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Merge pull request #1141 from quantopian/rule_interactions
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BUG: Week rule plus time rule doesn't work
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@jbredeche
jbredeche committed Apr 19, 2016
2 parents 620d2a8 + 8aac0ab commit a5f7fc7
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Showing 2 changed files with 70 additions and 32 deletions.
85 changes: 63 additions & 22 deletions tests/utils/test_events.py
View file
Original file line number Diff line number Diff line change
Expand Up @@ -348,26 +348,34 @@ def test_NthTradingDayOfWeek_day_zero(self):
def test_NthTradingDayOfWeek(self, n):
should_trigger = partial(NthTradingDayOfWeek(n).should_trigger,
env=self.env)
first_of_week = self.sept_week[0]
n_triggered = 0
prev_day = self.sept_week[0].date()
n_tdays = 0
for m in self.sept_week:
if prev_day < m.date():
n_tdays += 1
prev_day = m.date()

if should_trigger(m):
n_triggered += 1
self.assertEqual(m, first_of_week + timedelta(days=n))
self.assertEqual(n_triggered, 1)
self.assertEqual(n_tdays, n)
else:
self.assertNotEqual(n_tdays, n)

@subtest(param_range(MAX_WEEK_RANGE), 'n')
def test_NDaysBeforeLastTradingDayOfWeek(self, n):
should_trigger = partial(
NDaysBeforeLastTradingDayOfWeek(n).should_trigger, env=self.env
)
first_of_week = self.sept_week[0]
n_triggered = 0
for m in self.sept_week:
if should_trigger(m):
n_triggered += 1
self.assertEqual(m, first_of_week + timedelta(days=4-n))
self.assertEqual(n_triggered, 1)
n_tdays = 0
date = m.to_datetime().date()
next_date = self.env.next_trading_day(date)
while next_date.weekday() > date.weekday():
date = next_date
next_date = self.env.next_trading_day(date)
n_tdays += 1

self.assertEqual(n_tdays, n)

@parameter_space(
rule_offset=(0, 1, 2, 3, 4),
Expand All @@ -386,7 +394,7 @@ def test_edge_cases_for_TradingDayOfWeek(self,
for that week, that the trigger is recalculated for next week.
"""

sim_start = pd.Timestamp('01-06-2014 14:31:00', tz='UTC') + \
sim_start = pd.Timestamp('01-06-2014', tz='UTC') + \
timedelta(days=start_offset)

jan_minutes = self.env.minutes_for_days_in_range(
Expand All @@ -400,10 +408,10 @@ def test_edge_cases_for_TradingDayOfWeek(self,
# Expect to trigger on the first trading day of the week, plus the
# offset
trigger_dates = [
pd.Timestamp('2014-01-06 14:31:00', tz='UTC'),
pd.Timestamp('2014-01-13 14:31:00', tz='UTC'),
pd.Timestamp('2014-01-21 14:31:00', tz='UTC'),
pd.Timestamp('2014-01-27 14:31:00', tz='UTC'),
pd.Timestamp('2014-01-06', tz='UTC'),
pd.Timestamp('2014-01-13', tz='UTC'),
pd.Timestamp('2014-01-21', tz='UTC'),
pd.Timestamp('2014-01-27', tz='UTC'),
]
trigger_dates = \
[x + timedelta(days=rule_offset) for x in trigger_dates]
Expand All @@ -412,10 +420,10 @@ def test_edge_cases_for_TradingDayOfWeek(self,
# Expect to trigger on the last trading day of the week, minus the
# offset
trigger_dates = [
pd.Timestamp('2014-01-10 14:31:00', tz='UTC'),
pd.Timestamp('2014-01-17 14:31:00', tz='UTC'),
pd.Timestamp('2014-01-24 14:31:00', tz='UTC'),
pd.Timestamp('2014-01-31 14:31:00', tz='UTC'),
pd.Timestamp('2014-01-10', tz='UTC'),
pd.Timestamp('2014-01-17', tz='UTC'),
pd.Timestamp('2014-01-24', tz='UTC'),
pd.Timestamp('2014-01-31', tz='UTC'),
]
trigger_dates = \
[x - timedelta(days=rule_offset) for x in trigger_dates]
Expand All @@ -432,17 +440,50 @@ def test_edge_cases_for_TradingDayOfWeek(self,
# Filter out trigger dates that happen before the simulation starts
trigger_dates = [x for x in trigger_dates if x >= sim_start]

expected_n_triggered = len(trigger_dates)
trigger_dates = iter(trigger_dates)
# Get all the minutes on the trigger dates
trigger_dts = self.env.market_minutes_for_day(trigger_dates[0])
for dt in trigger_dates[1:]:
trigger_dts += self.env.market_minutes_for_day(dt)

expected_n_triggered = len(trigger_dts)
trigger_dts = iter(trigger_dts)

n_triggered = 0
for m in jan_minutes:
if should_trigger(m):
self.assertEqual(m, next(trigger_dates))
self.assertEqual(m, next(trigger_dts))
n_triggered += 1

self.assertEqual(n_triggered, expected_n_triggered)

@parameterized.expand([('week_start',), ('week_end',)])
def test_week_and_time_composed_rule(self, type):
week_rule = NthTradingDayOfWeek(0) if type == 'week_start' else \
NDaysBeforeLastTradingDayOfWeek(4)
time_rule = AfterOpen(minutes=60)

composed_rule = week_rule & time_rule

should_trigger = partial(composed_rule.should_trigger, env=self.env)

week_minutes = self.env.minutes_for_days_in_range(
datetime.date(year=2014, month=1, day=6),
datetime.date(year=2014, month=1, day=10)
)

dt = pd.Timestamp('2014-01-06 14:30:00', tz='UTC')
trigger_day_offset = 0
trigger_minute_offset = 60
n_triggered = 0

for m in week_minutes:
if should_trigger(m):
self.assertEqual(m, dt + timedelta(days=trigger_day_offset) +
timedelta(minutes=trigger_minute_offset))
n_triggered += 1

self.assertEqual(n_triggered, 1)

@subtest(param_range(MAX_MONTH_RANGE), 'n')
def test_NthTradingDayOfMonth(self, n):
should_trigger = partial(NthTradingDayOfMonth(n).should_trigger,
Expand Down
17 changes: 7 additions & 10 deletions zipline/utils/events.py
View file
Original file line number Diff line number Diff line change
Expand Up @@ -466,18 +466,15 @@ def should_trigger(self, dt, env):
# of the simulation start
self.calculate_start_and_end(dt, env)

# If we've missed the first trigger because it occurs before the
# simulation starts, recalculate for the next week
if dt > self.next_date_end:
self.calculate_start_and_end(dt + datetime.timedelta(days=7),
env)

# if the given dt is within the next matching day, return true. Also
# calculate the start and end dates for the next trigger
# If we've passed the trigger, calculate the next one
if dt > self.next_date_end:
self.calculate_start_and_end(self.next_date_end +
datetime.timedelta(days=7),
env)

# if the given dt is within the next matching day, return true.
if self.next_date_start <= dt <= self.next_date_end or \
dt == self.next_midnight_timestamp:
self.calculate_start_and_end(dt + datetime.timedelta(days=7),
env)
return True

return False
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