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)
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cls.data_portal2 = create_data_portal(
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asset_finder=cls.env2.asset_finder,
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tempdir=cls.tempdir2,
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sim_params=cls.sim_params2,
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sids=range(0, 5),
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trading_calendar=cls.trading_calendar,
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)
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def test_iterate_over_restricted_list(self):
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algo = IterateRLAlgo(symbol='BZQ', sim_params=self.sim_params,
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env=self.env)
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algo.run(self.data_portal)
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self.assertTrue(algo.found)
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def test_security_list(self):
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# set the knowledge date to the first day of the
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# leveraged etf knowledge date.
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def get_datetime():
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return self.start
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rl = SecurityListSet(get_datetime, self.env.asset_finder)
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# assert that a sample from the leveraged list are in restricted
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should_exist = [
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asset.sid for asset in
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[self.env.asset_finder.lookup_symbol(
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symbol,
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as_of_date=self.extra_knowledge_date)
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for symbol in ["BZQ", "URTY", "JFT"]]
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]
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for sid in should_exist:
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self.assertIn(sid, rl.leveraged_etf_list)
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# assert that a sample of allowed stocks are not in restricted
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shouldnt_exist = [
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asset.sid for asset in
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[self.env.asset_finder.lookup_symbol(
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symbol,
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as_of_date=self.extra_knowledge_date)
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for symbol in ["AAPL", "GOOG"]]
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]
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for sid in shouldnt_exist:
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self.assertNotIn(sid, rl.leveraged_etf_list)
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def test_security_add(self):
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def get_datetime():
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return pd.Timestamp("2015-01-27", tz='UTC')
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with security_list_copy():
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add_security_data(['AAPL', 'GOOG'], [])
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rl = SecurityListSet(get_datetime, self.env.asset_finder)
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should_exist = [
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asset.sid for asset in
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[self.env.asset_finder.lookup_symbol(
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symbol,
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as_of_date=self.extra_knowledge_date
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) for symbol in ["AAPL", "GOOG", "BZQ", "URTY"]]
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]
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for sid in should_exist:
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self.assertIn(sid, rl.leveraged_etf_list)
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def test_security_add_delete(self):
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with security_list_copy():
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def get_datetime():
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return pd.Timestamp("2015-01-27", tz='UTC')
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rl = SecurityListSet(get_datetime, self.env.asset_finder)
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self.assertNotIn("BZQ", rl.leveraged_etf_list)
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self.assertNotIn("URTY", rl.leveraged_etf_list)
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def test_algo_without_rl_violation_via_check(self):
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algo = RestrictedAlgoWithCheck(symbol='BZQ',
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sim_params=self.sim_params,
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env=self.env)
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algo.run(self.data_portal)
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def test_algo_without_rl_violation(self):
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algo = RestrictedAlgoWithoutCheck(symbol='AAPL',
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sim_params=self.sim_params,
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env=self.env)
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algo.run(self.data_portal)
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def test_algo_with_rl_violation(self):
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algo = RestrictedAlgoWithoutCheck(symbol='BZQ',
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sim_params=self.sim_params,
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env=self.env)
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with self.assertRaises(TradingControlViolation) as ctx:
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algo.run(self.data_portal)
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self.check_algo_exception(algo, ctx, 0)
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# repeat with a symbol from a different lookup date
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algo = RestrictedAlgoWithoutCheck(symbol='JFT',
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sim_params=self.sim_params,
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env=self.env)
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with self.assertRaises(TradingControlViolation) as ctx:
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algo.run(self.data_portal)
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self.check_algo_exception(algo, ctx, 0)
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def test_algo_with_rl_violation_after_knowledge_date(self):
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sim_params = factory.create_simulation_parameters(
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start=self.start + timedelta(days=7),
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num_days=5
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)
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data_portal = create_data_portal(
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self.env.asset_finder,
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self.tempdir,
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sim_params=sim_params,
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sids=range(0, 5),
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trading_calendar=self.trading_calendar,
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)
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algo = RestrictedAlgoWithoutCheck(symbol='BZQ',
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sim_params=sim_params,
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env=self.env)
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with self.assertRaises(TradingControlViolation) as ctx:
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algo.run(data_portal)
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self.check_algo_exception(algo, ctx, 0)
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def test_algo_with_rl_violation_cumulative(self):
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"""
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Add a new restriction, run a test long after both
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knowledge dates, make sure stock from original restriction
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set is still disallowed.
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"""
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sim_params = factory.create_simulation_parameters(
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start=self.start + timedelta(days=7),
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num_days=4
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)
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with security_list_copy():
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add_security_data(['AAPL'], [])
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algo = RestrictedAlgoWithoutCheck(
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symbol='BZQ', sim_params=sim_params, env=self.env)
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with self.assertRaises(TradingControlViolation) as ctx:
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algo.run(self.data_portal)
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self.check_algo_exception(algo, ctx, 0)
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def test_algo_without_rl_violation_after_delete(self):
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sim_params = factory.create_simulation_parameters(
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start=self.extra_knowledge_date,
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num_days=4,
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)
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equities = pd.DataFrame.from_records([{
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'symbol': 'BZQ',
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'start_date': sim_params.start_session,
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'end_date': sim_params.end_session,
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'exchange': "TEST",
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}])
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with TempDirectory() as new_tempdir, \
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security_list_copy(), \
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tmp_trading_env(equities=equities) as env:
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# add a delete statement removing bzq
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# write a new delete statement file to disk
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add_security_data([], ['BZQ'])
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data_portal = create_data_portal(
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env.asset_finder,
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new_tempdir,
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sim_params,
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range(0, 5),
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trading_calendar=self.trading_calendar,
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)
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algo = RestrictedAlgoWithoutCheck(
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symbol='BZQ', sim_params=sim_params, env=env
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)
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algo.run(data_portal)
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def test_algo_with_rl_violation_after_add(self):
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with security_list_copy():
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add_security_data(['AAPL'], [])
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algo = RestrictedAlgoWithoutCheck(symbol='AAPL',
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sim_params=self.sim_params2,
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env=self.env2)
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with self.assertRaises(TradingControlViolation) as ctx:
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algo.run(self.data_portal2)
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self.check_algo_exception(algo, ctx, 2)
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def check_algo_exception(self, algo, ctx, expected_order_count):
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self.assertEqual(algo.order_count, expected_order_count)
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exc = ctx.exception
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self.assertEqual(TradingControlViolation, type(exc))
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exc_msg = str(ctx.exception)
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self.assertTrue("RestrictedListOrder" in exc_msg)
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