tests.TestGetDatetime.test_get_datetime() - Code Metrics - Inspection of "Q 2.0" - quantopian/zipline - Measure and Improve Code Quality continuously with Scrutinizer

Completed
Pull Request — master (#858)

by Eddie
created 2016-01-04 15:55 UTC
tests.TestGetDatetime.test_get_datetime() B

↳ Parent: tests.TestGetDatetime
Complexity

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Metric	Value
cc	1
dl	0
loc	37
rs	8.8571
#
# Copyright 2014 Quantopian, Inc.
#
# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
# You may obtain a copy of the License at
#
#     http://www.apache.org/licenses/LICENSE-2.0
#
# Unless required by applicable law or agreed to in writing, software
# distributed under the License is distributed on an "AS IS" BASIS,
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
# See the License for the specific language governing permissions and
# limitations under the License.
import datetime
from datetime import timedelta
from mock import MagicMock
from nose_parameterized import parameterized
from six.moves import range
from testfixtures import TempDirectory
from textwrap import dedent
from unittest import TestCase

import numpy as np
import pandas as pd

from zipline.assets import Equity, Future
from zipline.utils.api_support import ZiplineAPI
from zipline.utils.control_flow import nullctx
from zipline.utils.test_utils import (
    setup_logger,
    teardown_logger,
    FakeDataPortal)
import zipline.utils.factory as factory

from zipline.errors import (
    OrderDuringInitialize,
    RegisterTradingControlPostInit,
    TradingControlViolation,
    AccountControlViolation,
    SymbolNotFound,
    RootSymbolNotFound,
    UnsupportedDatetimeFormat,
)
from zipline.test_algorithms import (
    access_account_in_init,
    access_portfolio_in_init,
    AmbitiousStopLimitAlgorithm,
    EmptyPositionsAlgorithm,
    InvalidOrderAlgorithm,
    RecordAlgorithm,
    FutureFlipAlgo,
    TestAlgorithm,
    TestOrderAlgorithm,
    TestOrderPercentAlgorithm,
    TestOrderStyleForwardingAlgorithm,
    TestOrderValueAlgorithm,
    TestRegisterTransformAlgorithm,
    TestTargetAlgorithm,
    TestTargetPercentAlgorithm,
    TestTargetValueAlgorithm,
    SetLongOnlyAlgorithm,
    SetAssetDateBoundsAlgorithm,
    SetMaxPositionSizeAlgorithm,
    SetMaxOrderCountAlgorithm,
    SetMaxOrderSizeAlgorithm,
    SetDoNotOrderListAlgorithm,
    SetMaxLeverageAlgorithm,
    api_algo,
    api_get_environment_algo,
    api_symbol_algo,
    call_all_order_methods,
    call_order_in_init,
    handle_data_api,
    handle_data_noop,
    initialize_api,
    initialize_noop,
    noop_algo,
    record_float_magic,
    record_variables,
)
from zipline.utils.context_tricks import CallbackManager
import zipline.utils.events
from zipline.utils.test_utils import to_utc

from zipline.finance.execution import LimitOrder
from zipline.finance.trading import SimulationParameters
from zipline.utils.api_support import set_algo_instance
from zipline.utils.events import DateRuleFactory, TimeRuleFactory, Always
from zipline.algorithm import TradingAlgorithm
from zipline.finance.trading import TradingEnvironment
from zipline.finance.commission import PerShare

from zipline.utils.test_utils import (
    create_data_portal,
    create_data_portal_from_trade_history
)

# Because test cases appear to reuse some resources.


_multiprocess_can_split_ = False


class TestRecordAlgorithm(TestCase):

    @classmethod
    def setUpClass(cls):
        cls.env = TradingEnvironment()
        cls.sids = [133]
        cls.env.write_data(equities_identifiers=cls.sids)

        cls.sim_params = factory.create_simulation_parameters(
            num_days=4,
            env=cls.env
        )

        cls.tempdir = TempDirectory()

        cls.data_portal = create_data_portal(
            cls.env,
            cls.tempdir,
            cls.sim_params,
            cls.sids
        )

    @classmethod
    def tearDownClass(cls):
        del cls.env
        cls.tempdir.cleanup()

    def test_record_incr(self):
        algo = RecordAlgorithm(sim_params=self.sim_params, env=self.env)
        output = algo.run(self.data_portal)

        np.testing.assert_array_equal(output['incr'].values,
                                      range(1, len(output) + 1))
        np.testing.assert_array_equal(output['name'].values,
                                      range(1, len(output) + 1))
        np.testing.assert_array_equal(output['name2'].values,
                                      [2] * len(output))
        np.testing.assert_array_equal(output['name3'].values,
                                      range(1, len(output) + 1))


class TestMiscellaneousAPI(TestCase):

    @classmethod
    def setUpClass(cls):
        cls.sids = [1, 2]
        cls.env = TradingEnvironment()

        metadata = {3: {'symbol': 'PLAY',
                        'start_date': '2002-01-01',
                        'end_date': '2004-01-01'},
                    4: {'symbol': 'PLAY',
                        'start_date': '2005-01-01',
                        'end_date': '2006-01-01'}}

        futures_metadata = {
            5: {
                'symbol': 'CLG06',
                'root_symbol': 'CL',
                'start_date': pd.Timestamp('2005-12-01', tz='UTC'),
                'notice_date': pd.Timestamp('2005-12-20', tz='UTC'),
                'expiration_date': pd.Timestamp('2006-01-20', tz='UTC')},
            6: {
                'root_symbol': 'CL',
                'symbol': 'CLK06',
                'start_date': pd.Timestamp('2005-12-01', tz='UTC'),
                'notice_date': pd.Timestamp('2006-03-20', tz='UTC'),
                'expiration_date': pd.Timestamp('2006-04-20', tz='UTC')},
            7: {
                'symbol': 'CLQ06',
                'root_symbol': 'CL',
                'start_date': pd.Timestamp('2005-12-01', tz='UTC'),
                'notice_date': pd.Timestamp('2006-06-20', tz='UTC'),
                'expiration_date': pd.Timestamp('2006-07-20', tz='UTC')},
            8: {
                'symbol': 'CLX06',
                'root_symbol': 'CL',
                'start_date': pd.Timestamp('2006-02-01', tz='UTC'),
                'notice_date': pd.Timestamp('2006-09-20', tz='UTC'),
                'expiration_date': pd.Timestamp('2006-10-20', tz='UTC')}
        }
        cls.env.write_data(equities_identifiers=cls.sids,
                           equities_data=metadata,
                           futures_data=futures_metadata)

        setup_logger(cls)

        cls.sim_params = factory.create_simulation_parameters(
            num_days=2,
            data_frequency='minute',
            emission_rate='daily',
            env=cls.env,
        )

        cls.temp_dir = TempDirectory()

        cls.data_portal = create_data_portal(
            cls.env,
            cls.temp_dir,
            cls.sim_params,
            cls.sids
        )

    @classmethod
    def tearDownClass(cls):
        del cls.env
        teardown_logger(cls)
        cls.temp_dir.cleanup()

    def test_zipline_api_resolves_dynamically(self):
        # Make a dummy algo.
        algo = TradingAlgorithm(
            initialize=lambda context: None,
            handle_data=lambda context, data: None,
            sim_params=self.sim_params,
        )

        # Verify that api methods get resolved dynamically by patching them out
        # and then calling them
        for method in algo.all_api_methods():
            name = method.__name__
            sentinel = object()

            def fake_method(*args, **kwargs):
                return sentinel
            setattr(algo, name, fake_method)
            with ZiplineAPI(algo):
                self.assertIs(sentinel, getattr(zipline.api, name)())

    def test_cannot_iterate_over_data(self):
        def initialize(algo):
            pass

        def handle_data(algo, data):
            for asset in data:
                pass

        algo = TradingAlgorithm(initialize=initialize,
                                handle_data=handle_data,
                                sim_params=self.sim_params,
                                env=self.env)

        with self.assertRaises(ValueError):
            algo.run(self.data_portal)

    def test_get_sid(self):
        algo_text = """
from zipline.api import sid

def initialize(context):
    pass

def handle_data(context, data):
    aapl = data[sid(3)]
    assert aapl.sid == 3
"""

        algo = TradingAlgorithm(script=algo_text,
                                sim_params=self.sim_params,
                                env=self.env)

        algo.run(self.data_portal)

    def test_sid_datetime(self):
        algo_text = """
from zipline.api import sid, get_datetime

def initialize(context):
    pass

def handle_data(context, data):
    aapl = data[sid(1)]
    assert aapl.datetime == get_datetime()
"""

        algo = TradingAlgorithm(script=algo_text,
                                sim_params=self.sim_params,
                                env=self.env)

        algo.run(self.data_portal)

    def test_get_environment(self):
        expected_env = {
            'arena': 'backtest',
            'data_frequency': 'minute',
            'start': pd.Timestamp('2006-01-03 14:31:00+0000', tz='UTC'),
            'end': pd.Timestamp('2006-01-04 21:00:00+0000', tz='UTC'),
            'capital_base': 100000.0,
            'platform': 'zipline'
        }

        def initialize(algo):
            self.assertEqual('zipline', algo.get_environment())
            self.assertEqual(expected_env, algo.get_environment('*'))

        def handle_data(algo, data):
            pass

        algo = TradingAlgorithm(initialize=initialize,
                                handle_data=handle_data,
                                sim_params=self.sim_params,
                                env=self.env)
        algo.run(self.data_portal)

    def test_get_open_orders(self):
        def initialize(algo):
            algo.minute = 0

        def handle_data(algo, data):
            if algo.minute == 0:

                # Should be filled by the next minute
                algo.order(algo.sid(1), 1)

                # Won't be filled because the price is too low.
                algo.order(algo.sid(2), 1, style=LimitOrder(0.01))
                algo.order(algo.sid(2), 1, style=LimitOrder(0.01))
                algo.order(algo.sid(2), 1, style=LimitOrder(0.01))

                all_orders = algo.get_open_orders()
                self.assertEqual(list(all_orders.keys()), [1, 2])

                self.assertEqual(all_orders[1], algo.get_open_orders(1))
                self.assertEqual(len(all_orders[1]), 1)

                self.assertEqual(all_orders[2], algo.get_open_orders(2))
                self.assertEqual(len(all_orders[2]), 3)

            if algo.minute == 1:
                # First order should have filled.
                # Second order should still be open.
                all_orders = algo.get_open_orders()
                self.assertEqual(list(all_orders.keys()), [2])

                self.assertEqual([], algo.get_open_orders(1))

                orders_2 = algo.get_open_orders(2)
                self.assertEqual(all_orders[2], orders_2)
                self.assertEqual(len(all_orders[2]), 3)

                for order in orders_2:
                    algo.cancel_order(order)

                all_orders = algo.get_open_orders()
                self.assertEqual(all_orders, {})

            algo.minute += 1

        algo = TradingAlgorithm(initialize=initialize,
                                handle_data=handle_data,
                                sim_params=self.sim_params,
                                env=self.env)
        algo.run(self.data_portal)

    def test_schedule_function(self):
        date_rules = DateRuleFactory
        time_rules = TimeRuleFactory

        def incrementer(algo, data):
            algo.func_called += 1
            self.assertEqual(
                algo.get_datetime().time(),
                datetime.time(hour=14, minute=31),
            )

        def initialize(algo):
            algo.func_called = 0
            algo.days = 1
            algo.date = None
            algo.schedule_function(
                func=incrementer,
                date_rule=date_rules.every_day(),
                time_rule=time_rules.market_open(),
            )

        def handle_data(algo, data):
            if not algo.date:
                algo.date = algo.get_datetime().date()

            if algo.date < algo.get_datetime().date():
                algo.days += 1
                algo.date = algo.get_datetime().date()

        algo = TradingAlgorithm(
            initialize=initialize,
            handle_data=handle_data,
            sim_params=self.sim_params,
            env=self.env,
        )
        algo.run(self.data_portal)

        self.assertEqual(algo.func_called, algo.days)

    def test_event_context(self):
        expected_data = []
        collected_data_pre = []
        collected_data_post = []
        function_stack = []

        def pre(data):
            function_stack.append(pre)
            collected_data_pre.append(data)

        def post(data):
            function_stack.append(post)
            collected_data_post.append(data)

        def initialize(context):
            context.add_event(Always(), f)
            context.add_event(Always(), g)

        def handle_data(context, data):
            function_stack.append(handle_data)
            expected_data.append(data)

        def f(context, data):
            function_stack.append(f)

        def g(context, data):
            function_stack.append(g)

        algo = TradingAlgorithm(
            initialize=initialize,
            handle_data=handle_data,
            sim_params=self.sim_params,
            create_event_context=CallbackManager(pre, post),
            env=self.env,
        )
        algo.run(self.data_portal)

        self.assertEqual(len(expected_data), 780)
        self.assertEqual(collected_data_pre, expected_data)
        self.assertEqual(collected_data_post, expected_data)

        self.assertEqual(
            len(function_stack),
            780 * 5,
            'Incorrect number of functions called: %s != 780' %
            len(function_stack),
        )
        expected_functions = [pre, handle_data, f, g, post] * 780
        for n, (f, g) in enumerate(zip(function_stack, expected_functions)):
            self.assertEqual(
                f,
                g,
                'function at position %d was incorrect, expected %s but got %s'
                % (n, g.__name__, f.__name__),
            )

    @parameterized.expand([
        ('daily',),
        ('minute'),
    ])
    def test_schedule_function_rule_creation(self, mode):
        def nop(*args, **kwargs):
            return None

        self.sim_params.data_frequency = mode
        algo = TradingAlgorithm(
            initialize=nop,
            handle_data=nop,
            sim_params=self.sim_params,
            env=self.env,
        )

        # Schedule something for NOT Always.
        algo.schedule_function(nop, time_rule=zipline.utils.events.Never())

        event_rule = algo.event_manager._events[1].rule

        self.assertIsInstance(event_rule, zipline.utils.events.OncePerDay)

        inner_rule = event_rule.rule
        self.assertIsInstance(inner_rule, zipline.utils.events.ComposedRule)

        first = inner_rule.first
        second = inner_rule.second
        composer = inner_rule.composer

        self.assertIsInstance(first, zipline.utils.events.Always)

        if mode == 'daily':
            self.assertIsInstance(second, zipline.utils.events.Always)
        else:
            self.assertIsInstance(second, zipline.utils.events.Never)

        self.assertIs(composer, zipline.utils.events.ComposedRule.lazy_and)

    def test_asset_lookup(self):

        algo = TradingAlgorithm(env=self.env)

        # Test before either PLAY existed
        algo.sim_params.period_end = pd.Timestamp('2001-12-01', tz='UTC')
        with self.assertRaises(SymbolNotFound):
            algo.symbol('PLAY')
        with self.assertRaises(SymbolNotFound):
            algo.symbols('PLAY')

        # Test when first PLAY exists
        algo.sim_params.period_end = pd.Timestamp('2002-12-01', tz='UTC')
        list_result = algo.symbols('PLAY')
        self.assertEqual(3, list_result[0])

        # Test after first PLAY ends
        algo.sim_params.period_end = pd.Timestamp('2004-12-01', tz='UTC')
        self.assertEqual(3, algo.symbol('PLAY'))

        # Test after second PLAY begins
        algo.sim_params.period_end = pd.Timestamp('2005-12-01', tz='UTC')
        self.assertEqual(4, algo.symbol('PLAY'))

        # Test after second PLAY ends
        algo.sim_params.period_end = pd.Timestamp('2006-12-01', tz='UTC')
        self.assertEqual(4, algo.symbol('PLAY'))
        list_result = algo.symbols('PLAY')
        self.assertEqual(4, list_result[0])

        # Test lookup SID
        self.assertIsInstance(algo.sid(3), Equity)
        self.assertIsInstance(algo.sid(4), Equity)

        # Supplying a non-string argument to symbol()
        # should result in a TypeError.
        with self.assertRaises(TypeError):
            algo.symbol(1)

        with self.assertRaises(TypeError):
            algo.symbol((1,))

        with self.assertRaises(TypeError):
            algo.symbol({1})

        with self.assertRaises(TypeError):
            algo.symbol([1])

        with self.assertRaises(TypeError):
            algo.symbol({'foo': 'bar'})

    def test_future_symbol(self):
        """ Tests the future_symbol API function.
        """
        algo = TradingAlgorithm(env=self.env)
        algo.datetime = pd.Timestamp('2006-12-01', tz='UTC')

        # Check that we get the correct fields for the CLG06 symbol
        cl = algo.future_symbol('CLG06')
        self.assertEqual(cl.sid, 5)
        self.assertEqual(cl.symbol, 'CLG06')
        self.assertEqual(cl.root_symbol, 'CL')
        self.assertEqual(cl.start_date, pd.Timestamp('2005-12-01', tz='UTC'))
        self.assertEqual(cl.notice_date, pd.Timestamp('2005-12-20', tz='UTC'))
        self.assertEqual(cl.expiration_date,
                         pd.Timestamp('2006-01-20', tz='UTC'))

        with self.assertRaises(SymbolNotFound):
            algo.future_symbol('')

        with self.assertRaises(SymbolNotFound):
            algo.future_symbol('PLAY')

        with self.assertRaises(SymbolNotFound):
            algo.future_symbol('FOOBAR')

        # Supplying a non-string argument to future_symbol()
        # should result in a TypeError.
        with self.assertRaises(TypeError):
            algo.future_symbol(1)

        with self.assertRaises(TypeError):
            algo.future_symbol((1,))

        with self.assertRaises(TypeError):
            algo.future_symbol({1})

        with self.assertRaises(TypeError):
            algo.future_symbol([1])

        with self.assertRaises(TypeError):
            algo.future_symbol({'foo': 'bar'})

    def test_future_chain(self):
        """ Tests the future_chain API function.
        """
        algo = TradingAlgorithm(env=self.env)
        algo.datetime = pd.Timestamp('2006-12-01', tz='UTC')

        # Check that the fields of the FutureChain object are set correctly
        cl = algo.future_chain('CL')
        self.assertEqual(cl.root_symbol, 'CL')
        self.assertEqual(cl.as_of_date, algo.datetime)

        # Check the fields are set correctly if an as_of_date is supplied
        as_of_date = pd.Timestamp('1952-08-11', tz='UTC')

        cl = algo.future_chain('CL', as_of_date=as_of_date)
        self.assertEqual(cl.root_symbol, 'CL')
        self.assertEqual(cl.as_of_date, as_of_date)

        cl = algo.future_chain('CL', as_of_date='1952-08-11')
        self.assertEqual(cl.root_symbol, 'CL')
        self.assertEqual(cl.as_of_date, as_of_date)

        # Check that weird capitalization is corrected
        cl = algo.future_chain('cL')
        self.assertEqual(cl.root_symbol, 'CL')

        cl = algo.future_chain('cl')
        self.assertEqual(cl.root_symbol, 'CL')

        # Check that invalid root symbols raise RootSymbolNotFound
        with self.assertRaises(RootSymbolNotFound):
            algo.future_chain('CLZ')

        with self.assertRaises(RootSymbolNotFound):
            algo.future_chain('')

        # Check that invalid dates raise UnsupportedDatetimeFormat
        with self.assertRaises(UnsupportedDatetimeFormat):
            algo.future_chain('CL', 'my_finger_slipped')

        with self.assertRaises(UnsupportedDatetimeFormat):
            algo.future_chain('CL', '2015-09-')

        # Supplying a non-string argument to future_chain()
        # should result in a TypeError.
        with self.assertRaises(TypeError):
            algo.future_chain(1)

        with self.assertRaises(TypeError):
            algo.future_chain((1,))

        with self.assertRaises(TypeError):
            algo.future_chain({1})

        with self.assertRaises(TypeError):
            algo.future_chain([1])

        with self.assertRaises(TypeError):
            algo.future_chain({'foo': 'bar'})

    def test_set_symbol_lookup_date(self):
        """
        Test the set_symbol_lookup_date API method.
        """
        # Note we start sid enumeration at i+3 so as not to
        # collide with sids [1, 2] added in the setUp() method.
        dates = pd.date_range('2013-01-01', freq='2D', periods=2, tz='UTC')
        # Create two assets with the same symbol but different
        # non-overlapping date ranges.
        metadata = pd.DataFrame.from_records(
            [
                {
                    'sid': i + 3,
                    'symbol': 'DUP',
                    'start_date': date.value,
                    'end_date': (date + timedelta(days=1)).value,
                }
                for i, date in enumerate(dates)
            ]
        )
        env = TradingEnvironment()
        env.write_data(equities_df=metadata)
        algo = TradingAlgorithm(env=env)

        # Set the period end to a date after the period end
        # dates for our assets.
        algo.sim_params.period_end = pd.Timestamp('2015-01-01', tz='UTC')

        # With no symbol lookup date set, we will use the period end date
        # for the as_of_date, resulting here in the asset with the earlier
        # start date being returned.
        result = algo.symbol('DUP')
        self.assertEqual(result.symbol, 'DUP')

        # By first calling set_symbol_lookup_date, the relevant asset
        # should be returned by lookup_symbol
        for i, date in enumerate(dates):
            algo.set_symbol_lookup_date(date)
            result = algo.symbol('DUP')
            self.assertEqual(result.symbol, 'DUP')
            self.assertEqual(result.sid, i + 3)

        with self.assertRaises(UnsupportedDatetimeFormat):
            algo.set_symbol_lookup_date('foobar')


class TestTransformAlgorithm(TestCase):

    @classmethod
    def setUpClass(cls):
        setup_logger(cls)
        cls.env = TradingEnvironment()
        cls.sim_params = factory.create_simulation_parameters(num_days=4,
                                                              env=cls.env)
        cls.sids = [0, 1, 133]
        cls.tempdir = TempDirectory()

        futures_metadata = {3: {'contract_multiplier': 10}}
        equities_metadata = {}

        for sid in cls.sids:
            equities_metadata[sid] = {
                'start_date': cls.sim_params.period_start,
                'end_date': cls.sim_params.period_end
            }

        cls.env.write_data(equities_data=equities_metadata,
                           futures_data=futures_metadata)

        trades_by_sid = {}
        for sid in cls.sids:
            trades_by_sid[sid] = factory.create_trade_history(
                sid,
                [10.0, 10.0, 11.0, 11.0],
                [100, 100, 100, 300],
                timedelta(days=1),
                cls.sim_params,
                cls.env
            )

        cls.data_portal = create_data_portal_from_trade_history(cls.env,
                                                                cls.tempdir,
                                                                cls.sim_params,
                                                                trades_by_sid)

        cls.data_portal.current_day = cls.sim_params.trading_days[0]

    @classmethod
    def tearDownClass(cls):
        teardown_logger(cls)
        del cls.env
        cls.tempdir.cleanup()

    def test_invalid_order_parameters(self):
        algo = InvalidOrderAlgorithm(
            sids=[133],
            sim_params=self.sim_params,
            env=self.env,
        )
        algo.run(self.data_portal)

    def test_run_twice(self):
        algo1 = TestRegisterTransformAlgorithm(
            sim_params=self.sim_params,
            sids=[0, 1]
        )

        res1 = algo1.run(self.data_portal)

        # Create a new trading algorithm, which will
        # use the newly instantiated environment.
        algo2 = TestRegisterTransformAlgorithm(
            sim_params=self.sim_params,
            sids=[0, 1]
        )

        res2 = algo2.run(self.data_portal)

        # FIXME I think we are getting Nans due to fixed benchmark,
        # so dropping them for now.
        res1 = res1.fillna(method='ffill')
        res2 = res2.fillna(method='ffill')

        np.testing.assert_array_equal(res1, res2)

    def test_data_frequency_setting(self):
        self.sim_params.data_frequency = 'daily'

        sim_params = factory.create_simulation_parameters(
            num_days=4, env=self.env, data_frequency='daily')

        algo = TestRegisterTransformAlgorithm(
            sim_params=sim_params,
            env=self.env,
        )
        self.assertEqual(algo.sim_params.data_frequency, 'daily')

        sim_params = factory.create_simulation_parameters(
            num_days=4, env=self.env, data_frequency='minute')

        algo = TestRegisterTransformAlgorithm(
            sim_params=sim_params,
            env=self.env,
        )
        self.assertEqual(algo.sim_params.data_frequency, 'minute')

    @parameterized.expand([
        (TestOrderAlgorithm,),
        (TestOrderValueAlgorithm,),
        (TestTargetAlgorithm,),
        (TestOrderPercentAlgorithm,),
        (TestTargetPercentAlgorithm,),
        (TestTargetValueAlgorithm,),
    ])
    def test_order_methods(self, algo_class):
        algo = algo_class(
            sim_params=self.sim_params,
            env=self.env,
        )
        # Ensure that the environment's asset 0 is an Equity
        asset_to_test = algo.sid(0)
        self.assertIsInstance(asset_to_test, Equity)

        algo.run(self.data_portal)

    @parameterized.expand([
        (TestOrderAlgorithm,),
        (TestOrderValueAlgorithm,),
        (TestTargetAlgorithm,),
        (TestOrderPercentAlgorithm,),
        (TestTargetValueAlgorithm,),
    ])
    def test_order_methods_for_future(self, algo_class):
        algo = algo_class(
            sim_params=self.sim_params,
            env=self.env,
        )
        # Ensure that the environment's asset 0 is a Future
        asset_to_test = algo.sid(3)
        self.assertIsInstance(asset_to_test, Future)

        algo.run(self.data_portal)

    @parameterized.expand([
        ("order",),
        ("order_value",),
        ("order_percent",),
        ("order_target",),
        ("order_target_percent",),
        ("order_target_value",),
    ])
    def test_order_method_style_forwarding(self, order_style):
        algo = TestOrderStyleForwardingAlgorithm(
            sim_params=self.sim_params,
            method_name=order_style,
            env=self.env
        )
        algo.run(self.data_portal)

    @parameterized.expand([
        (TestOrderAlgorithm,),
        (TestOrderValueAlgorithm,),
        (TestTargetAlgorithm,),
        (TestOrderPercentAlgorithm,)
    ])
    def test_minute_data(self, algo_class):
        tempdir = TempDirectory()

        try:
            env = TradingEnvironment()

            sim_params = SimulationParameters(
                period_start=pd.Timestamp('2002-1-2', tz='UTC'),
                period_end=pd.Timestamp('2002-1-4', tz='UTC'),
                capital_base=float("1.0e5"),
                data_frequency='minute',
                env=env
            )

            equities_metadata = {}

            for sid in [0, 1]:
                equities_metadata[sid] = {
                    'start_date': sim_params.period_start,
                    'end_date': sim_params.period_end + timedelta(days=1)
                }

            env.write_data(equities_data=equities_metadata)

            data_portal = create_data_portal(
                env,
                tempdir,
                sim_params,
                [0, 1]
            )

            algo = algo_class(sim_params=sim_params, env=env)
            algo.run(data_portal)
        finally:
            tempdir.cleanup()


class TestPositions(TestCase):
    @classmethod
    def setUpClass(cls):
        setup_logger(cls)
        cls.env = TradingEnvironment()
        cls.sim_params = factory.create_simulation_parameters(num_days=4,
                                                              env=cls.env)

        cls.sids = [1, 133]
        cls.tempdir = TempDirectory()

        equities_metadata = {}

        for sid in cls.sids:
            equities_metadata[sid] = {
                'start_date': cls.sim_params.period_start,
                'end_date': cls.sim_params.period_end
            }

        cls.env.write_data(equities_data=equities_metadata)

        cls.data_portal = create_data_portal(
            cls.env,
            cls.tempdir,
            cls.sim_params,
            cls.sids
        )

    @classmethod
    def tearDownClass(cls):
        teardown_logger(cls)
        cls.tempdir.cleanup()

    def test_empty_portfolio(self):
        algo = EmptyPositionsAlgorithm(self.sids,
                                       sim_params=self.sim_params,
                                       env=self.env)
        daily_stats = algo.run(self.data_portal)

        expected_position_count = [
            0,  # Before entering the first position
            2,  # After entering, exiting on this date
            0,  # After exiting
            0,
        ]

        for i, expected in enumerate(expected_position_count):
            self.assertEqual(daily_stats.ix[i]['num_positions'],
                             expected)

    def test_noop_orders(self):
        algo = AmbitiousStopLimitAlgorithm(sid=1,
                                           sim_params=self.sim_params,
                                           env=self.env)
        daily_stats = algo.run(self.data_portal)

        # Verify that positions are empty for all dates.
        empty_positions = daily_stats.positions.map(lambda x: len(x) == 0)
        self.assertTrue(empty_positions.all())


class TestAlgoScript(TestCase):

    @classmethod
    def setUpClass(cls):
        setup_logger(cls)
        cls.env = TradingEnvironment()
        cls.sim_params = factory.create_simulation_parameters(num_days=251,
                                                              env=cls.env)

        cls.sids = [0, 1, 3, 133]
        cls.tempdir = TempDirectory()

        equities_metadata = {}

        for sid in cls.sids:
            equities_metadata[sid] = {
                'start_date': cls.sim_params.period_start,
                'end_date': cls.sim_params.period_end
            }

            if sid == 3:
                equities_metadata[sid]["symbol"] = "TEST"
                equities_metadata[sid]["asset_type"] = "equity"

        cls.env.write_data(equities_data=equities_metadata)

        days = 251

        trades_by_sid = {
            0: factory.create_trade_history(
                0,
                [10.0] * days,
                [100] * days,
                timedelta(days=1),
                cls.sim_params,
                cls.env),
            3: factory.create_trade_history(
                3,
                [10.0] * days,
                [100] * days,
                timedelta(days=1),
                cls.sim_params,
                cls.env)
        }

        cls.data_portal = create_data_portal_from_trade_history(cls.env,
                                                                cls.tempdir,
                                                                cls.sim_params,
                                                                trades_by_sid)

        cls.zipline_test_config = {
            'sid': 0,
        }

    @classmethod
    def tearDownClass(cls):
        del cls.env
        cls.tempdir.cleanup()
        teardown_logger(cls)

    def test_noop(self):
        algo = TradingAlgorithm(initialize=initialize_noop,
                                handle_data=handle_data_noop)
        algo.run(self.data_portal)

    def test_noop_string(self):
        algo = TradingAlgorithm(script=noop_algo)
        algo.run(self.data_portal)

    def test_api_calls(self):
        algo = TradingAlgorithm(initialize=initialize_api,
                                handle_data=handle_data_api,
                                env=self.env)
        algo.run(self.data_portal)

    def test_api_calls_string(self):
        algo = TradingAlgorithm(script=api_algo, env=self.env)
        algo.run(self.data_portal)

    def test_api_get_environment(self):
        platform = 'zipline'
        algo = TradingAlgorithm(script=api_get_environment_algo,
                                platform=platform)
        algo.run(self.data_portal)
        self.assertEqual(algo.environment, platform)

    def test_api_symbol(self):
        algo = TradingAlgorithm(script=api_symbol_algo,
                                env=self.env,
                                sim_params=self.sim_params)
        algo.run(self.data_portal)

    def test_fixed_slippage(self):
        # verify order -> transaction -> portfolio position.
        # --------------
        test_algo = TradingAlgorithm(
            script="""
from zipline.api import (slippage,
                         commission,
                         set_slippage,
                         set_commission,
                         order,
                         record,
                         sid)

def initialize(context):
    model = slippage.FixedSlippage(spread=0.10)
    set_slippage(model)
    set_commission(commission.PerTrade(100.00))
    context.count = 1
    context.incr = 0

def handle_data(context, data):
    if context.incr < context.count:
        order(sid(0), -1000)
    record(price=data[0].price)

    context.incr += 1""",
            sim_params=self.sim_params,
            env=self.env,
        )
        results = test_algo.run(self.data_portal)

        # flatten the list of txns
        all_txns = [val for sublist in results["transactions"].tolist()
                    for val in sublist]

        self.assertEqual(len(all_txns), 1)
        txn = all_txns[0]

        self.assertEqual(100.0, txn["commission"])
        expected_spread = 0.05
        expected_commish = 0.10
        expected_price = test_algo.recorded_vars["price"] - expected_spread \
            - expected_commish

        self.assertEqual(expected_price, txn['price'])

    @parameterized.expand(
        [
            ('no_minimum_commission', 0,),
            ('default_minimum_commission', 1,),
            ('alternate_minimum_commission', 2,),
        ]
    )
    def test_volshare_slippage(self, name, minimum_commission):
        tempdir = TempDirectory()
        try:
            if name == "default_minimum_commission":
                commission_line = "set_commission(commission.PerShare(0.02))"
            else:
                commission_line = \
                    "set_commission(commission.PerShare(0.02, " \
                    "min_trade_cost={0}))".format(minimum_commission)

            # verify order -> transaction -> portfolio position.
            # --------------
            test_algo = TradingAlgorithm(
                script="""
from zipline.api import *

def initialize(context):
    model = slippage.VolumeShareSlippage(
                            volume_limit=.3,
                            price_impact=0.05
                       )
    set_slippage(model)
    {0}

    context.count = 2
    context.incr = 0

def handle_data(context, data):
    if context.incr < context.count:
        # order small lots to be sure the
        # order will fill in a single transaction
        order(sid(0), 5000)
    record(price=data[0].price)
    record(volume=data[0].volume)
    record(incr=context.incr)
    context.incr += 1
    """.format(commission_line),
                sim_params=self.sim_params,
                env=self.env,
            )
            set_algo_instance(test_algo)
            trades = factory.create_daily_trade_source(
                [0], self.sim_params, self.env)
            data_portal = create_data_portal_from_trade_history(
                self.env, tempdir, self.sim_params, {0: trades})
            results = test_algo.run(data_portal=data_portal)

            all_txns = [
                val for sublist in results["transactions"].tolist()
                for val in sublist]

            self.assertEqual(len(all_txns), 67)
            first_txn = all_txns[0]

            if minimum_commission == 0:
                commish = first_txn["amount"] * 0.02
                self.assertEqual(commish, first_txn["commission"])
            else:
                self.assertEqual(minimum_commission, first_txn["commission"])

            # import pdb; pdb.set_trace()
            # commish = first_txn["amount"] * per_share_commish
            # self.assertEqual(commish, first_txn["commission"])
            # self.assertEqual(2.029, first_txn["price"])
        finally:
            tempdir.cleanup()

    def test_algo_record_vars(self):
        test_algo = TradingAlgorithm(
            script=record_variables,
            sim_params=self.sim_params,
            env=self.env,
        )
        results = test_algo.run(self.data_portal)

        for i in range(1, 252):
            self.assertEqual(results.iloc[i-1]["incr"], i)

    def test_algo_record_allow_mock(self):
        """
        Test that values from "MagicMock"ed methods can be passed to record.

        Relevant for our basic/validation and methods like history, which
        will end up returning a MagicMock instead of a DataFrame.
        """
        test_algo = TradingAlgorithm(
            script=record_variables,
            sim_params=self.sim_params,
        )
        set_algo_instance(test_algo)

        test_algo.record(foo=MagicMock())

    def test_algo_record_nan(self):
        test_algo = TradingAlgorithm(
            script=record_float_magic % 'nan',
            sim_params=self.sim_params,
            env=self.env,
        )
        results = test_algo.run(self.data_portal)

        for i in range(1, 252):
            self.assertTrue(np.isnan(results.iloc[i-1]["data"]))

    def test_order_methods(self):
        """
        Only test that order methods can be called without error.
        Correct filling of orders is tested in zipline.
        """
        test_algo = TradingAlgorithm(
            script=call_all_order_methods,
            sim_params=self.sim_params,
            env=self.env,
        )
        test_algo.run(self.data_portal)

    def test_order_in_init(self):
        """
        Test that calling order in initialize
        will raise an error.
        """
        with self.assertRaises(OrderDuringInitialize):
            test_algo = TradingAlgorithm(
                script=call_order_in_init,
                sim_params=self.sim_params,
                env=self.env,
            )
            test_algo.run(self.data_portal)

    def test_portfolio_in_init(self):
        """
        Test that accessing portfolio in init doesn't break.
        """
        test_algo = TradingAlgorithm(
            script=access_portfolio_in_init,
            sim_params=self.sim_params,
            env=self.env,
        )
        test_algo.run(self.data_portal)

    def test_account_in_init(self):
        """
        Test that accessing account in init doesn't break.
        """
        test_algo = TradingAlgorithm(
            script=access_account_in_init,
            sim_params=self.sim_params,
            env=self.env,
        )
        test_algo.run(self.data_portal)


class TestGetDatetime(TestCase):

    @classmethod
    def setUpClass(cls):
        cls.env = TradingEnvironment()
        cls.env.write_data(equities_identifiers=[0, 1])

        setup_logger(cls)

        cls.sim_params = factory.create_simulation_parameters(
            data_frequency='minute',
            env=cls.env,
            start=to_utc('2014-01-02 9:31'),
            end=to_utc('2014-01-03 9:31')
        )

        cls.tempdir = TempDirectory()

        cls.data_portal = create_data_portal(
            cls.env,
            cls.tempdir,
            cls.sim_params,
            [1]
        )

    @classmethod
    def tearDownClass(cls):
        del cls.env
        teardown_logger(cls)
        cls.tempdir.cleanup()

    @parameterized.expand(
        [
            ('default', None,),
            ('utc', 'UTC',),
            ('us_east', 'US/Eastern',),
        ]
    )
    def test_get_datetime(self, name, tz):
        algo = dedent(
            """
            import pandas as pd
            from zipline.api import get_datetime

            def initialize(context):
                context.tz = {tz} or 'UTC'
                context.first_bar = True

            def handle_data(context, data):
                if context.first_bar:
                    dt = get_datetime({tz})
                    if dt.tz.zone != context.tz:
                        raise ValueError("Mismatched Zone")
                    elif dt.tz_convert("US/Eastern").hour != 9:
                        raise ValueError("Mismatched Hour")
                    elif dt.tz_convert("US/Eastern").minute != 31:
                        raise ValueError("Mismatched Minute")
                context.first_bar = False
            """.format(tz=repr(tz))
        )

        algo = TradingAlgorithm(
            script=algo,
            sim_params=self.sim_params,
            env=self.env,
        )
        algo.run(self.data_portal)
        self.assertFalse(algo.first_bar)


class TestTradingControls(TestCase):

    @classmethod
    def setUpClass(cls):
        cls.sid = 133
        cls.env = TradingEnvironment()
        cls.sim_params = factory.create_simulation_parameters(num_days=4,
                                                              env=cls.env)

        cls.env.write_data(equities_data={
            133: {
                'start_date': cls.sim_params.period_start,
                'end_date': cls.sim_params.period_end
            }
        })

        cls.tempdir = TempDirectory()

        cls.data_portal = create_data_portal(
            cls.env,
            cls.tempdir,
            cls.sim_params,
            [cls.sid]
        )

    @classmethod
    def tearDownClass(cls):
        del cls.env
        cls.tempdir.cleanup()

    def _check_algo(self,
                    algo,
                    handle_data,
                    expected_order_count,
                    expected_exc):

        algo._handle_data = handle_data
        with self.assertRaises(expected_exc) if expected_exc else nullctx():
            algo.run(self.data_portal)
        self.assertEqual(algo.order_count, expected_order_count)

    def check_algo_succeeds(self, algo, handle_data, order_count=4):
        # Default for order_count assumes one order per handle_data call.
        self._check_algo(algo, handle_data, order_count, None)

    def check_algo_fails(self, algo, handle_data, order_count):
        self._check_algo(algo,
                         handle_data,
                         order_count,
                         TradingControlViolation)

    def test_set_max_position_size(self):

        # Buy one share four times.  Should be fine.
        def handle_data(algo, data):
            algo.order(algo.sid(self.sid), 1)
            algo.order_count += 1
        algo = SetMaxPositionSizeAlgorithm(sid=self.sid,
                                           max_shares=10,
                                           max_notional=500.0,
                                           sim_params=self.sim_params,
                                           env=self.env)
        self.check_algo_succeeds(algo, handle_data)

        # Buy three shares four times.  Should bail on the fourth before it's
        # placed.
        def handle_data(algo, data):
            algo.order(algo.sid(self.sid), 3)
            algo.order_count += 1

        algo = SetMaxPositionSizeAlgorithm(sid=self.sid,
                                           max_shares=10,
                                           max_notional=500.0,
                                           sim_params=self.sim_params,
                                           env=self.env)
        self.check_algo_fails(algo, handle_data, 3)

        # Buy three shares four times. Should bail due to max_notional on the
        # third attempt.
        def handle_data(algo, data):
            algo.order(algo.sid(self.sid), 3)
            algo.order_count += 1

        algo = SetMaxPositionSizeAlgorithm(sid=self.sid,
                                           max_shares=10,
                                           max_notional=67.0,
                                           sim_params=self.sim_params,
                                           env=self.env)
        self.check_algo_fails(algo, handle_data, 2)

        # Set the trading control to a different sid, then BUY ALL THE THINGS!.
        # Should continue normally.
        def handle_data(algo, data):
            algo.order(algo.sid(self.sid), 10000)
            algo.order_count += 1
        algo = SetMaxPositionSizeAlgorithm(sid=self.sid + 1,
                                           max_shares=10,
                                           max_notional=67.0,
                                           sim_params=self.sim_params,
                                           env=self.env)
        self.check_algo_succeeds(algo, handle_data)

        # Set the trading control sid to None, then BUY ALL THE THINGS!. Should
        # fail because setting sid to None makes the control apply to all sids.
        def handle_data(algo, data):
            algo.order(algo.sid(self.sid), 10000)
            algo.order_count += 1
        algo = SetMaxPositionSizeAlgorithm(max_shares=10, max_notional=61.0,
                                           sim_params=self.sim_params,
                                           env=self.env)
        self.check_algo_fails(algo, handle_data, 0)

    def test_set_do_not_order_list(self):
        # set the restricted list to be the sid, and fail.
        algo = SetDoNotOrderListAlgorithm(
            sid=self.sid,
            restricted_list=[self.sid],
            sim_params=self.sim_params,
            env=self.env,
        )

        def handle_data(algo, data):
            algo.order(algo.sid(self.sid), 100)
            algo.order_count += 1

        self.check_algo_fails(algo, handle_data, 0)

        # set the restricted list to exclude the sid, and succeed
        algo = SetDoNotOrderListAlgorithm(
            sid=self.sid,
            restricted_list=[134, 135, 136],
            sim_params=self.sim_params,
            env=self.env,
        )

        def handle_data(algo, data):
            algo.order(algo.sid(self.sid), 100)
            algo.order_count += 1

        self.check_algo_succeeds(algo, handle_data)

    def test_set_max_order_size(self):

        # Buy one share.
        def handle_data(algo, data):
            algo.order(algo.sid(self.sid), 1)
            algo.order_count += 1
        algo = SetMaxOrderSizeAlgorithm(sid=self.sid,
                                        max_shares=10,
                                        max_notional=500.0,
                                        sim_params=self.sim_params,
                                        env=self.env)
        self.check_algo_succeeds(algo, handle_data)

        # Buy 1, then 2, then 3, then 4 shares.  Bail on the last attempt
        # because we exceed shares.
        def handle_data(algo, data):
            algo.order(algo.sid(self.sid), algo.order_count + 1)
            algo.order_count += 1

        algo = SetMaxOrderSizeAlgorithm(sid=self.sid,
                                        max_shares=3,
                                        max_notional=500.0,
                                        sim_params=self.sim_params,
                                        env=self.env)
        self.check_algo_fails(algo, handle_data, 3)

        # Buy 1, then 2, then 3, then 4 shares.  Bail on the last attempt
        # because we exceed notional.
        def handle_data(algo, data):
            algo.order(algo.sid(self.sid), algo.order_count + 1)
            algo.order_count += 1

        algo = SetMaxOrderSizeAlgorithm(sid=self.sid,
                                        max_shares=10,
                                        max_notional=40.0,
                                        sim_params=self.sim_params,
                                        env=self.env)
        self.check_algo_fails(algo, handle_data, 3)

        # Set the trading control to a different sid, then BUY ALL THE THINGS!.
        # Should continue normally.
        def handle_data(algo, data):
            algo.order(algo.sid(self.sid), 10000)
            algo.order_count += 1
        algo = SetMaxOrderSizeAlgorithm(sid=self.sid + 1,
                                        max_shares=1,
                                        max_notional=1.0,
                                        sim_params=self.sim_params,
                                        env=self.env)
        self.check_algo_succeeds(algo, handle_data)

        # Set the trading control sid to None, then BUY ALL THE THINGS!.
        # Should fail because not specifying a sid makes the trading control
        # apply to all sids.
        def handle_data(algo, data):
            algo.order(algo.sid(self.sid), 10000)
            algo.order_count += 1
        algo = SetMaxOrderSizeAlgorithm(max_shares=1,
                                        max_notional=1.0,
                                        sim_params=self.sim_params,
                                        env=self.env)
        self.check_algo_fails(algo, handle_data, 0)

    def test_set_max_order_count(self):
        tempdir = TempDirectory()
        try:
            env = TradingEnvironment()
            sim_params = factory.create_simulation_parameters(
                num_days=4, env=env, data_frequency="minute")

            env.write_data(equities_data={
                1: {
                    'start_date': sim_params.period_start,
                    'end_date': sim_params.period_end + timedelta(days=1)
                }
            })

            data_portal = create_data_portal(
                env,
                tempdir,
                sim_params,
                [1]
            )

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

            algo = SetMaxOrderCountAlgorithm(3, sim_params=sim_params,
                                             env=env)
            with self.assertRaises(TradingControlViolation):
                algo._handle_data = handle_data
                algo.run(data_portal)

            self.assertEqual(algo.order_count, 3)

            # This time, order 5 times twice in a single day. The last order
            # of the second batch should fail.
            def handle_data2(algo, data):
                if algo.minute_count == 0 or algo.minute_count == 100:
                    for i in range(5):
                        algo.order(algo.sid(1), 1)
                        algo.order_count += 1

                algo.minute_count += 1

            algo = SetMaxOrderCountAlgorithm(9, sim_params=sim_params,
                                             env=env)
            with self.assertRaises(TradingControlViolation):
                algo._handle_data = handle_data2
                algo.run(data_portal)

            self.assertEqual(algo.order_count, 9)

            def handle_data3(algo, data):
                if (algo.minute_count % 390) == 0:
                    for i in range(5):
                        algo.order(algo.sid(1), 1)
                        algo.order_count += 1

                algo.minute_count += 1

            # Only 5 orders are placed per day, so this should pass even
            # though in total more than 20 orders are placed.
            algo = SetMaxOrderCountAlgorithm(5, sim_params=sim_params,
                                             env=env)
            algo._handle_data = handle_data3
            algo.run(data_portal)
        finally:
            tempdir.cleanup()

    def test_long_only(self):
        # Sell immediately -> fail immediately.
        def handle_data(algo, data):
            algo.order(algo.sid(self.sid), -1)
            algo.order_count += 1
        algo = SetLongOnlyAlgorithm(sim_params=self.sim_params, env=self.env)
        self.check_algo_fails(algo, handle_data, 0)

        # Buy on even days, sell on odd days.  Never takes a short position, so
        # should succeed.
        def handle_data(algo, data):
            if (algo.order_count % 2) == 0:
                algo.order(algo.sid(self.sid), 1)
            else:
                algo.order(algo.sid(self.sid), -1)
            algo.order_count += 1
        algo = SetLongOnlyAlgorithm(sim_params=self.sim_params, env=self.env)
        self.check_algo_succeeds(algo, handle_data)

        # Buy on first three days, then sell off holdings.  Should succeed.
        def handle_data(algo, data):
            amounts = [1, 1, 1, -3]
            algo.order(algo.sid(self.sid), amounts[algo.order_count])
            algo.order_count += 1
        algo = SetLongOnlyAlgorithm(sim_params=self.sim_params, env=self.env)
        self.check_algo_succeeds(algo, handle_data)

        # Buy on first three days, then sell off holdings plus an extra share.
        # Should fail on the last sale.
        def handle_data(algo, data):
            amounts = [1, 1, 1, -4]
            algo.order(algo.sid(self.sid), amounts[algo.order_count])
            algo.order_count += 1
        algo = SetLongOnlyAlgorithm(sim_params=self.sim_params, env=self.env)
        self.check_algo_fails(algo, handle_data, 3)

    def test_register_post_init(self):

        def initialize(algo):
            algo.initialized = True

        def handle_data(algo, data):
            with self.assertRaises(RegisterTradingControlPostInit):
                algo.set_max_position_size(self.sid, 1, 1)
            with self.assertRaises(RegisterTradingControlPostInit):
                algo.set_max_order_size(self.sid, 1, 1)
            with self.assertRaises(RegisterTradingControlPostInit):
                algo.set_max_order_count(1)
            with self.assertRaises(RegisterTradingControlPostInit):
                algo.set_long_only()

        algo = TradingAlgorithm(initialize=initialize,
                                handle_data=handle_data,
                                sim_params=self.sim_params,
                                env=self.env)
        algo.run(self.data_portal)

    def test_asset_date_bounds(self):
        tempdir = TempDirectory()
        try:
            # Run the algorithm with a sid that ends far in the future
            temp_env = TradingEnvironment()

            data_portal = create_data_portal(
                temp_env,
                tempdir,
                self.sim_params,
                [0]
            )

            metadata = {0: {'start_date': self.sim_params.period_start,
                            'end_date': '2020-01-01'}}

            algo = SetAssetDateBoundsAlgorithm(
                equities_metadata=metadata,
                sim_params=self.sim_params,
                env=temp_env,
            )
            algo.run(data_portal)
        finally:
            tempdir.cleanup()

        # Run the algorithm with a sid that has already ended
        tempdir = TempDirectory()
        try:
            temp_env = TradingEnvironment()

            data_portal = create_data_portal(
                temp_env,
                tempdir,
                self.sim_params,
                [0]
            )
            metadata = {0: {'start_date': '1989-01-01',
                            'end_date': '1990-01-01'}}

            algo = SetAssetDateBoundsAlgorithm(
                equities_metadata=metadata,
                sim_params=self.sim_params,
                env=temp_env,
            )
            with self.assertRaises(TradingControlViolation):
                algo.run(data_portal)
        finally:
            tempdir.cleanup()

        # Run the algorithm with a sid that has not started
        tempdir = TempDirectory()
        try:
            temp_env = TradingEnvironment()
            data_portal = create_data_portal(
                temp_env,
                tempdir,
                self.sim_params,
                [0]
            )

            metadata = {0: {'start_date': '2020-01-01',
                            'end_date': '2021-01-01'}}

            algo = SetAssetDateBoundsAlgorithm(
                equities_metadata=metadata,
                sim_params=self.sim_params,
                env=temp_env,
            )

            with self.assertRaises(TradingControlViolation):
                algo.run(data_portal)

        finally:
            tempdir.cleanup()


class TestAccountControls(TestCase):

    @classmethod
    def setUpClass(cls):
        cls.sidint = 133
        cls.env = TradingEnvironment()
        cls.sim_params = factory.create_simulation_parameters(
            num_days=4, env=cls.env
        )

        cls.env.write_data(equities_data={
            133: {
                'start_date': cls.sim_params.period_start,
                'end_date': cls.sim_params.period_end + timedelta(days=1)
            }
        })

        cls.tempdir = TempDirectory()

        trades_by_sid = {
            cls.sidint: factory.create_trade_history(
                cls.sidint,
                [10.0, 10.0, 11.0, 11.0],
                [100, 100, 100, 300],
                timedelta(days=1),
                cls.sim_params,
                cls.env,
            )
        }

        cls.data_portal = create_data_portal_from_trade_history(cls.env,
                                                                cls.tempdir,
                                                                cls.sim_params,
                                                                trades_by_sid)

    @classmethod
    def tearDownClass(cls):
        del cls.env
        cls.tempdir.cleanup()

    def _check_algo(self,
                    algo,
                    handle_data,
                    expected_exc):

        algo._handle_data = handle_data
        with self.assertRaises(expected_exc) if expected_exc else nullctx():
            algo.run(self.data_portal)

    def check_algo_succeeds(self, algo, handle_data):
        # Default for order_count assumes one order per handle_data call.
        self._check_algo(algo, handle_data, None)

    def check_algo_fails(self, algo, handle_data):
        self._check_algo(algo,
                         handle_data,
                         AccountControlViolation)

    def test_set_max_leverage(self):

        # Set max leverage to 0 so buying one share fails.
        def handle_data(algo, data):
            algo.order(algo.sid(self.sidint), 1)

        algo = SetMaxLeverageAlgorithm(0, sim_params=self.sim_params,
                                       env=self.env)
        self.check_algo_fails(algo, handle_data)

        # Set max leverage to 1 so buying one share passes
        def handle_data(algo, data):
            algo.order(algo.sid(self.sidint), 1)

        algo = SetMaxLeverageAlgorithm(1,  sim_params=self.sim_params,
                                       env=self.env)
        self.check_algo_succeeds(algo, handle_data)


class TestClosePosAlgo(TestCase):

    @classmethod
    def setUpClass(cls):
        cls.tempdir = TempDirectory()

        cls.env = TradingEnvironment()
        cls.days = pd.date_range(start=pd.Timestamp("2006-01-09", tz='UTC'),
                                 end=pd.Timestamp("2006-01-12", tz='UTC'))

        cls.sid = 1

        cls.sim_params = factory.create_simulation_parameters(
            start=cls.days[0],
            end=cls.days[-1]
        )

        trades_by_sid = {}
        trades_by_sid[cls.sid] = factory.create_trade_history(
            cls.sid,
            [1, 1, 2, 4],
            [1e9, 1e9, 1e9, 1e9],
            timedelta(days=1),
            cls.sim_params,
            cls.env
        )

        cls.data_portal = create_data_portal_from_trade_history(
            cls.env,
            cls.tempdir,
            cls.sim_params,
            trades_by_sid
        )

    @classmethod
    def tearDownClass(cls):
        cls.tempdir.cleanup()

    def test_auto_close_future(self):
        self.env.write_data(futures_data={
            1: {
                "start_date": self.sim_params.trading_days[0],
                "end_date": self.env.next_trading_day(
                    self.sim_params.trading_days[-1]),
                'symbol': 'TEST',
                'asset_type': 'future',
                'auto_close_date': self.env.next_trading_day(
                    self.sim_params.trading_days[-1])
            }
        })

        algo = TestAlgorithm(sid=1, amount=1, order_count=1,
                             commission=PerShare(0),
                             env=self.env,
                             sim_params=self.sim_params)

        # Check results
        results = algo.run(self.data_portal)

        expected_pnl = [0, 0, 1, 2]
        self.check_algo_pnl(results, expected_pnl)

        expected_positions = [0, 1, 1, 0]
        self.check_algo_positions(results, expected_positions)

        expected_pnl = [0, 0, 1, 2]
        self.check_algo_pnl(results, expected_pnl)

    def check_algo_pnl(self, results, expected_pnl):
        np.testing.assert_array_almost_equal(results.pnl, expected_pnl)

    def check_algo_positions(self, results, expected_positions):
        for i, amount in enumerate(results.positions):
            if amount:
                actual_position = amount[0]['amount']
            else:
                actual_position = 0

            self.assertEqual(
                actual_position, expected_positions[i],
                "position for day={0} not equal, actual={1}, expected={2}".
                format(i, actual_position, expected_positions[i]))


class TestFutureFlip(TestCase):
    @classmethod
    def setUpClass(cls):
        cls.tempdir = TempDirectory()

        cls.env = TradingEnvironment()
        cls.days = pd.date_range(start=pd.Timestamp("2006-01-09", tz='UTC'),
                                 end=pd.Timestamp("2006-01-12", tz='UTC'))

        cls.sid = 1

        cls.sim_params = factory.create_simulation_parameters(
            start=cls.days[0],
            end=cls.days[-2]
        )

        trades = factory.create_trade_history(
            cls.sid,
            [1, 2, 4],
            [1e9, 1e9, 1e9],
            timedelta(days=1),
            cls.sim_params,
            cls.env
        )

        trades_by_sid = {
            cls.sid: trades
        }

        cls.data_portal = create_data_portal_from_trade_history(
            cls.env,
            cls.tempdir,
            cls.sim_params,
            trades_by_sid
        )

    @classmethod
    def tearDownClass(cls):
        cls.tempdir.cleanup()

    def test_flip_algo(self):
        metadata = {1: {'symbol': 'TEST',
                        'start_date': self.sim_params.trading_days[0],
                        'end_date': self.env.next_trading_day(
                            self.sim_params.trading_days[-1]),
                        'contract_multiplier': 5}}
        self.env.write_data(futures_data=metadata)

        algo = FutureFlipAlgo(sid=1, amount=1, env=self.env,
                              commission=PerShare(0),
                              order_count=0,  # not applicable but required
                              sim_params=self.sim_params)

        results = algo.run(self.data_portal)

        expected_positions = [0, 1, -1]
        self.check_algo_positions(results, expected_positions)

        expected_pnl = [0, 5, -10]
        self.check_algo_pnl(results, expected_pnl)

    def check_algo_pnl(self, results, expected_pnl):
        np.testing.assert_array_almost_equal(results.pnl, expected_pnl)

    def check_algo_positions(self, results, expected_positions):
        for i, amount in enumerate(results.positions):
            if amount:
                actual_position = amount[0]['amount']
            else:
                actual_position = 0

            self.assertEqual(
                actual_position, expected_positions[i],
                "position for day={0} not equal, actual={1}, expected={2}".
                format(i, actual_position, expected_positions[i]))


class TestTradingAlgorithm(TestCase):
    def setUp(self):
        self.env = TradingEnvironment()
        self.days = self.env.trading_days[:4]

    def test_analyze_called(self):
        self.perf_ref = None

        def initialize(context):
            pass

        def handle_data(context, data):
            pass

        def analyze(context, perf):
            self.perf_ref = perf

        algo = TradingAlgorithm(initialize=initialize, handle_data=handle_data,
                                analyze=analyze)

        data_portal = FakeDataPortal()

        results = algo.run(data_portal)
        self.assertIs(results, self.perf_ref)

quantopian / zipline

Pull Request — master (#858)

tests.TestGetDatetime.test_get_datetime() B

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