Merge 0d7f9c0 into 7056a90

tests/data/test_resample.py

@@ -23,7 +23,6 @@
 
 from zipline.data.resample import (
     minute_frame_to_session_frame,
-    minute_panel_to_session_panel,
     DailyHistoryAggregator,
     MinuteResampleSessionBarReader,
     ReindexMinuteBarReader,
@@ -564,21 +563,6 @@ def test_minute_to_session(self):
                                 result.values,
                                 err_msg='sid={0}'.format(sid))
 
-    def test_minute_panel_to_session_panel(self):
-        minute_panel = pd.Panel(
-            {sid: self.equity_frames[sid]
-             for sid in self.ASSET_FINDER_EQUITY_SIDS}
-        )
-        expected = pd.Panel(
-            {sid: EXPECTED_SESSIONS[sid]
-             for sid in self.ASSET_FINDER_EQUITY_SIDS}
-        )
-        result = minute_panel_to_session_panel(
-            minute_panel,
-            self.nyse_calendar
-        )
-        assert_almost_equal(expected.values, result.values)
-
 
 class TestResampleSessionBars(WithBcolzFutureMinuteBarReader,
                               ZiplineTestCase):

tests/finance/test_risk.py

@@ -20,7 +20,7 @@
 from zipline.utils import factory
 
 from zipline.finance.trading import SimulationParameters
-from zipline.testing.fixtures import WithTradingEnvironment, ZiplineTestCase
+import zipline.testing.fixtures as zf
 
 from zipline.finance.metrics import _ClassicRiskMetrics as ClassicRiskMetrics
 
@@ -39,7 +39,7 @@
 ]
 
 
-class TestRisk(WithTradingEnvironment, ZiplineTestCase):
+class TestRisk(zf.WithBenchmarkReturns, zf.ZiplineTestCase):
 
     def init_instance_fixtures(self):
         super(TestRisk, self).init_instance_fixtures()
@@ -172,7 +172,7 @@ def test_treasury_returns(self):
         returns = factory.create_returns_from_range(self.sim_params)
         metrics = ClassicRiskMetrics.risk_report(
             algorithm_returns=returns,
-            benchmark_returns=self.env.benchmark_returns,
+            benchmark_returns=self.benchmark_returns,
             algorithm_leverages=pd.Series(0.0, index=returns.index)
         )
 
@@ -202,7 +202,8 @@ def test_benchmarkrange(self):
         returns = factory.create_returns_from_range(sim_params)
         metrics = ClassicRiskMetrics.risk_report(
             algorithm_returns=returns,
-            benchmark_returns=self.env.benchmark_returns,
+            # use returns from the fixture to ensure that we have enough data.
+            benchmark_returns=self.BENCHMARK_RETURNS,
             algorithm_leverages=pd.Series(0.0, index=returns.index)
         )
 
@@ -227,7 +228,8 @@ def test_partial_month(self):
         returns = returns[:-10]  # truncate the returns series to end mid-month
         metrics = ClassicRiskMetrics.risk_report(
             algorithm_returns=returns,
-            benchmark_returns=self.env.benchmark_returns,
+            # use returns from the fixture to ensure that we have enough data.
+            benchmark_returns=self.BENCHMARK_RETURNS,
             algorithm_leverages=pd.Series(0.0, index=returns.index)
         )
         total_months = 60

tests/finance/test_slippage.py

@@ -45,10 +45,11 @@
     tmp_bcolz_equity_minute_bar_reader,
 )
 from zipline.testing.fixtures import (
+    WithAssetFinder,
     WithCreateBarData,
     WithDataPortal,
     WithSimParams,
-    WithTradingEnvironment,
+    WithTradingCalendars,
     ZiplineTestCase,
 )
 from zipline.utils.classproperty import classproperty
@@ -96,7 +97,7 @@ def make_equity_minute_bar_data(cls):
     @classmethod
     def init_class_fixtures(cls):
         super(SlippageTestCase, cls).init_class_fixtures()
-        cls.ASSET133 = cls.env.asset_finder.retrieve_asset(133)
+        cls.ASSET133 = cls.asset_finder.retrieve_asset(133)
 
     def test_allowed_asset_types(self):
         # Custom equities model.
@@ -628,8 +629,8 @@ def make_future_minute_bar_data(cls):
     @classmethod
     def init_class_fixtures(cls):
         super(VolumeShareSlippageTestCase, cls).init_class_fixtures()
-        cls.ASSET133 = cls.env.asset_finder.retrieve_asset(133)
-        cls.ASSET1000 = cls.env.asset_finder.retrieve_asset(1000)
+        cls.ASSET133 = cls.asset_finder.retrieve_asset(133)
+        cls.ASSET1000 = cls.asset_finder.retrieve_asset(1000)
 
     def test_volume_share_slippage(self):
 
@@ -943,7 +944,8 @@ def test_window_data(self):
 
 
 class OrdersStopTestCase(WithSimParams,
-                         WithTradingEnvironment,
+                         WithAssetFinder,
+                         WithTradingCalendars,
                          ZiplineTestCase):
 
     START_DATE = pd.Timestamp('2006-01-05 14:31', tz='utc')
@@ -961,7 +963,7 @@ class OrdersStopTestCase(WithSimParams,
     @classmethod
     def init_class_fixtures(cls):
         super(OrdersStopTestCase, cls).init_class_fixtures()
-        cls.ASSET133 = cls.env.asset_finder.retrieve_asset(133)
+        cls.ASSET133 = cls.asset_finder.retrieve_asset(133)
 
     STOP_ORDER_CASES = {
         # Stop orders can be long/short and have their price greater or
@@ -1111,7 +1113,7 @@ def test_orders_stop(self, name, order_data, event_data, expected):
         with tmp_bcolz_equity_minute_bar_reader(
                 self.trading_calendar, days, assets) as reader:
             data_portal = DataPortal(
-                self.env.asset_finder, self.trading_calendar,
+                self.asset_finder, self.trading_calendar,
                 first_trading_day=reader.first_trading_day,
                 equity_minute_reader=reader,
             )

tests/history/generate_csvs.py

@@ -17,8 +17,8 @@
 import numpy as np
 import pandas as pd
 
-from zipline.finance.trading import TradingEnvironment
 from zipline.data.us_equity_minutes import BcolzMinuteBarWriter
+from zipline.utils.calendars import get_calendar
 
 
 def generate_daily_test_data(first_day,
@@ -28,7 +28,8 @@ def generate_daily_test_data(first_day,
                              multipliers_list,
                              path):
 
-    days = TradingEnvironment.instance().days_in_range(first_day, last_day)
+    cal = get_calendar('NYSE')
+    days = cal.days_in_range(first_day, last_day)
 
     days_count = len(days)
     o = np.zeros(days_count, dtype=np.uint32)
@@ -108,8 +109,10 @@ def generate_minute_test_data(first_day,
         first_day, last_day)
     minutes_count = len(full_minutes)
 
-    minutes = TradingEnvironment.instance().minutes_for_days_in_range(
-        first_day, last_day)
+    cal = get_calendar('NYSE')
+    minutes = cal.minutes_for_sessions_in_range(
+        first_day, last_day
+    )
 
     o = np.zeros(minutes_count, dtype=np.uint32)
     h = np.zeros(minutes_count, dtype=np.uint32)

tests/pipeline/test_engine.py

@@ -75,13 +75,7 @@
     parameter_space,
     product_upper_triangle,
 )
-from zipline.testing.fixtures import (
-    WithAdjustmentReader,
-    WithEquityPricingPipelineEngine,
-    WithSeededRandomPipelineEngine,
-    WithTradingEnvironment,
-    ZiplineTestCase,
-)
+import zipline.testing.fixtures as zf
 from zipline.testing.predicates import assert_equal
 from zipline.utils.memoize import lazyval
 from zipline.utils.numpy_utils import bool_dtype, datetime64ns_dtype
@@ -168,7 +162,7 @@ def compute(self, today, assets, out, *inputs):
         out[:] = sum(inputs).sum(axis=0)
 
 
-class WithConstantInputs(WithTradingEnvironment):
+class WithConstantInputs(object):
     asset_ids = ASSET_FINDER_EQUITY_SIDS = 1, 2, 3, 4
     START_DATE = Timestamp('2014-01-01', tz='utc')
     END_DATE = Timestamp('2014-03-01', tz='utc')
@@ -198,7 +192,10 @@ def init_class_fixtures(cls):
         cls.assets = cls.asset_finder.retrieve_all(cls.asset_ids)
 
 
-class ConstantInputTestCase(WithConstantInputs, ZiplineTestCase):
+class ConstantInputTestCase(WithConstantInputs,
+                            zf.WithAssetFinder,
+                            zf.WithTradingCalendars,
+                            zf.ZiplineTestCase):
     def test_bad_dates(self):
         loader = self.loader
         engine = SimplePipelineEngine(
@@ -815,7 +812,9 @@ def expected_for_col(col):
                                                   Loader2DataSet.col2)})
 
 
-class FrameInputTestCase(WithTradingEnvironment, ZiplineTestCase):
+class FrameInputTestCase(zf.WithAssetFinder,
+                         zf.WithTradingCalendars,
+                         zf.ZiplineTestCase):
     asset_ids = ASSET_FINDER_EQUITY_SIDS = 1, 2, 3
     start = START_DATE = Timestamp('2015-01-01', tz='utc')
     end = END_DATE = Timestamp('2015-01-31', tz='utc')
@@ -919,8 +918,9 @@ def apply_date(idx, offset=0):
                 assert_frame_equal(high_results, high_base.iloc[iloc_bounds])
 
 
-class SyntheticBcolzTestCase(WithAdjustmentReader,
-                             ZiplineTestCase):
+class SyntheticBcolzTestCase(zf.WithAdjustmentReader,
+                             zf.WithAssetFinder,
+                             zf.ZiplineTestCase):
     first_asset_start = Timestamp('2015-04-01', tz='UTC')
     START_DATE = Timestamp('2015-01-01', tz='utc')
     END_DATE = Timestamp('2015-08-01', tz='utc')
@@ -1077,7 +1077,9 @@ def test_drawdown(self):
         assert_frame_equal(expected, result)
 
 
-class ParameterizedFactorTestCase(WithTradingEnvironment, ZiplineTestCase):
+class ParameterizedFactorTestCase(zf.WithAssetFinder,
+                                  zf.WithTradingCalendars,
+                                  zf.ZiplineTestCase):
     sids = ASSET_FINDER_EQUITY_SIDS = Int64Index([1, 2, 3])
     START_DATE = Timestamp('2015-01-31', tz='UTC')
     END_DATE = Timestamp('2015-03-01', tz='UTC')
@@ -1294,8 +1296,8 @@ def test_dollar_volume(self):
         assert_frame_equal(results['dv5_nan'].unstack(), expected_5_nan)
 
 
-class StringColumnTestCase(WithSeededRandomPipelineEngine,
-                           ZiplineTestCase):
+class StringColumnTestCase(zf.WithSeededRandomPipelineEngine,
+                           zf.ZiplineTestCase):
 
     def test_string_classifiers_produce_categoricals(self):
         """
@@ -1324,8 +1326,8 @@ def test_string_classifiers_produce_categoricals(self):
         assert_frame_equal(result.c.unstack(), expected_final_result)
 
 
-class WindowSafetyPropagationTestCase(WithSeededRandomPipelineEngine,
-                                      ZiplineTestCase):
+class WindowSafetyPropagationTestCase(zf.WithSeededRandomPipelineEngine,
+                                      zf.ZiplineTestCase):
 
     SEEDED_RANDOM_PIPELINE_SEED = 5
 
@@ -1376,7 +1378,10 @@ def test_window_safety_propagation(self):
             assert_equal(expected_result, results[colname])
 
 
-class PopulateInitialWorkspaceTestCase(WithConstantInputs, ZiplineTestCase):
+class PopulateInitialWorkspaceTestCase(WithConstantInputs,
+                                       zf.WithAssetFinder,
+                                       zf.WithTradingCalendars,
+                                       zf.ZiplineTestCase):
 
     @parameter_space(window_length=[3, 5], pipeline_length=[5, 10])
     def test_populate_initial_workspace(self, window_length, pipeline_length):
@@ -1499,8 +1504,8 @@ def dispatcher(c):
         )
 
 
-class ChunkedPipelineTestCase(WithEquityPricingPipelineEngine,
-                              ZiplineTestCase):
+class ChunkedPipelineTestCase(zf.WithEquityPricingPipelineEngine,
+                              zf.ZiplineTestCase):
 
     PIPELINE_START_DATE = Timestamp('2006-01-05', tz='UTC')
     END_DATE = Timestamp('2006-12-29', tz='UTC')
@@ -1531,8 +1536,8 @@ def test_run_chunked_pipeline(self):
         self.assertTrue(chunked_result.equals(pipeline_result))
 
 
-class MaximumRegressionTest(WithSeededRandomPipelineEngine,
-                            ZiplineTestCase):
+class MaximumRegressionTest(zf.WithSeededRandomPipelineEngine,
+                            zf.ZiplineTestCase):
     ASSET_FINDER_EQUITY_SIDS = (1, 2, 3, 4, 5, 6, 7, 8, 9, 10)
 
     def test_no_groupby_maximum(self):

tests/pipeline/test_statistical.py

@@ -44,11 +44,7 @@
     make_cascading_boolean_array,
     parameter_space,
 )
-from zipline.testing.fixtures import (
-    WithSeededRandomPipelineEngine,
-    WithTradingEnvironment,
-    ZiplineTestCase,
-)
+import zipline.testing.fixtures as zf
 from zipline.testing.predicates import assert_equal
 from zipline.utils.numpy_utils import (
     as_column,
@@ -58,7 +54,9 @@
 )
 
 
-class StatisticalBuiltInsTestCase(WithTradingEnvironment, ZiplineTestCase):
+class StatisticalBuiltInsTestCase(zf.WithAssetFinder,
+                                  zf.WithTradingCalendars,
+                                  zf.ZiplineTestCase):
     sids = ASSET_FINDER_EQUITY_SIDS = Int64Index([1, 2, 3])
     START_DATE = Timestamp('2015-01-31', tz='UTC')
     END_DATE = Timestamp('2015-03-01', tz='UTC')
@@ -495,8 +493,8 @@ def test_simple_beta_short_repr(self):
         self.assertEqual(result, expected)
 
 
-class StatisticalMethodsTestCase(WithSeededRandomPipelineEngine,
-                                 ZiplineTestCase):
+class StatisticalMethodsTestCase(zf.WithSeededRandomPipelineEngine,
+                                 zf.ZiplineTestCase):
     sids = ASSET_FINDER_EQUITY_SIDS = Int64Index([1, 2, 3])
     START_DATE = Timestamp('2015-01-31', tz='UTC')
     END_DATE = Timestamp('2015-03-01', tz='UTC')
@@ -912,7 +910,7 @@ def test_factor_regression_method_two_factors(self, regression_length):
             assert_frame_equal(output_result, expected_output_result)
 
 
-class VectorizedBetaTestCase(ZiplineTestCase):
+class VectorizedBetaTestCase(zf.ZiplineTestCase):
 
     def compare_with_empyrical(self, dependents, independent):
         INFINITY = 1000000  # close enough