DEP: Removes use of 'count'-defined test sources

Test sources are now defined by the sim_params period_start and period_end, rather than by the period_start and a defined 'count' of bars. This allows us to consider the sim_params.period_end as the canonical definition of the end of a simulation.

tests/test_algorithm.py

@@ -135,7 +135,6 @@ def setUp(self):
         )
         self.source = factory.create_minutely_trade_source(
             sids,
-            trade_count=100,
             sim_params=self.sim_params,
             concurrent=True,
         )

tests/test_algorithm_gen.py

@@ -134,7 +134,6 @@ def test_generator_dates(self):
         algo = TestAlgo(self, sim_params=sim_params)
         trade_source = factory.create_daily_trade_source(
             [8229],
-            200,
             sim_params
         )
         algo.set_sources([trade_source])
@@ -205,7 +204,6 @@ def test_progress(self):
         algo = TestAlgo(self, sim_params=sim_params)
         trade_source = factory.create_daily_trade_source(
             [8229],
-            3,
             sim_params
         )
         algo.set_sources([trade_source])

tests/test_finance.py

@@ -72,7 +72,6 @@ def test_factory_daily(self):
         sim_params = factory.create_simulation_parameters()
         trade_source = factory.create_daily_trade_source(
             [133],
-            200,
             sim_params
         )
         prev = None

tests/test_transforms.py

@@ -41,6 +41,7 @@ def wrapper(context, data):
         else:
             context.mins_for_days[-1] += 1
 
+        hist = context.history(2, '1d', 'close_price')
         for n in (1, 2, 3):
             if n in data:
                 if data[n].dt == dt:
@@ -53,7 +54,7 @@ def wrapper(context, data):
                 context.price_bars[n].append(np.nan)
                 context.vol_bars[n].append(0)
 
-            context.last_close_prices[n] = context.price_bars[n][-2]
+            context.last_close_prices[n] = hist[n][0]
 
         if context.warmup < 0:
             return f(context, data)
@@ -101,6 +102,7 @@ def wrapper(self, data_frequency, days=None):
             initialize=initialize_with(self, tfm_name, days),
             handle_data=handle_data_wrapper(f),
             sim_params=sim_params,
+            identifiers=[1, 2, 3]
         )
         algo.run(source)
 
@@ -131,12 +133,10 @@ def setUpClass(cls):
         cls.sim_and_source = {
             'minute': (minute_sim_ps, factory.create_minutely_trade_source(
                 cls.sids,
-                trade_count=45,
                 sim_params=minute_sim_ps,
             )),
             'daily': (daily_sim_ps, factory.create_trade_source(
                 cls.sids,
-                trade_count=90,
                 trade_time_increment=timedelta(days=1),
                 sim_params=daily_sim_ps,
             )),

zipline/sources/test_source.py

@@ -19,9 +19,9 @@
 
 import pytz
 
-from itertools import cycle
-from six.moves import filter, zip
+from six.moves import filter
 from datetime import datetime, timedelta
+import itertools
 import numpy as np
 
 from six.moves import range
@@ -53,9 +53,9 @@ def create_trade(sid, price, amount, datetime, source_id="test_factory"):
 
 
 @with_environment()
-def date_gen(start=datetime(2006, 6, 6, 12, tzinfo=pytz.utc),
+def date_gen(start,
+             end,
              delta=timedelta(minutes=1),
-             count=100,
              repeats=None,
              env=None):
     """
@@ -88,7 +88,7 @@ def advance_current(cur):
 
     # yield count trade events, all on trading days, and
     # during trading hours.
-    for i in range(count):
+    while cur < end:
         if repeats:
             for j in range(repeats):
                 yield cur
@@ -98,22 +98,6 @@ def advance_current(cur):
         cur = advance_current(cur)
 
 
-def mock_prices(count):
-    """
-    Utility to generate a stream of mock prices. By default
-    cycles through values from 0.0 to 10.0, n times.
-    """
-    return (float(i % 10) + 1.0 for i in range(count))
-
-
-def mock_volumes(count):
-    """
-    Utility to generate a set of volumes. By default cycles
-    through values from 100 to 1000, incrementing by 50.
-    """
-    return ((i * 50) % 900 + 100 for i in range(count))
-
-
 class SpecificEquityTrades(object):
     """
     Yields all events in event_list that match the given sid_filter.
@@ -136,30 +120,30 @@ def __init__(self, *args, **kwargs):
         # Default to None for event_list and filter.
         self.event_list = kwargs.get('event_list')
         self.filter = kwargs.get('filter')
-
         if self.event_list is not None:
             # If event_list is provided, extract parameters from there
             # This isn't really clean and ultimately I think this
             # class should serve a single purpose (either take an
             # event_list or autocreate events).
-            self.count = kwargs.get('count', len(self.event_list))
             self.sids = kwargs.get(
                 'sids',
                 np.unique([event.sid for event in self.event_list]).tolist())
             self.start = kwargs.get('start', self.event_list[0].dt)
-            self.end = kwargs.get('start', self.event_list[-1].dt)
+            self.end = kwargs.get('end', self.event_list[-1].dt)
             self.delta = kwargs.get(
                 'delta',
                 self.event_list[1].dt - self.event_list[0].dt)
             self.concurrent = kwargs.get('concurrent', False)
 
         else:
             # Unpack config dictionary with default values.
-            self.count = kwargs.get('count', 500)
             self.sids = kwargs.get('sids', [1, 2])
             self.start = kwargs.get(
                 'start',
                 datetime(2008, 6, 6, 15, tzinfo=pytz.utc))
+            self.end = kwargs.get(
+                'end',
+                datetime(2008, 6, 6, 15, tzinfo=pytz.utc))
             self.delta = kwargs.get(
                 'delta',
                 timedelta(minutes=1))
@@ -201,30 +185,32 @@ def create_fresh_generator(self):
             if self.concurrent:
                 # in this context the count is the number of
                 # trades per sid, not the total.
-                dates = date_gen(
-                    count=self.count,
+                date_generator = date_gen(
                     start=self.start,
+                    end=self.end,
                     delta=self.delta,
                     repeats=len(self.sids),
                 )
             else:
-                dates = date_gen(
-                    count=self.count,
+                date_generator = date_gen(
                     start=self.start,
+                    end=self.end,
                     delta=self.delta
                 )
 
-            prices = mock_prices(self.count)
-            volumes = mock_volumes(self.count)
-
-            sids = cycle(self.sids)
-
-            # Combine the iterators into a single iterator of arguments
-            arg_gen = zip(sids, prices, volumes, dates)
-
-            # Convert argument packages into events.
-            unfiltered = (create_trade(*args, source_id=self.get_hash())
-                          for args in arg_gen)
+            source_id = self.get_hash()
+
+            unfiltered = (
+                create_trade(
+                    sid=sid,
+                    price=float(i % 10) + 1.0,
+                    amount=(i * 50) % 900 + 100,
+                    datetime=date,
+                    source_id=source_id,
+                ) for (i, date), sid in itertools.product(
+                    enumerate(date_generator), self.sids
+                )
+            )
 
         # If we specified a sid filter, filter out elements that don't
         # match the filter.

zipline/utils/factory.py

@@ -224,65 +224,50 @@ def create_returns_from_list(returns, sim_params):
                      data=returns)
 
 
-def create_daily_trade_source(sids, trade_count, sim_params,
-                              concurrent=False):
+def create_daily_trade_source(sids, sim_params, concurrent=False):
     """
     creates trade_count trades for each sid in sids list.
     first trade will be on sim_params.period_start, and daily
     thereafter for each sid. Thus, two sids should result in two trades per
     day.
-
-    Important side-effect: sim_params.period_end will be modified
-    to match the day of the final trade.
     """
     return create_trade_source(
         sids,
-        trade_count,
         timedelta(days=1),
         sim_params,
         concurrent=concurrent
     )
 
 
-def create_minutely_trade_source(sids, trade_count, sim_params,
-                                 concurrent=False):
+def create_minutely_trade_source(sids, sim_params, concurrent=False):
     """
     creates trade_count trades for each sid in sids list.
     first trade will be on sim_params.period_start, and every minute
     thereafter for each sid. Thus, two sids should result in two trades per
     minute.
-
-    Important side-effect: sim_params.period_end will be modified
-    to match the day of the final trade.
     """
     return create_trade_source(
         sids,
-        trade_count,
         timedelta(minutes=1),
         sim_params,
         concurrent=concurrent
     )
 
 
-def create_trade_source(sids, trade_count,
-                        trade_time_increment, sim_params,
+def create_trade_source(sids, trade_time_increment, sim_params,
                         concurrent=False):
 
     args = tuple()
     kwargs = {
-        'count': trade_count,
         'sids': sids,
         'start': sim_params.first_open,
+        'end': sim_params.period_end,
         'delta': trade_time_increment,
         'filter': sids,
         'concurrent': concurrent
     }
     source = SpecificEquityTrades(*args, **kwargs)
 
-    # TODO: do we need to set the trading environment's end to same dt as
-    # the last trade in the history?
-    # sim_params.period_end = trade_history[-1].dt
-
     return source
 
 

zipline/utils/simfactory.py

@@ -42,13 +42,6 @@ def create_test_zipline(**config):
     else:
         order_amount = 100
 
-    if 'trade_count' in config:
-        trade_count = config['trade_count']
-    else:
-        # to ensure all orders are filled, we provide one more
-        # trade than order
-        trade_count = 101
-
     # -------------------
     # Create the Algo
     # -------------------
@@ -72,7 +65,6 @@ def create_test_zipline(**config):
     else:
         trade_source = factory.create_daily_trade_source(
             sid_list,
-            trade_count,
             test_algo.sim_params,
             concurrent=concurrent_trades
         )