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Merge b1610d1 into 3fff659
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Andrew Liang committed Sep 20, 2016
2 parents 3fff659 + b1610d1 commit c808f50
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Showing 19 changed files with 801 additions and 331 deletions.
178 changes: 91 additions & 87 deletions tests/finance/test_slippage.py
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Expand Up @@ -18,6 +18,7 @@
'''
import datetime


import pytz

from nose_parameterized import parameterized
Expand All @@ -29,18 +30,20 @@

from zipline.protocol import DATASOURCE_TYPE
from zipline.finance.blotter import Order

from zipline.data.data_portal import DataPortal
from zipline.protocol import BarData
from zipline.testing import tmp_bcolz_equity_minute_bar_reader
from zipline.testing.fixtures import (
WithCreateBarData,
WithDataPortal,
WithSimParams,
ZiplineTestCase,
)


class SlippageTestCase(WithSimParams, WithDataPortal, ZiplineTestCase):
class SlippageTestCase(WithCreateBarData,
WithSimParams,
WithDataPortal,
ZiplineTestCase):
START_DATE = pd.Timestamp('2006-01-05 14:31', tz='utc')
END_DATE = pd.Timestamp('2006-01-05 14:36', tz='utc')
SIM_PARAMS_CAPITAL_BASE = 1.0e5
Expand Down Expand Up @@ -110,10 +113,10 @@ def test_volume_share_slippage(self):
)
]

bar_data = BarData(data_portal,
lambda: self.minutes[0],
'minute',
self.trading_calendar)
bar_data = self.create_bardata(
data_portal=data_portal,
simulation_dt_func=lambda: self.minutes[0],
)

orders_txns = list(slippage_model.simulate(
bar_data,
Expand Down Expand Up @@ -152,10 +155,10 @@ def test_volume_share_slippage(self):

# Set bar_data to be a minute ahead of last trade.
# Volume share slippage should not execute when there is no trade.
bar_data = BarData(data_portal,
lambda: self.minutes[1],
'minute',
self.trading_calendar)
bar_data = self.create_bardata(
data_portal=data_portal,
simulation_dt_func=lambda: self.minutes[1],
)

orders_txns = list(slippage_model.simulate(
bar_data,
Expand All @@ -179,10 +182,10 @@ def test_orders_limit(self):
'limit': 3.5})
]

bar_data = BarData(self.data_portal,
lambda: self.minutes[3],
self.sim_params.data_frequency,
self.trading_calendar)
bar_data = self.create_bardata(
simulation_dt_func=lambda: self.minutes[3],
data_frequency=self.sim_params.data_frequency
)

orders_txns = list(slippage_model.simulate(
bar_data,
Expand All @@ -202,10 +205,10 @@ def test_orders_limit(self):
'limit': 3.5})
]

bar_data = BarData(self.data_portal,
lambda: self.minutes[3],
self.sim_params.data_frequency,
self.trading_calendar)
bar_data = self.create_bardata(
simulation_dt_func=lambda: self.minutes[3],
data_frequency=self.sim_params.data_frequency
)

orders_txns = list(slippage_model.simulate(
bar_data,
Expand All @@ -225,10 +228,10 @@ def test_orders_limit(self):
'limit': 3.6})
]

bar_data = BarData(self.data_portal,
lambda: self.minutes[3],
self.sim_params.data_frequency,
self.trading_calendar)
bar_data = self.create_bardata(
simulation_dt_func=lambda: self.minutes[3],
data_frequency=self.sim_params.data_frequency
)

orders_txns = list(slippage_model.simulate(
bar_data,
Expand Down Expand Up @@ -265,10 +268,10 @@ def test_orders_limit(self):
'limit': 3.5})
]

bar_data = BarData(self.data_portal,
lambda: self.minutes[0],
self.sim_params.data_frequency,
self.trading_calendar)
bar_data = self.create_bardata(
simulation_dt_func=lambda: self.minutes[0],
data_frequency=self.sim_params.data_frequency
)

orders_txns = list(slippage_model.simulate(
bar_data,
Expand All @@ -288,10 +291,10 @@ def test_orders_limit(self):
'limit': 3.5})
]

bar_data = BarData(self.data_portal,
lambda: self.minutes[0],
self.sim_params.data_frequency,
self.trading_calendar)
bar_data = self.create_bardata(
simulation_dt_func=lambda: self.minutes[0],
data_frequency=self.sim_params.data_frequency
)

orders_txns = list(slippage_model.simulate(
bar_data,
Expand All @@ -311,10 +314,10 @@ def test_orders_limit(self):
'limit': 3.4})
]

bar_data = BarData(self.data_portal,
lambda: self.minutes[1],
self.sim_params.data_frequency,
self.trading_calendar)
bar_data = self.create_bardata(
simulation_dt_func=lambda: self.minutes[1],
data_frequency=self.sim_params.data_frequency
)

orders_txns = list(slippage_model.simulate(
bar_data,
Expand Down Expand Up @@ -501,10 +504,11 @@ def test_orders_stop(self, name, order_data, event_data, expected):

try:
dt = pd.Timestamp('2006-01-05 14:31', tz='UTC')
bar_data = BarData(data_portal,
lambda: dt,
'minute',
self.trading_calendar)
bar_data = self.create_bardata(
data_portal=data_portal,
simulation_dt_func=lambda: dt,
)

_, txn = next(slippage_model.simulate(
bar_data,
self.ASSET133,
Expand Down Expand Up @@ -536,10 +540,10 @@ def test_orders_stop_limit(self):
'limit': 3.0})
]

bar_data = BarData(self.data_portal,
lambda: self.minutes[2],
self.sim_params.data_frequency,
self.trading_calendar)
bar_data = self.create_bardata(
simulation_dt_func=lambda: self.minutes[2],
data_frequency=self.sim_params.data_frequency
)

orders_txns = list(slippage_model.simulate(
bar_data,
Expand All @@ -549,10 +553,10 @@ def test_orders_stop_limit(self):

self.assertEquals(len(orders_txns), 0)

bar_data = BarData(self.data_portal,
lambda: self.minutes[3],
self.sim_params.data_frequency,
self.trading_calendar)
bar_data = self.create_bardata(
simulation_dt_func=lambda: self.minutes[3],
data_frequency=self.sim_params.data_frequency
)

orders_txns = list(slippage_model.simulate(
bar_data,
Expand All @@ -573,10 +577,10 @@ def test_orders_stop_limit(self):
'limit': 3.5})
]

bar_data = BarData(self.data_portal,
lambda: self.minutes[2],
self.sim_params.data_frequency,
self.trading_calendar)
bar_data = self.create_bardata(
simulation_dt_func=lambda: self.minutes[2],
data_frequency=self.sim_params.data_frequency
)

orders_txns = list(slippage_model.simulate(
bar_data,
Expand All @@ -586,10 +590,10 @@ def test_orders_stop_limit(self):

self.assertEquals(len(orders_txns), 0)

bar_data = BarData(self.data_portal,
lambda: self.minutes[3],
self.sim_params.data_frequency,
self.trading_calendar)
bar_data = self.create_bardata(
simulation_dt_func=lambda: self.minutes[3],
data_frequency=self.sim_params.data_frequency
)

orders_txns = list(slippage_model.simulate(
bar_data,
Expand All @@ -610,10 +614,10 @@ def test_orders_stop_limit(self):
'limit': 3.6})
]

bar_data = BarData(self.data_portal,
lambda: self.minutes[2],
self.sim_params.data_frequency,
self.trading_calendar)
bar_data = self.create_bardata(
simulation_dt_func=lambda: self.minutes[2],
data_frequency=self.sim_params.data_frequency
)

orders_txns = list(slippage_model.simulate(
bar_data,
Expand All @@ -623,10 +627,10 @@ def test_orders_stop_limit(self):

self.assertEquals(len(orders_txns), 0)

bar_data = BarData(self.data_portal,
lambda: self.minutes[3],
self.sim_params.data_frequency,
self.trading_calendar)
bar_data = self.create_bardata(
simulation_dt_func=lambda: self.minutes[3],
data_frequency=self.sim_params.data_frequency
)

orders_txns = list(slippage_model.simulate(
bar_data,
Expand Down Expand Up @@ -660,10 +664,10 @@ def test_orders_stop_limit(self):
'limit': 4.0})
]

bar_data = BarData(self.data_portal,
lambda: self.minutes[0],
self.sim_params.data_frequency,
self.trading_calendar)
bar_data = self.create_bardata(
simulation_dt_func=lambda: self.minutes[0],
data_frequency=self.sim_params.data_frequency
)

orders_txns = list(slippage_model.simulate(
bar_data,
Expand All @@ -673,10 +677,10 @@ def test_orders_stop_limit(self):

self.assertEquals(len(orders_txns), 0)

bar_data = BarData(self.data_portal,
lambda: self.minutes[1],
self.sim_params.data_frequency,
self.trading_calendar)
bar_data = self.create_bardata(
simulation_dt_func=lambda: self.minutes[1],
data_frequency=self.sim_params.data_frequency
)

orders_txns = list(slippage_model.simulate(
bar_data,
Expand All @@ -697,10 +701,10 @@ def test_orders_stop_limit(self):
'limit': 3.5})
]

bar_data = BarData(self.data_portal,
lambda: self.minutes[0],
self.sim_params.data_frequency,
self.trading_calendar)
bar_data = self.create_bardata(
simulation_dt_func=lambda: self.minutes[0],
data_frequency=self.sim_params.data_frequency
)

orders_txns = list(slippage_model.simulate(
bar_data,
Expand All @@ -710,10 +714,10 @@ def test_orders_stop_limit(self):

self.assertEquals(len(orders_txns), 0)

bar_data = BarData(self.data_portal,
lambda: self.minutes[1],
self.sim_params.data_frequency,
self.trading_calendar)
bar_data = self.create_bardata(
simulation_dt_func=lambda: self.minutes[1],
data_frequency=self.sim_params.data_frequency
)

orders_txns = list(slippage_model.simulate(
bar_data,
Expand All @@ -734,10 +738,10 @@ def test_orders_stop_limit(self):
'limit': 3.4})
]

bar_data = BarData(self.data_portal,
lambda: self.minutes[0],
self.sim_params.data_frequency,
self.trading_calendar)
bar_data = self.create_bardata(
simulation_dt_func=lambda: self.minutes[0],
data_frequency=self.sim_params.data_frequency
)

orders_txns = list(slippage_model.simulate(
bar_data,
Expand All @@ -747,10 +751,10 @@ def test_orders_stop_limit(self):

self.assertEquals(len(orders_txns), 0)

bar_data = BarData(self.data_portal,
lambda: self.minutes[1],
self.sim_params.data_frequency,
self.trading_calendar)
bar_data = self.create_bardata(
simulation_dt_func=lambda: self.minutes[1],
data_frequency=self.sim_params.data_frequency
)

orders_txns = list(slippage_model.simulate(
bar_data,
Expand Down

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