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test_data_basic.py
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# encoding: utf-8
import numpy as np
import pandas as pd
from jaqs.data.basic import Bar, InstManager, Instrument
from jaqs.data import RemoteDataService
from jaqs.trade import common
from jaqs.data.py_expression_eval import Parser
import jaqs.util as jutil
from jaqs.data.align import align
from config_path import DATA_CONFIG_PATH
data_config = jutil.read_json(DATA_CONFIG_PATH)
def test_instrument():
inst = Instrument()
inst.inst_type = 1
assert inst.is_stock
for i in [101, 102, 103]:
inst.inst_type = i
assert inst.is_future
def test_inst_manager():
ds = RemoteDataService()
ds.init_from_config(data_config)
mgr = InstManager(ds)
mgr.load_instruments()
sym = '000001.SZ'
inst_obj = mgr.get_instrument(sym)
assert inst_obj.market == 'SZ'
assert inst_obj.symbol == sym
assert inst_obj.multiplier == 1
assert inst_obj.inst_type == 1
def test_bar():
from jaqs.data import RemoteDataService
from jaqs.trade.common import QUOTE_TYPE
ds = RemoteDataService()
ds.init_from_config(data_config)
df_quotes, msg = ds.bar(symbol='rb1710.SHF,hc1710.SHF', start_time=200000, end_time=160000,
trade_date=20170704, freq=QUOTE_TYPE.MIN)
bar_list = Bar.create_from_df(df_quotes)
bar = bar_list[0]
print(str(bar))
def test_order_trade_task():
from jaqs.data.basic import TradeStat, Trade, Task, TaskInd, Order, OrderStatusInd
order = Order()
order.symbol = 'SPY'
order.task_id = 10000001
order.entrust_no = '123'
order.entrust_size = 10
order.entrust_action = 'Short'
order.entrust_price = 1.2
order.entrust_time = 95055
order.entrust_date = 20171201
order.fill_price = 1.19
order.fill_size = 3
order.commission = 0.001
str(order)
o2 = Order(order)
o2.entrust_no = '124'
o3 = Order.new_order('SPY', 'Buy', 10, 10, 20111111, 143029, 'Limit')
oind = OrderStatusInd(order)
OrderStatusInd.create_from_dict({'symbol': 'SPY'})
str(oind)
task = Task(order.task_id, 'vwap', {'a': 'b'}, order, 'place_order', order.entrust_date)
assert (not task.is_finished)
task.task_status = common.TASK_STATUS.DONE
assert task.is_finished
tind = TaskInd(task.task_id, task.task_status, task.algo, 'success')
str(tind)
tind2 = TaskInd.create_from_dict({'task_id': 2011223})
trade = Trade(order)
trade.set_fill_info(15, 20, 20171202, 112311, 12345)
str(trade)
t2 = Trade.create_from_dict({'symbol': 'SPY'})
tstat = TradeStat()
str(tstat)
def test_quote():
from jaqs.data.basic import Quote
quote = Quote()
quote = Quote.create_from_dict({'bidprice1': 11.1,
'askprice1': 11.2,
'symbol': 'SPY',
'limit_up': 22.0})
print(str(quote))
def test_align():
# -------------------------------------------------------------------------------------
# input and pre-process demo data
ds = RemoteDataService()
ds.init_from_config(data_config)
raw, msg = ds.query_lb_fin_stat('income', '000001.SZ,600000.SH,601328.SH,601988.SH',
20160505, 20170505, fields='oper_rev,oper_cost')
#fp = '../output/test_align.csv'
#raw = pd.read_csv(fp)
idx_list = ['report_date', 'symbol']
raw_idx = raw.set_index(idx_list)
raw_idx.sort_index(axis=0, level=idx_list, inplace=True)
# -------------------------------------------------------------------------------------
# get DataFrames
df_ann = raw_idx.loc[pd.IndexSlice[:, :], 'ann_date']
df_ann = df_ann.unstack(level=1)
df_value = raw_idx.loc[pd.IndexSlice[:, :], 'oper_rev']
df_value = df_value.unstack(level=1)
# -------------------------------------------------------------------------------------
# get data array and align
# date_arr = ds.get_trade_date(20160325, 20170625)
date_arr = np.array([20160325, 20160328, 20160329, 20160330, 20160331, 20160401, 20160405, 20160406,
20160407, 20160408, 20160411, 20160412, 20160413, 20160414, 20160415, 20160418,
20160419, 20160420, 20160421, 20160422, 20160425, 20160426, 20160427, 20160428,
20160429, 20160503, 20160504, 20160505, 20160506, 20160509, 20160510, 20160511,
20160512, 20160513, 20160516, 20160517, 20160518, 20160519, 20160520, 20160523,
20160524, 20160525, 20160526, 20160527, 20160530, 20160531, 20160601, 20160602,
20160603, 20160606, 20160607, 20160608, 20160613, 20160614, 20160615, 20160616,
20160617, 20160620, 20160621, 20160622, 20160623, 20160624, 20160627, 20160628,
20160629, 20160630, 20160701, 20160704, 20160705, 20160706, 20160707, 20160708,
20160711, 20160712, 20160713, 20160714, 20160715, 20160718, 20160719, 20160720,
20160721, 20160722, 20160725, 20160726, 20160727, 20160728, 20160729, 20160801,
20160802, 20160803, 20160804, 20160805, 20160808, 20160809, 20160810, 20160811,
20160812, 20160815, 20160816, 20160817, 20160818, 20160819, 20160822, 20160823,
20160824, 20160825, 20160826, 20160829, 20160830, 20160831, 20160901, 20160902,
20160905, 20160906, 20160907, 20160908, 20160909, 20160912, 20160913, 20160914,
20160919, 20160920, 20160921, 20160922, 20160923, 20160926, 20160927, 20160928,
20160929, 20160930, 20161010, 20161011, 20161012, 20161013, 20161014, 20161017,
20161018, 20161019, 20161020, 20161021, 20161024, 20161025, 20161026, 20161027,
20161028, 20161031, 20161101, 20161102, 20161103, 20161104, 20161107, 20161108,
20161109, 20161110, 20161111, 20161114, 20161115, 20161116, 20161117, 20161118,
20161121, 20161122, 20161123, 20161124, 20161125, 20161128, 20161129, 20161130,
20161201, 20161202, 20161205, 20161206, 20161207, 20161208, 20161209, 20161212,
20161213, 20161214, 20161215, 20161216, 20161219, 20161220, 20161221, 20161222,
20161223, 20161226, 20161227, 20161228, 20161229, 20161230, 20170103, 20170104,
20170105, 20170106, 20170109, 20170110, 20170111, 20170112, 20170113, 20170116,
20170117, 20170118, 20170119, 20170120, 20170123, 20170124, 20170125, 20170126,
20170203, 20170206, 20170207, 20170208, 20170209, 20170210, 20170213, 20170214,
20170215, 20170216, 20170217, 20170220, 20170221, 20170222, 20170223, 20170224,
20170227, 20170228, 20170301, 20170302, 20170303, 20170306, 20170307, 20170308,
20170309, 20170310, 20170313, 20170314, 20170315, 20170316, 20170317, 20170320,
20170321, 20170322, 20170323, 20170324, 20170327, 20170328, 20170329, 20170330,
20170331, 20170405, 20170406, 20170407, 20170410, 20170411, 20170412, 20170413,
20170414, 20170417, 20170418, 20170419, 20170420, 20170421, 20170424, 20170425,
20170426, 20170427, 20170428, 20170502, 20170503, 20170504, 20170505, 20170508,
20170509, 20170510, 20170511, 20170512, 20170515, 20170516, 20170517, 20170518,
20170519, 20170522, 20170523, 20170524, 20170525, 20170526, 20170531, 20170601,
20170602, 20170605, 20170606, 20170607, 20170608, 20170609, 20170612, 20170613,
20170614, 20170615, 20170616, 20170619, 20170620, 20170621, 20170622, 20170623])
# df_res = align(df_ann, df_evaluate, date_arr)
res_align = align(df_value, df_ann, date_arr)
for symbol, ser_value in df_value.iteritems():
ser_ann = df_ann[symbol]
ann_date_last = 0
assert res_align.loc[: ser_ann.iat[0]-1, symbol].isnull().all()
for i in range(len(ser_value)):
value = ser_value.iat[i]
ann_date = ser_ann.iat[i]
if i+1 >= len(ser_value):
ann_date_next = 99999999
else:
ann_date_next = ser_ann.iat[i+1]
assert (res_align.loc[ann_date: ann_date_next-1, symbol] == value).all()
# assert (res_align.loc[ser_ann.iat[-1]: , symbol] == ser_value.iat[-1]).all()
def test_position():
from jaqs.data.basic import Position, GoalPosition
pos = Position()
df = pd.DataFrame({'symbol': ['SPY', 'WTI'],
'current_size': [12, 15]})
l = Position.create_from_df(df)
for p in l:
str(p)
gp = GoalPosition()
str(gp)
def test_common():
from jaqs.trade import common
assert common.QUOTE_TYPE.TICK == '0'
assert common.RUN_MODE.BACKTEST == 1
assert common.ORDER_TYPE.MARKET == 'market'
assert common.ORDER_STATUS.FILLED == 'Filled'
assert common.TASK_STATUS.DONE.full_name == 'TASK_STATUS_DONE'
buy = common.ORDER_ACTION.BUY
assert buy == 'Buy'
assert common.ORDER_ACTION.to_enum('Buy') is buy
assert common.ORDER_ACTION.is_positive(common.ORDER_ACTION.BUY)
assert common.ORDER_ACTION.is_positive(common.ORDER_ACTION.COVER)
assert common.ORDER_ACTION.is_negative(common.ORDER_ACTION.SELL)
assert common.ORDER_ACTION.is_negative(common.ORDER_ACTION.SHORT)
if __name__ == "__main__":
import time
t_start = time.time()
g = globals()
g = {k: v for k, v in g.items() if k.startswith('test_') and callable(v)}
for test_name, test_func in g.items():
print("\n==========\nTesting {:s}...".format(test_name))
test_func()
print("Test Complete.")
t3 = time.time() - t_start
print("\n\n\nTime lapsed in total: {:.1f}".format(t3))