Updated testcases to use sequence like operations on dataseries. Impr…

…oved __getitem__ on dataseries.

CHANGELOG

@@ -4,7 +4,7 @@ Version 0.10 (TBD)
 . [NEW] Returns analysis (pyalgotrade.stratanalyzer.returns.Returns).
 . [NEW] Trades analysis (pyalgotrade.stratanalyzer.trades.Trades).
 . [NEW] Support for bar timezones (pyalgotrade.marketsession).
-. [NEW] Support for sequence like operations in dataseries.
+. [NEW] Support for sequence like operations in dataseries (getValue and getValueAbsolute will soon get deprecated).
 . [FIX] Fixed returns calculations for short positions. Thanks John Fawcett for explaining this.
 . [FIX] Fixed a bug in the Strategy class and the backtesting broker when dealing with multiple instruments. Was not handling absence of bars appropriately. Thanks Fabian Braennstroem for reporting this.
 

pyalgotrade/dataseries.py

@@ -20,7 +20,9 @@
 
 import bar
 
-class DataSeries:
+# It is important to inherit object to get __getitem__ to work properly.
+# Check http://code.activestate.com/lists/python-list/621258/
+class DataSeries(object):
 	"""Base class for data series. A data series is an abstraction used to manage historical data.
 
 		.. note::
@@ -39,7 +41,7 @@ def __getitem__(self, key):
 		elif isinstance(key, int) :
 			if key < 0:
 				key += self.getLength()
-			if key >= self.getLength():
+			if key >= self.getLength() or key < 0:
 				raise IndexError("Index out of range")
 			return self.getValueAbsolute(key)
 		else:

testcases/dataseries_test.py

@@ -29,8 +29,10 @@ def testEmpty(self):
 		ds = dataseries.SequenceDataSeries([])
 		self.assertTrue(ds.getFirstValidPos() == 0)
 		self.assertTrue(ds.getLength() == 0)
-		self.assertTrue(ds.getValue() == None)
-		self.assertTrue(ds.getValue(1) == None)
+		with self.assertRaises(IndexError):
+			ds[-1]
+		with self.assertRaises(IndexError):
+			ds[-2]
 		with self.assertRaises(IndexError):
 			ds[0]
 		with self.assertRaises(IndexError):
@@ -40,8 +42,8 @@ def testNonEmpty(self):
 		ds = dataseries.SequenceDataSeries(range(10))
 		self.assertTrue(ds.getFirstValidPos() == 0)
 		self.assertTrue(ds.getLength() == 10)
-		self.assertTrue(ds.getValue() == 9)
-		self.assertTrue(ds.getValue(1) == 8)
+		self.assertTrue(ds[-1] == 9)
+		self.assertTrue(ds[-2] == 8)
 		self.assertTrue(ds[0] == 0)
 		self.assertTrue(ds[1] == 1)
 
@@ -77,6 +79,13 @@ def testSeqLikeOps(self):
 		sl = slice(0,-1,1)
 		self.assertEqual(ds[sl], seq[sl])
 
+		for i in xrange(-100, 100):
+			self.assertEqual(ds[i:], seq[i:])
+
+		for step in xrange(1, 10):
+			for i in xrange(-100, 100):
+				self.assertEqual(ds[i::step], seq[i::step])
+
 class TestBarDataSeries(unittest.TestCase):
 	def testEmpty(self):
 		ds = dataseries.BarDataSeries()
@@ -140,6 +149,7 @@ def testSeqLikeOps(self):
 
 def getTestCases():
 	ret = []
+
 	ret.append(TestSequenceDataSeries("testEmpty"))
 	ret.append(TestSequenceDataSeries("testNonEmpty"))
 	ret.append(TestSequenceDataSeries("testSeqLikeOps"))

testcases/multi_instrument_strategy_test.py

@@ -50,17 +50,17 @@ def onExitOk(self, position):
 
 	def __calculatePosSize(self):
 		cash = self.getBroker().getCash()
-		lastPrice = self.getFeed().getDataSeries(self.__lag).getValue().getClose()
+		lastPrice = self.getFeed().getDataSeries(self.__lag)[-1].getClose()
 		ret =  cash / lastPrice
 		return int(ret)
 
 	def onBars(self, bars):
 		if bars.getBar(self.__lead):
-			if self.__crossAbove.getValue() == 1 and self.__pos == None:
+			if self.__crossAbove[-1] == 1 and self.__pos == None:
 				shares = self.__calculatePosSize()
 				if shares:
 					self.__pos = self.enterLong(self.__lag, shares)
-			elif self.__crossBelow.getValue() == 1 and self.__pos != None:
+			elif self.__crossBelow[-1] == 1 and self.__pos != None:
 				self.exitPosition(self.__pos)
 
 class TestCase(unittest.TestCase):

testcases/smacrossover_strategy_test.py

@@ -88,15 +88,15 @@ def onBars(self, bars):
 		self.printDebug("%s: O=%s H=%s L=%s C=%s" % (bar.getDateTime(), bar.getOpen(), bar.getHigh(), bar.getLow(), bar.getClose()))
 
 		# Wait for enough bars to be available.
-		if self.__crossAbove.getValue() is None or self.__crossBelow.getValue() is None:
+		if self.__crossAbove[-1] is None or self.__crossBelow[-1] is None:
 			return
 
-		if self.__crossAbove.getValue() == 1:
+		if self.__crossAbove[-1] == 1:
 			if self.__shortPos:
 				self.exitShortPosition(bars, self.__shortPos)
 			assert(self.__longPos == None)
 			self.__longPos = self.enterLongPosition(bars)
-		elif self.__crossBelow.getValue() == 1:
+		elif self.__crossBelow[-1] == 1:
 			if self.__longPos:
 				self.exitLongPosition(bars, self.__longPos)
 			assert(self.__shortPos == None)

testcases/technical_cross_test.py

@@ -54,7 +54,7 @@ def testCrossAboveOnce(self):
 
 		# Check for all values.
 		crs = self.__buildCrossTechnical(cross.CrossAbove, values1, values2, 100)
-		self.assertTrue(crs.getValue() == 1)
+		self.assertTrue(crs[-1] == 1)
 
 	def testCrossAboveMany(self):
 		count = 100
@@ -80,7 +80,7 @@ def testCrossAboveMany(self):
 
 		# Check for all values.
 		crs = self.__buildCrossTechnical(cross.CrossAbove, values1, values2, 100)
-		self.assertTrue(crs.getValue() == count / 2)
+		self.assertTrue(crs[-1] == count / 2)
 
 	def testCrossBelowOnce(self):
 		values1 = [1, 1, 1, 10, 1, 1, 1]
@@ -105,7 +105,7 @@ def testCrossBelowOnce(self):
 
 		# Check for all values.
 		crs = self.__buildCrossTechnical(cross.CrossBelow, values1, values2, 100)
-		self.assertTrue(crs.getValue() == 1)
+		self.assertTrue(crs[-1] == 1)
 
 	def testCrossBelowMany(self):
 		count = 100
@@ -131,7 +131,7 @@ def testCrossBelowMany(self):
 
 		# Check for all values.
 		crs = self.__buildCrossTechnical(cross.CrossBelow, values1, values2, 100)
-		self.assertTrue(crs.getValue() == count / 2 - 1)
+		self.assertTrue(crs[-1] == count / 2 - 1)
 
 	def testWithSMAs(self):
 		ds1 = dataseries.SequenceDataSeries()
@@ -141,11 +141,11 @@ def testWithSMAs(self):
 			ds1.appendValue(i)
 			ds2.appendValue(50)
 			if i < 24:
-				self.assertTrue(crs.getValue() == None)
+				self.assertTrue(crs[-1] == None)
 			elif i == 58:
-				self.assertTrue(crs.getValue() == 1)
+				self.assertTrue(crs[-1] == 1)
 			else:
-				self.assertTrue(crs.getValue() == 0)
+				self.assertTrue(crs[-1] == 0)
 
 def getTestCases():
 	ret = []

testcases/technical_ma_test.py

@@ -29,16 +29,16 @@ def __buildSMA(self, period, values):
 
 	def testPeriod1(self):
 		sma = self.__buildSMA(1, [10, 20])
+
 		self.assertTrue(sma[0] == 10)
 		self.assertTrue(sma[1] == 20)
 		self.assertTrue(sma[-1] == 20)
+		self.assertTrue(sma[-2] == 10)
 		with self.assertRaises(IndexError):
 			sma[2]
 
-		self.assertTrue(sma.getValue(-1) == None)
-		self.assertTrue(sma.getValue() == 20)
-		self.assertTrue(sma.getValue(1) == 10)
-		self.assertTrue(sma.getValue(2) == None)
+		with self.assertRaises(IndexError):
+			sma[-3]
 
 	def testPeriod2(self):
 		sma = self.__buildSMA(2, [0, 1, 2])
@@ -50,7 +50,7 @@ def testPeriod2(self):
 
 		self.assertTrue(sma[2] == sma.getValue())
 		self.assertTrue(sma[1] == sma.getValue(1))
-		self.assertTrue(sma[0] == sma.getValue(2))
+		self.assertTrue(sma[0] == sma.getValue(2) == None)
 
 	def testMultipleValues(self):
 		period = 5
@@ -76,6 +76,37 @@ def testStockChartsSMA(self):
 	def testNinjaTraderSMA(self):
 		common.test_from_csv(self, "nt-sma-15.csv", lambda inputDS: ma.SMA(inputDS, 15), 3)
 
+	def testSeqLikeOps(self):
+		# ds and seq should be the same.
+		seq = [1.0 for i in xrange(10)]
+		ds = self.__buildSMA(1, seq)
+
+		# Test length and every item.
+		self.assertEqual(len(ds), len(seq))
+		for i in xrange(len(seq)):
+			self.assertEqual(ds[i], seq[i])
+
+		# Test negative indices
+		self.assertEqual(ds[-1], seq[-1])
+		self.assertEqual(ds[-2], seq[-2])
+		self.assertEqual(ds[-9], seq[-9])
+
+		# Test slices
+		sl = slice(0,1,2)
+		self.assertEqual(ds[sl], seq[sl])
+		sl = slice(0,9,2)
+		self.assertEqual(ds[sl], seq[sl])
+		sl = slice(0,-1,1)
+		self.assertEqual(ds[sl], seq[sl])
+
+		for i in xrange(-100, 100):
+			self.assertEqual(ds[i:], seq[i:])
+
+		for step in xrange(1, 10):
+			for i in xrange(-100, 100):
+				self.assertEqual(ds[i::step], seq[i::step])
+
+
 class WMATestCase(unittest.TestCase):
 	def __buildWMA(self, weights, values):
 		from pyalgotrade import dataseries
@@ -107,12 +138,14 @@ def testStockChartsEMA_Reverse(self):
 
 def getTestCases():
 	ret = []
+
 	ret.append(SMATestCase("testPeriod1"))
 	ret.append(SMATestCase("testPeriod2"))
 	ret.append(SMATestCase("testMultipleValues"))
 	ret.append(SMATestCase("testStockChartsSMA"))
 	ret.append(SMATestCase("testMultipleValuesSkippingOne"))
 	ret.append(SMATestCase("testNinjaTraderSMA"))
+	ret.append(SMATestCase("testSeqLikeOps"))
 
 	ret.append(WMATestCase("testPeriod1"))
 	ret.append(WMATestCase("testPeriod2"))

testcases/technical_ratio_test.py

@@ -35,8 +35,8 @@ def testSimple(self):
 		with self.assertRaises(IndexError):
 			ratio[3]
 
-		self.assertTrue(ratio.getValue(1) == ratio[1])
-		self.assertTrue(ratio.getValue() == ratio[2])
+		self.assertTrue(ratio[-2] == ratio[1])
+		self.assertTrue(ratio[-1] == ratio[2])
 
 	def testNegativeValues(self):
 		ratio = self.__buildRatio([-1, -2, -1])
@@ -47,8 +47,8 @@ def testNegativeValues(self):
 		with self.assertRaises(IndexError):
 			ratio[3]
 
-		self.assertTrue(ratio.getValue(1) == ratio[1])
-		self.assertTrue(ratio.getValue() == ratio[2])
+		self.assertTrue(ratio[-2] == ratio[1])
+		self.assertTrue(ratio[-1] == ratio[2])
 
 def getTestCases():
 	ret = []

testcases/technical_test.py

@@ -67,9 +67,9 @@ def testInvalidPosNotCached(self):
 			values.append(None) # Interleave Nones.
 
 		testFilter = DataSeriesFilterTest.TestFilter(ds)
-		self.assertTrue(testFilter.getValue() == None)
-		self.assertTrue(testFilter.getValue(1) == 9)
-		self.assertTrue(testFilter.getValue(3) == 8) # We go 3 instead of 2 because we need to skip the interleaved None values.
+		self.assertTrue(testFilter[-1] == None)
+		self.assertTrue(testFilter[-2] == 9)
+		self.assertTrue(testFilter[-4] == 8) # We go 3 instead of 2 because we need to skip the interleaved None values.
 
 		self.assertTrue(testFilter[18] == 9)
 		self.assertTrue(testFilter[19] == None)