mirror of
https://github.com/saymrwulf/zipline.git
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282 lines
9.5 KiB
Python
282 lines
9.5 KiB
Python
from datetime import timedelta
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import pandas as pd
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from nose_parameterized import parameterized
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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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security_list_copy,
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)
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from zipline.testing.fixtures import (
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WithMakeAlgo,
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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_asset_restrictions(self.rl.restrict_leveraged_etfs)
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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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current_securities(self.get_datetime()):
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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_asset_restrictions(self.rl.restrict_leveraged_etfs)
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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 RestrictedAlgoWithoutCheckSetDoNotOrderList(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_asset_restrictions(self.rl.restrict_leveraged_etfs)
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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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current_securities(self.get_datetime()):
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if stock == self.sid:
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self.found = True
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class SecurityListTestCase(WithMakeAlgo, ZiplineTestCase):
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# XXX: This suite uses way more than it probably needs.
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START_DATE = pd.Timestamp('2002-01-03', tz='UTC')
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assert START_DATE == sorted(list(LEVERAGED_ETFS.keys()))[0], \
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"START_DATE should match start of LEVERAGED_ETF data."
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END_DATE = pd.Timestamp('2015-02-17', tz='utc')
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extra_knowledge_date = pd.Timestamp('2015-01-27', tz='utc')
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trading_day_before_first_kd = pd.Timestamp('2015-01-23', tz='utc')
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SIM_PARAMS_END = pd.Timestamp('2002-01-08', tz='UTC')
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SIM_PARAMS_DATA_FREQUENCY = 'daily'
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DATA_PORTAL_USE_MINUTE_DATA = False
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ASSET_FINDER_EQUITY_SIDS = (1, 2, 3, 4, 5)
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ASSET_FINDER_EQUITY_SYMBOLS = ('AAPL', 'GOOG', 'BZQ', 'URTY', 'JFT')
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def test_iterate_over_restricted_list(self):
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algo = self.make_algo(
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algo_class=IterateRLAlgo,
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symbol='BZQ',
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)
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algo.run()
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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_DATE
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rl = SecurityListSet(get_datetime, self.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.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(
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sid, rl.leveraged_etf_list.current_securities(get_datetime()))
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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.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(
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sid, rl.leveraged_etf_list.current_securities(get_datetime()))
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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.asset_finder)
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should_exist = [
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asset.sid for asset in
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[self.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(
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sid,
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rl.leveraged_etf_list.current_securities(get_datetime())
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)
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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.asset_finder)
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self.assertNotIn(
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"BZQ",
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rl.leveraged_etf_list.current_securities(get_datetime())
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)
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self.assertNotIn(
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"URTY",
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rl.leveraged_etf_list.current_securities(get_datetime())
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)
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def test_algo_without_rl_violation_via_check(self):
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self.run_algorithm(algo_class=RestrictedAlgoWithCheck, symbol="BZQ")
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def test_algo_without_rl_violation(self):
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self.run_algorithm(
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algo_class=RestrictedAlgoWithoutCheck, symbol="AAPL",
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)
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@parameterized.expand([
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('using_set_do_not_order_list',
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RestrictedAlgoWithoutCheckSetDoNotOrderList),
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('using_set_restrictions', RestrictedAlgoWithoutCheck),
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])
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def test_algo_with_rl_violation(self, name, algo_class):
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algo = self.make_algo(algo_class=algo_class, symbol='BZQ')
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with self.assertRaises(TradingControlViolation) as ctx:
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algo.run()
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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 = self.make_algo(
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algo_class=RestrictedAlgoWithoutCheck, symbol='JFT',
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)
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with self.assertRaises(TradingControlViolation) as ctx:
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algo.run()
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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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start = self.START_DATE + timedelta(days=7)
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end = start + self.trading_calendar.day * 4
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algo = self.make_algo(
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algo_class=RestrictedAlgoWithoutCheck,
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symbol='BZQ',
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sim_params=self.make_simparams(
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start_session=start,
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end_session=end,
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)
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)
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with self.assertRaises(TradingControlViolation) as ctx:
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algo.run()
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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_DATE + 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 = self.make_algo(
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algo_class=RestrictedAlgoWithoutCheck,
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symbol='BZQ',
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sim_params=sim_params,
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)
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with self.assertRaises(TradingControlViolation) as ctx:
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algo.run()
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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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with security_list_copy():
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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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algo = self.make_algo(
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algo_class=RestrictedAlgoWithoutCheck,
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symbol='BZQ',
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sim_params=sim_params,
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)
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algo.run()
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def test_algo_with_rl_violation_after_add(self):
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sim_params = factory.create_simulation_parameters(
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start=self.trading_day_before_first_kd,
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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 = self.make_algo(
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algo_class=RestrictedAlgoWithoutCheck,
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symbol='AAPL',
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sim_params=sim_params,
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)
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with self.assertRaises(TradingControlViolation) as ctx:
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algo.run()
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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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