Python factory.create_trade_history函数代码示例

    def test_algo_with_rl_violation(self):
        sim_params = factory.create_simulation_parameters(
            start=list(LEVERAGED_ETFS.keys())[0], num_days=4)

        trade_history = factory.create_trade_history(
            'BZQ',
            [10.0, 10.0, 11.0, 11.0],
            [100, 100, 100, 300],
            timedelta(days=1),
            sim_params
        )
        self.source = SpecificEquityTrades(event_list=trade_history)

        algo = RestrictedAlgoWithoutCheck(symbol='BZQ', sim_params=sim_params)
        with self.assertRaises(TradingControlViolation) as ctx:
            algo.run(self.source)

        self.check_algo_exception(algo, ctx, 0)

        # repeat with a symbol from a different lookup date

        trade_history = factory.create_trade_history(
            'JFT',
            [10.0, 10.0, 11.0, 11.0],
            [100, 100, 100, 300],
            timedelta(days=1),
            sim_params
        )
        self.source = SpecificEquityTrades(event_list=trade_history)

        algo = RestrictedAlgoWithoutCheck(symbol='JFT', sim_params=sim_params)
        with self.assertRaises(TradingControlViolation) as ctx:
            algo.run(self.source)

        self.check_algo_exception(algo, ctx, 0)

    def test_short_position_pays_dividend(self):
        # post some trades in the market
        events = factory.create_trade_history(
            1, [10, 10, 10, 10, 10], [100, 100, 100, 100, 100], oneday, self.sim_params
        )

        dividend = factory.create_dividend(
            1,
            10.00,
            # declare at open of test
            events[0].dt,
            # ex_date same as trade 2
            events[2].dt,
            events[3].dt,
        )

        txn = create_txn(1, 10.0, -100, events[1].dt)
        events.insert(1, txn)
        events.insert(0, dividend)
        results = calculate_results(self, events)

        self.assertEqual(len(results), 5)
        cumulative_returns = [event["cumulative_perf"]["returns"] for event in results]
        self.assertEqual(cumulative_returns, [0.0, 0.0, 0.0, -0.1, -0.1])
        daily_returns = [event["daily_perf"]["returns"] for event in results]
        self.assertEqual(daily_returns, [0.0, 0.0, 0.0, -0.1, 0.0])
        cash_flows = [event["daily_perf"]["capital_used"] for event in results]
        self.assertEqual(cash_flows, [0, 1000, 0, -1000, 0])
        cumulative_cash_flows = [event["cumulative_perf"]["capital_used"] for event in results]
        self.assertEqual(cumulative_cash_flows, [0, 1000, 1000, 0, 0])

    def test_commission_event(self):
        with trading.TradingEnvironment():
            events = factory.create_trade_history(
                1,
                [10, 10, 10, 10, 10],
                [100, 100, 100, 100, 100],
                oneday,
                self.sim_params
            )

            cash_adj_dt = self.sim_params.period_start \
                + datetime.timedelta(hours=3)
            cash_adjustment = factory.create_commission(1, 300.0,
                                                        cash_adj_dt)

            # Insert a purchase order.
            events.insert(0, create_txn(events[0], 20, 1))

            events.insert(1, cash_adjustment)
            results = calculate_results(self, events)
            # Validate that we lost 320 dollars from our cash pool.
            self.assertEqual(results[-1]['cumulative_perf']['ending_cash'],
                             9680)
            # Validate that the cost basis of our position changed.
            self.assertEqual(results[-1]['daily_perf']['positions']
                             [0]['cost_basis'], 320.0)

    def test_long_position_receives_dividend(self):
        # post some trades in the market
        events = factory.create_trade_history(
            1, [10, 10, 10, 10, 10], [100, 100, 100, 100, 100], oneday, self.sim_params
        )

        dividend = factory.create_dividend(
            1,
            10.00,
            # declared date, when the algorithm finds out about
            # the dividend
            events[1].dt,
            # ex_date, when the algorithm is credited with the
            # dividend
            events[1].dt,
            # pay date, when the algorithm receives the dividend.
            events[2].dt,
        )

        txn = create_txn(1, 10.0, 100, events[0].dt)
        events.insert(0, txn)
        events.insert(1, dividend)
        results = calculate_results(self, events)

        self.assertEqual(len(results), 5)
        cumulative_returns = [event["cumulative_perf"]["returns"] for event in results]
        self.assertEqual(cumulative_returns, [0.0, 0.0, 0.1, 0.1, 0.1])
        daily_returns = [event["daily_perf"]["returns"] for event in results]
        self.assertEqual(daily_returns, [0.0, 0.0, 0.10, 0.0, 0.0])
        cash_flows = [event["daily_perf"]["capital_used"] for event in results]
        self.assertEqual(cash_flows, [-1000, 0, 1000, 0, 0])
        cumulative_cash_flows = [event["cumulative_perf"]["capital_used"] for event in results]
        self.assertEqual(cumulative_cash_flows, [-1000, -1000, 0, 0, 0])
        cash_pos = [event["cumulative_perf"]["ending_cash"] for event in results]
        self.assertEqual(cash_pos, [9000, 9000, 10000, 10000, 10000])

    def test_ending_before_pay_date(self):
        # post some trades in the market
        events = factory.create_trade_history(
            1, [10, 10, 10, 10, 10], [100, 100, 100, 100, 100], oneday, self.sim_params
        )

        pay_date = self.sim_params.first_open
        # find pay date that is much later.
        for i in xrange(30):
            pay_date = factory.get_next_trading_dt(pay_date, oneday)
        dividend = factory.create_dividend(1, 10.00, events[0].dt, events[1].dt, pay_date)

        buy_txn = create_txn(1, 10.0, 100, events[1].dt)
        events.insert(2, buy_txn)
        events.insert(1, dividend)
        results = calculate_results(self, events)

        self.assertEqual(len(results), 5)
        cumulative_returns = [event["cumulative_perf"]["returns"] for event in results]
        self.assertEqual(cumulative_returns, [0, 0, 0, 0.0, 0.0])
        daily_returns = [event["daily_perf"]["returns"] for event in results]
        self.assertEqual(daily_returns, [0, 0, 0, 0, 0])
        cash_flows = [event["daily_perf"]["capital_used"] for event in results]
        self.assertEqual(cash_flows, [0, -1000, 0, 0, 0])
        cumulative_cash_flows = [event["cumulative_perf"]["capital_used"] for event in results]
        self.assertEqual(cumulative_cash_flows, [0, -1000, -1000, -1000, -1000])

    def test_set_max_order_count(self):

        # Override the default setUp to use six-hour intervals instead of full
        # days so we can exercise trading-session rollover logic.
        trade_history = factory.create_trade_history(
            self.sid,
            [10.0, 10.0, 11.0, 11.0],
            [100, 100, 100, 300],
            timedelta(hours=6),
            self.sim_params
        )
        self.source = SpecificEquityTrades(event_list=trade_history)

        def handle_data(algo, data):
            for i in range(5):
                algo.order(self.sid, 1)
                algo.order_count += 1

        algo = SetMaxOrderCountAlgorithm(3)
        self.check_algo_fails(algo, handle_data, 3)

        # Second call to handle_data is the same day as the first, so the last
        # order of the second call should fail.
        algo = SetMaxOrderCountAlgorithm(9)
        self.check_algo_fails(algo, handle_data, 9)

        # Only ten orders are placed per day, so this should pass even though
        # in total more than 20 orders are placed.
        algo = SetMaxOrderCountAlgorithm(10)
        self.check_algo_succeeds(algo, handle_data, order_count=20)

    def test_returns(self):
        # Daily returns.
        returns = Returns(1)

        transformed = list(returns.transform(self.source))
        tnfm_vals = [message[returns.get_hash()] for message in transformed]

        # No returns for the first event because we don't have a
        # previous close.
        expected = [0.0, 0.0, 0.1, 0.0]

        self.assertEquals(tnfm_vals, expected)

        # Two-day returns.  An extra kink here is that the
        # factory will automatically skip a weekend for the
        # last event. Results shouldn't notice this blip.

        trade_history = factory.create_trade_history(
            133, [10.0, 15.0, 13.0, 12.0, 13.0], [100, 100, 100, 300, 100], timedelta(days=1), self.trading_environment
        )
        self.source = SpecificEquityTrades(event_list=trade_history)

        returns = StatefulTransform(Returns, 2)

        transformed = list(returns.transform(self.source))
        tnfm_vals = [message[returns.get_hash()] for message in transformed]

        expected = [0.0, 0.0, (13.0 - 10.0) / 10.0, (12.0 - 15.0) / 15.0, (13.0 - 13.0) / 13.0]

        self.assertEquals(tnfm_vals, expected)

    def test_commission_zero_position(self):
        """
        Ensure no div-by-zero errors.
        """
        with trading.TradingEnvironment():
            events = factory.create_trade_history(
                1,
                [10, 10, 10, 10, 10],
                [100, 100, 100, 100, 100],
                oneday,
                self.sim_params
            )

            cash_adj_dt = self.sim_params.first_open \
                + datetime.timedelta(hours=3)
            cash_adjustment = factory.create_commission(1, 300.0,
                                                        cash_adj_dt)

            # Insert a purchase order.
            events.insert(0, create_txn(events[0], 20, 1))

            # Sell that order.
            events.insert(1, create_txn(events[1], 20, -1))

            events.insert(2, cash_adjustment)
            results = calculate_results(self, events)
            # Validate that we lost 300 dollars from our cash pool.
            self.assertEqual(results[-1]['cumulative_perf']['ending_cash'],
                             9700)

    def test_algo_with_rl_violation_cumulative(self):
        """
        Add a new restriction, run a test long after both
        knowledge dates, make sure stock from original restriction
        set is still disallowed.
        """
        sim_params = factory.create_simulation_parameters(
            start=list(
                LEVERAGED_ETFS.keys())[0] + timedelta(days=7), num_days=4)

        with security_list_copy():
            add_security_data(['AAPL'], [])
            trade_history = factory.create_trade_history(
                'BZQ',
                [10.0, 10.0, 11.0, 11.0],
                [100, 100, 100, 300],
                timedelta(days=1),
                sim_params,
                env=self.env,
            )
            self.source = SpecificEquityTrades(event_list=trade_history,
                                               env=self.env)
            algo = RestrictedAlgoWithoutCheck(
                symbol='BZQ', sim_params=sim_params, env=self.env)
            with self.assertRaises(TradingControlViolation) as ctx:
                algo.run(self.source)

            self.check_algo_exception(algo, ctx, 0)

    def test_cost_basis_calc_close_pos(self):
        history_args = (
            1,
            [10, 9, 11, 8, 9, 12, 13, 14],
            [200, -100, -100, 100, -300, 100, 500, 400],
            onesec,
            self.sim_params
        )
        cost_bases = [10, 10, 0, 8, 9, 9, 13, 13.5]

        trades = factory.create_trade_history(*history_args)
        transactions = factory.create_txn_history(*history_args)

        pp = perf.PerformancePeriod(1000.0)

        for txn, cb in zip(transactions, cost_bases):
            pp.execute_transaction(txn)
            self.assertEqual(pp.positions[1].cost_basis, cb)

        for trade in trades:
            pp.update_last_sale(trade)

        pp.calculate_performance()

        self.assertEqual(pp.positions[1].cost_basis, cost_bases[-1])

    def test_commission_zero_position(self):
        """
        Ensure no div-by-zero errors.
        """
        events = factory.create_trade_history(
            1,
            [10, 10, 10, 10, 10],
            [100, 100, 100, 100, 100],
            oneday,
            self.sim_params
        )

        # Buy and sell the same sid so that we have a zero position by the
        # time of events[3].
        txns = [
            create_txn(events[0], 20, 1),
            create_txn(events[1], 20, -1),
        ]

        # Add a cash adjustment at the time of event[3].
        cash_adj_dt = events[3].dt
        cash_adjustment = factory.create_commission(1, 300.0, cash_adj_dt)

        events.append(cash_adjustment)

        results = calculate_results(self, events, txns=txns)
        # Validate that we lost 300 dollars from our cash pool.
        self.assertEqual(results[-1]['cumulative_perf']['ending_cash'],
                         9700)

    def test_no_position_receives_no_dividend(self):
        # post some trades in the market
        events = factory.create_trade_history(
            1,
            [10, 10, 10, 10, 10],
            [100, 100, 100, 100, 100],
            oneday,
            self.sim_params
        )

        dividend = factory.create_dividend(
            1,
            10.00,
            events[0].dt,
            events[1].dt,
            events[2].dt
        )

        results = calculate_results(
            self,
            events,
            dividend_events=[dividend],
        )

        self.assertEqual(len(results), 5)
        cumulative_returns = \
            [event['cumulative_perf']['returns'] for event in results]
        self.assertEqual(cumulative_returns, [0.0, 0.0, 0.0, 0.0, 0.0])
        daily_returns = [event['daily_perf']['returns'] for event in results]
        self.assertEqual(daily_returns, [0.0, 0.0, 0.0, 0.0, 0.0])
        cash_flows = [event['daily_perf']['capital_used'] for event in results]
        self.assertEqual(cash_flows, [0, 0, 0, 0, 0])
        cumulative_cash_flows = \
            [event['cumulative_perf']['capital_used'] for event in results]
        self.assertEqual(cumulative_cash_flows, [0, 0, 0, 0, 0])

    def test_moving_stddev(self):
        trade_history = factory.create_trade_history(
            133,
            [10.0, 15.0, 13.0, 12.0],
            [100, 100, 100, 100],
            timedelta(hours=1),
            self.trading_environment
        )

        stddev = MovingStandardDev(
            market_aware=False,
            delta=timedelta(minutes=150),
        )
        self.source = SpecificEquityTrades(event_list=trade_history)

        transformed = list(stddev.transform(self.source))

        vals = [message.tnfm_value for message in transformed]

        expected = [
            None,
            np.std([10.0, 15.0], ddof=1),
            np.std([10.0, 15.0, 13.0], ddof=1),
            np.std([15.0, 13.0, 12.0], ddof=1),
        ]

        # np has odd rounding behavior, cf.
        # http://docs.scipy.org/doc/np/reference/generated/np.std.html
        for v1, v2 in zip(vals, expected):

            if v1 is None:
                assert v2 is None
                continue
            assert round(v1, 5) == round(v2, 5)

    def test_moving_stddev(self):
        trade_history = factory.create_trade_history(
            133,
            [10.0, 15.0, 13.0, 12.0],
            [100, 100, 100, 100],
            timedelta(days=1),
            self.sim_params
        )

        stddev = MovingStandardDev(
            market_aware=True,
            window_length=3,
        )

        self.source = SpecificEquityTrades(event_list=trade_history)

        transformed = list(stddev.transform(self.source))

        vals = [message[stddev.get_hash()] for message in transformed]

        expected = [
            None,
            np.std([10.0, 15.0], ddof=1),
            np.std([10.0, 15.0, 13.0], ddof=1),
            np.std([15.0, 13.0, 12.0], ddof=1),
        ]

        # np has odd rounding behavior, cf.
        # http://docs.scipy.org/doc/np/reference/generated/np.std.html
        for v1, v2 in zip(vals, expected):

            if v1 is None:
                self.assertIsNone(v2)
                continue
            self.assertEquals(round(v1, 5), round(v2, 5))

    def setUp(self):
        self.trading_environment = factory.create_trading_environment()
        setup_logger(self)

        trade_history = factory.create_trade_history(
            133, [10.0, 10.0, 11.0, 11.0], [100, 100, 100, 300], timedelta(days=1), self.trading_environment
        )
        self.source = SpecificEquityTrades(event_list=trade_history)