unageanu-jiji 1.1.4 → 1.2.1

data/test/shared/test_PositionManager.rb

@@ -0,0 +1,285 @@
+#!/usr/bin/ruby
+
+$: << "../lib"
+$: << "../base/shared_lib"
+
+require 'rubygems'
+require 'runit/testcase'
+require 'runit/cui/testrunner'
+require 'system/position_manager'
+require 'set'
+require 'jiji/operator'
+
+class PositionManagerTest <  RUNIT::TestCase
+
+  # 前準備
+  def setup
+    @op = MockOperator.new
+    @pm = PositionManager.new(@op)
+  end
+
+  # 後始末
+  def teardown
+  end
+
+
+  # 基本動作のテスト
+  def test_commit
+
+    assert_equals( @pm.total_profit_or_loss, 0)
+
+    #each
+    assert_equals( @pm.map.size, 0)
+
+    #commit
+    @pm.commit_by {|p| true }
+    assert_equals(@op.commited.size, 0)
+    @op.commited.clear
+    @pm.commit_all
+    assert_equals(@op.commited.size, 0)
+
+    #ポジションを追加
+    ps = [
+      Position.new( 1, 100, JIJI::Position::STATE_START ),
+      Position.new( 2, 200, JIJI::Position::STATE_START ),
+      Position.new( 3, 300, JIJI::Position::STATE_START ),
+      Position.new( 4, 400, JIJI::Position::STATE_START )
+    ]
+    ps.each{|p| @op << p }
+
+    assert_equals( @pm.total_profit_or_loss, 1000)
+
+    # each
+    assert_equals( @pm.map.size, 4)
+
+    @pm.commit_by {|p| p.position_id == 1 }
+    assert_equals(@op.commited.size, 1)
+    @pm.commit_all
+    assert_equals(@op.commited.size, 4)
+  end
+
+  # strategyの追加、削除のテスト
+  def test_strategy
+    #ポジションを追加
+    p = Position.new( 1, 0, JIJI::Position::STATE_START )
+    @op << p
+
+    assert( !@pm.registered?(p.position_id) )
+    assert_equals( @pm.get_registered_strategy(p.position_id).size, 0 )
+
+    #損切り対象としてマーク
+    @pm.register_loss_cut( p.position_id, -1000 )
+    @pm.register_trailing_stop( p.position_id, -1000 )
+    @pm.register( p.position_id, Object.new )
+
+    registerd = @pm.get_registered_strategy(p.position_id)
+    assert( @pm.registered?(p.position_id) )
+    assert_equals( registerd.size, 3 )
+
+    #削除
+    @pm.unregister( p.position_id, registerd[1] )
+    assert( @pm.registered?(p.position_id) )
+    assert_equals( @pm.get_registered_strategy(p.position_id).size, 2 )
+
+    @pm.unregister_all( p.position_id )
+    assert( !@pm.registered?(p.position_id) )
+    assert_equals( @pm.get_registered_strategy(p.position_id).size, 0 )
+
+  end
+
+  # losscutのテスト
+  def test_losscut
+
+    #ポジションを追加
+    ps = [
+      Position.new( 1, 0, JIJI::Position::STATE_START ),
+      Position.new( 2, 0, JIJI::Position::STATE_START ),
+      Position.new( 3, 0, JIJI::Position::STATE_START ),
+      Position.new( 4, 0, JIJI::Position::STATE_START )
+    ]
+    ps.each{|p| @op << p }
+
+    #損切り対象としてマーク
+    @pm.register_loss_cut( ps[0].position_id, -1000 )
+    @pm.register_loss_cut( ps[1].position_id, -1000 )
+    @pm.register_loss_cut( ps[2].position_id, -1500 )
+    @pm.register_loss_cut( ps[3].position_id, -2000 )
+    ps.each {|p|
+      assert( @pm.registered?(p.position_id) )
+      assert_equals( @pm.get_registered_strategy(p.position_id).size, 1 )
+    }
+
+    # 初回のチェック。何もコミットされない
+    assert_equals( @pm.check, [] )
+
+    # ポジションの損失を-1100に設定
+    ps.each {|p| p.profit_or_loss = -1100 }
+    assert_equals( @pm.check, ps[0..1] ) # 1～2が決済される
+    assert( @op.commited.include?( 1 ) )
+    assert( @op.commited.include?( 2 ) )
+
+    assert( !@pm.registered?(ps[0].position_id) )
+    assert_equals( @pm.get_registered_strategy(ps[0].position_id).size, 0 )
+    assert( !@pm.registered?(ps[1].position_id) )
+    assert_equals( @pm.get_registered_strategy(ps[1].position_id).size, 0 )
+
+    # ポジションの損失を-1500に設定
+    ps.each {|p| p.profit_or_loss = -1500 }
+    assert_equals( @pm.check, [ps[2]] ) # 3が決済される
+    assert( @op.commited.include?( 1 ) )
+    assert( @op.commited.include?( 2 ) )
+    assert( @op.commited.include?( 3 ) )
+
+    assert( !@pm.registered?(ps[2].position_id) )
+    assert_equals( @pm.get_registered_strategy(ps[2].position_id).size, 0 )
+
+  end
+
+  # trailing_stopのテスト
+  def test_trailing_stop
+
+    #ポジションを追加
+    ps = [
+      Position.new( 1, 0, JIJI::Position::STATE_START ),
+      Position.new( 2, 0, JIJI::Position::STATE_START ),
+      Position.new( 3, 0, JIJI::Position::STATE_START ),
+      Position.new( 4, 0, JIJI::Position::STATE_START )
+    ]
+    ps.each{|p| @op << p }
+
+    #トレーリングストップの対象としてマーク
+    @pm.register_trailing_stop( ps[0].position_id, -1000 )
+    @pm.register_trailing_stop( ps[1].position_id, -1000 )
+    @pm.register_trailing_stop( ps[2].position_id, -1500 )
+    @pm.register_trailing_stop( ps[3].position_id, -2000 )
+    ps.each {|p|
+      assert( @pm.registered?(p.position_id) )
+      assert_equals( @pm.get_registered_strategy(p.position_id).size, 1 )
+    }
+
+    # 初回のチェック。何もコミットされない
+    assert_equals( @pm.check, [] )
+
+    # ポジションの損失を-1100に設定
+    ps.each {|p| p.profit_or_loss = -1100 }
+    assert_equals( @pm.check, ps[0..1] ) # 1～2が決済される
+    assert( @op.commited.include?( 1 ) )
+    assert( @op.commited.include?( 2 ) )
+
+    assert( !@pm.registered?(ps[0].position_id) )
+    assert_equals( @pm.get_registered_strategy(ps[0].position_id).size, 0 )
+
+    assert( !@pm.registered?(ps[1].position_id) )
+    assert_equals( @pm.get_registered_strategy(ps[1].position_id).size, 0 )
+
+    # ポジションの利益を1500に設定
+    ps.each {|p| p.profit_or_loss = 1500 }
+    assert_equals( @pm.check, [] ) # 決済はされない
+
+    # ポジションの利益を2000に設定
+    ps.each {|p| p.profit_or_loss = 2000 }
+    assert_equals( @pm.check, [] ) # 決済はされない
+
+    # ポジションの利益を500に設定
+    ps.each {|p| p.profit_or_loss = 500 }
+    assert_equals( @pm.check, [ps[2]] ) # 最大値から1500下がったので、3が決済される
+    assert( @op.commited.include?( 1 ) )
+    assert( @op.commited.include?( 2 ) )
+    assert( @op.commited.include?( 3 ) )
+
+    assert( !@pm.registered?(ps[2].position_id) )
+    assert_equals( @pm.get_registered_strategy(ps[2].position_id).size, 0 )
+
+    # ポジションの利益を2500に設定
+    ps.each {|p| p.profit_or_loss = 2500 }
+    assert_equals( @pm.check, [] ) # 決済はされない
+
+    # ポジションの利益を500に設定
+    ps.each {|p| p.profit_or_loss = 500 }
+    assert_equals( @pm.check, [ps[3]] ) # 最大値から1500下がったので、4が決済される
+    assert( @op.commited.include?( 1 ) )
+    assert( @op.commited.include?( 2 ) )
+    assert( @op.commited.include?( 3 ) )
+    assert( @op.commited.include?( 4 ) )
+
+    assert( !@pm.registered?(ps[3].position_id) )
+    assert_equals( @pm.get_registered_strategy(ps[3].position_id).size, 0 )
+
+  end
+
+  # 損切りロジックが複数登録されている場合のテスト
+  def test_multi_stop
+    #ポジションを追加
+    ps = [
+      Position.new( 1, 0, JIJI::Position::STATE_START ),
+      Position.new( 2, 0, JIJI::Position::STATE_START )
+    ]
+    ps.each{|p| @op << p }
+
+    # ロスカット
+    @pm.register_loss_cut( ps[0].position_id, -500 )
+    @pm.register_loss_cut( ps[1].position_id, -2000 )
+
+    @pm.register_trailing_stop( ps[0].position_id, -1000 )
+    @pm.register_trailing_stop( ps[1].position_id, -1000 )
+    ps.each {|p|
+      assert( @pm.registered?(p.position_id) )
+      assert_equals( @pm.get_registered_strategy(p.position_id).size, 2 )
+    }
+
+    # 初回のチェック。何もコミットされない
+    assert_equals( @pm.check, [] )
+
+    # ポジションの損失を-200に設定
+    ps.each {|p| p.profit_or_loss = -200 }
+    assert_equals( @pm.check, [] )
+
+    # ポジションの利益を200に設定
+    ps.each {|p| p.profit_or_loss = 200 }
+    assert_equals( @pm.check, [] )
+
+    # ポジションの損失を-500に設定
+    ps.each {|p| p.profit_or_loss = -500 }
+    assert_equals( @pm.check, [ps[0]] ) # 1が決済される
+    assert( @op.commited.include?( 1 ) )
+
+    assert( !@pm.registered?(ps[0].position_id) )
+    assert_equals( @pm.get_registered_strategy(ps[0].position_id).size, 0 )
+
+    # ポジションの利益を1500に設定
+    ps.each {|p| p.profit_or_loss = 1500 }
+    assert_equals( @pm.check, [] ) # 決済はされない
+
+    # ポジションの利益を2000に設定
+    ps.each {|p| p.profit_or_loss = 2000 }
+    assert_equals( @pm.check, [] ) # 決済はされない
+
+    # ポジションの利益を500に設定
+    ps.each {|p| p.profit_or_loss = 1000 }
+    assert_equals( @pm.check, [ps[1]] ) # 最大値から1000下がったので、2が決済される
+    assert( @op.commited.include?( 1 ) )
+
+    assert( !@pm.registered?(ps[1].position_id) )
+    assert_equals( @pm.get_registered_strategy(ps[1].position_id).size, 0 )
+  end
+
+  Position = Struct.new( :position_id, :profit_or_loss, :state )
+
+  # テスト用のダミーoperator
+  class MockOperator
+    def initialize
+      @positions = {}
+      @commited = []
+    end
+    def <<(p)
+      @positions[p.position_id] = p
+    end
+    def commit( position )
+      @commited ||= Set.new
+      @commited << position.position_id
+      @positions.delete position.position_id
+    end
+    attr :commited, true
+    attr :positions, true
+  end
+end

data/test/shared/test_Signal.rb

@@ -0,0 +1,65 @@
+#!/usr/bin/ruby
+
+$: << "../lib"
+$: << "../base/shared_lib"
+
+require 'rubygems'
+require 'runit/testcase'
+require 'runit/cui/testrunner'
+require 'system/signal'
+require 'csv'
+
+class SignalTest <  RUNIT::TestCase
+
+  # 前準備
+  def setup
+  end
+
+  # 後始末
+  def teardown
+  end
+
+  def test_signal
+    signals = [
+      Signal::MovingAverage.new,
+      Signal::WeightedMovingAverage.new,
+      Signal::ExponentialMovingAverage.new,
+      Signal::BollingerBands.new,
+      Signal::BollingerBands.new {|datas| Signal.ema(datas) },
+      Signal::Vector.new,
+      Signal::Momentum.new,
+      Signal::MACD.new,
+      Signal::RSI.new,
+      Signal::ROC.new
+    ]
+    signals.each {|s|
+      puts "\n---" + s.class.to_s
+      each {|rate|
+        p s.next_data( rate  )
+      }
+    }
+
+    signals = [
+      Signal::DMI.new
+    ]
+    signals.each {|s|
+      puts "\n---" + s.class.to_s
+      each_rates {|rate|
+        p s.next_data( rate  )
+      }
+    }
+  end
+
+  def each
+    each_rates {|r|
+      yield r.start
+    }
+  end
+  def each_rates( )
+    CSV.foreach( File.dirname(__FILE__) + "/rate.csv" ) {|row|
+      yield Rate.new( row[0].to_f, row[1].to_f, row[2].to_f, row[3].to_f )
+    }
+  end
+
+  Rate = Struct.new( :start, :end, :max, :min )
+end

data/test/test_Output.rb

@@ -8,13 +8,14 @@ require 'jiji/output'
 require 'fileutils'
 
 class OutputTest <  RUNIT::TestCase
-  
+
   def setup
     @dir = File.dirname(__FILE__) + "/OutputTest.tmp"
     FileUtils.mkdir_p @dir
-    
-    @o = JIJI::Output.new( "テストエージェント", @dir )
+
+    @o = JIJI::Output.new( "agent_id", @dir )
     @o.scales = ["30s","1m","1h"]
+    @o.agent_name = "エージェント名"
   end
 
   def teardown
@@ -22,14 +23,15 @@ class OutputTest <  RUNIT::TestCase
   end
 
   def test_basic
-    
+
     # 書き込み
     out  = @o.get( "テスト",  :event, { :a=>"aaa", :b=>"bbb" } )
     out2 = @o.get( "テスト2", :graph )
-    
+
+    assert_equals @o.agent_name, "エージェント名"
     assert_equals out.options, { :a=>"aaa", :b=>"bbb", :name=>"テスト", :type=>"event" }
     assert_equals out2.options, { :name=>"テスト2", :type=>"graph" }
-    
+
     @o.time = Time.local(2008, 8, 1, 10, 0, 0)
     out.put( "type", "データ\nデータ" )
     out2.put 100, 110
@@ -41,7 +43,7 @@ class OutputTest <  RUNIT::TestCase
     @o.time = Time.local(2008, 8, 3, 10, 0, 0)
     out.put( "type4", "データ4" )
     out2.put 10, 20
-    
+
     # データの取得
     list = read( out, Time.local(2008), Time.local(2008,8,10) )
     assert_equals list, [
@@ -74,7 +76,7 @@ class OutputTest <  RUNIT::TestCase
     ]
     list = read( out, Time.local(2008, 9, 2, 12, 10, 0), Time.local(2008, 9, 2, 13, 10, 0) )
     assert_equals list, []
-    
+
 
     list = read( out2, Time.local(2008), Time.local(2008,8,10) )
     assert_equals list, [
@@ -102,9 +104,9 @@ class OutputTest <  RUNIT::TestCase
       ["200", "220", Time.local(2008, 8, 1, 12, 10, 20).to_i.to_s]
     ]
     list = read( out2, Time.local(2008, 8, 1, 13, 10, 0), Time.local(2008, 8, 1, 13, 10, 0) )
-    assert_equals list, []        
-    
-    
+    assert_equals list, []
+
+
     # 出力先一覧
     @o.each {|k, v|
       case k
@@ -116,23 +118,27 @@ class OutputTest <  RUNIT::TestCase
         fail
       end
     }
-    
+
     # 出力先を再取得 # 同じインスタンスが返される
     assert_equals out.object_id,  @o.get( "テスト",  :event ).object_id
     assert_equals out2.object_id, @o.get( "テスト2",  :event ).object_id
-    
+
     #プロパティの更新
     assert_equals out.options, { :a=>"aaa", :b=>"bbb", :name=>"テスト", :type=>"event" }
-    assert_equals out2.options, { :name=>"テスト2", :type=>"graph" }    
-    
+    assert_equals out2.options, { :name=>"テスト2", :type=>"graph" }
+
     out.set_properties( {:x=>"xxx", "a"=>"abc"} ) # 文字列をキーにしてもto_symされたものがキーにされる。
     out2.set_properties( {:y=>"yyy", :a=>"ab"} )
-    
+
     assert_equals out.options, {:x=>"xxx", :a=>"abc", :b=>"bbb", :name=>"テスト", :type=>"event" }
-    assert_equals out2.options, { :y=>"yyy", :a=>"ab", :name=>"テスト2", :type=>"graph" }    
-    
+    assert_equals out2.options, { :y=>"yyy", :a=>"ab", :name=>"テスト2", :type=>"graph" }
+
+    #名前の更新
+    @o.agent_name = "エージェント名2"
+    assert_equals @o.agent_name, "エージェント名2"
+
     # 再作成 # 既存のデータがロードされる
-    @o = JIJI::Output.new( "テストエージェント", @dir )
+    @o = JIJI::Output.new( "agent_id", @dir )
     list = read( @o.get("テスト"), nil, nil )
     assert_equals list, [
       ["type", "データ\nデータ", Time.local(2008, 8, 1, 10, 0, 0).to_i.to_s],
@@ -146,6 +152,7 @@ class OutputTest <  RUNIT::TestCase
       ["200", "220", Time.local(2008, 8, 1, 12, 10, 20).to_i.to_s],
       ["10" , "20",  Time.local(2008, 8, 3, 10, 0, 0).to_i.to_s]
     ]
+    assert_equals @o.agent_name, "エージェント名2"
     assert_equals @o.get("テスト").options, {:x=>"xxx", :a=>"abc", :b=>"bbb", :name=>"テスト", :type=>"event" }
     assert_equals @o.get("テスト2").options, { :y=>"yyy", :a=>"ab", :name=>"テスト2", :type=>"graph" }
     @o.each {|k, v|
@@ -157,9 +164,9 @@ class OutputTest <  RUNIT::TestCase
       else
         fail
       end
-    }    
+    }
   end
-  
+
   def read( out, start_date, end_date, scale=:raw )
     list = []
     out.each( scale, start_date, end_date ) {|row| list << row }

data/test/test_OutputManager.rb

@@ -0,0 +1,162 @@
+#!/usr/bin/ruby
+
+$: << "../lib"
+
+require 'runit/testcase'
+require 'runit/cui/testrunner'
+require 'jiji/registry'
+require 'fileutils'
+
+class OutputManagerTest <  RUNIT::TestCase
+
+  def setup
+    @dir = File.dirname(__FILE__) + "/OutputregistryTest"
+    @registry = JIJI::Registry.new(@dir , nil)
+    @registry.plugin_loader.load
+    @mng = @registry.output_manager
+  end
+
+  def teardown
+    Test.destry( @registry, @dir )
+    FileUtils.rm_rf "#{@dir}/agents"
+    FileUtils.rm_rf "#{@dir}/shared_lib"
+  end
+
+  def test_basic
+
+    #最初はデータがない
+    assert_equals read( "pid1" ), []
+
+    #outputを作成
+    out1_1 = @mng.create( "pid1", "agent1" )
+    out1_2 = @mng.create( "pid1", "agent2" )
+    out2_1 = @mng.create( "pid2", "agent1" )
+
+    out1_1.agent_name = "agent1_name"
+    out1_2.agent_name = "agent2_name"
+    out2_1.agent_name = "agent1_name"
+
+    assert_equals out1_1.agent_id, "agent1"
+    assert_equals out1_2.agent_id, "agent2"
+    assert_equals out2_1.agent_id, "agent1"
+
+    #すでに作成済みのものを作成 → 同じインスタンスが返される
+    out1_1_2 = @mng.create( "pid1", "agent1" )
+    assert_equals out1_1.object_id, out1_1_2.object_id
+
+    #作成したoutputを取得
+    out1_1 = @mng.get( "pid1", "agent1" )
+    out1_2 = @mng.get( "pid1", "agent2" )
+    out2_1 = @mng.get( "pid2", "agent1" )
+
+    assert_equals out1_1.agent_id, "agent1"
+    assert_equals out1_2.agent_id, "agent2"
+    assert_equals out2_1.agent_id, "agent1"
+
+    #未作成のものを取得→エラー
+    assert_error( JIJI::UserError, JIJI::ERROR_NOT_FOUND ) {
+      @mng.get( "not found", "agent2" )
+    }
+    assert_error( JIJI::UserError, JIJI::ERROR_NOT_FOUND ) {
+      @mng.get( "pid1", "not found" )
+    }
+
+    #列挙
+    assert_equals read( "pid1" ), [
+      out1_1, out1_2
+    ]
+    assert_equals read( "pid2" ), [
+      out2_1
+    ]
+    assert_equals @mng.get_process_map( "pid1" ), {
+      "agent1"=>out1_1,
+      "agent2"=>out1_2
+    }
+    assert_equals @mng.get_process_map( "pid2" ), {
+      "agent1"=>out2_1
+    }
+
+    #存在しないものを列挙 → 空と同じ扱いになる
+    assert_equals read( "not found" ), []
+    assert_equals @mng.get_process_map( "not found" ), {}
+
+
+    #削除
+    @mng.delete( "pid1", "agent2" )
+    assert_equals read( "pid1" ), [
+      out1_1
+    ]
+    assert_equals @mng.get_process_map( "pid1" ), {
+      "agent1"=>out1_1
+    }
+    assert_error( JIJI::UserError, JIJI::ERROR_NOT_FOUND ) {
+      @mng.get( "pid1", "agent2" )
+    }
+
+    #再作成
+    Test.destry( @registry )
+    @registry = JIJI::Registry.new(@dir , nil)
+    @registry.plugin_loader.load
+    @mng = @registry.output_manager
+
+    #取得、作成、削除を一通り試す
+    out1_1 = @mng.get( "pid1", "agent1" )
+    out2_1 = @mng.get( "pid2", "agent1" )
+
+    assert_equals out1_1.agent_id, "agent1"
+    assert_equals out2_1.agent_id, "agent1"
+
+    assert_equals read( "pid1" ), [
+      out1_1
+    ]
+    assert_equals read( "pid2" ), [
+      out2_1
+    ]
+    assert_equals @mng.get_process_map( "pid1" ), {
+      "agent1"=>out1_1
+    }
+    assert_equals @mng.get_process_map( "pid2" ), {
+      "agent1"=>out2_1
+    }
+
+    out1_3 = @mng.create( "pid1", "agent3" )
+    out1_3.agent_name = "agent3_name"
+    assert_equals out1_3.agent_id, "agent3"
+    assert_equals read( "pid1" ), [
+      out1_1, out1_3
+    ]
+    assert_equals @mng.get_process_map( "pid1" ), {
+      "agent1"=>out1_1, "agent3"=>out1_3
+    }
+
+    @mng.delete( "pid1", "agent1" )
+    assert_equals read( "pid1" ), [
+      out1_3
+    ]
+    assert_equals @mng.get_process_map( "pid1" ), {
+      "agent3"=>out1_3
+    }
+    assert_error( JIJI::UserError, JIJI::ERROR_NOT_FOUND ) {
+      @mng.get( "pid1", "agent1" )
+    }
+
+  end
+
+  #例外が発生することを評価する。
+  #codeも評価したいので独自で作成。
+  def assert_error( error, code )
+    begin
+      yield
+      fail
+    rescue error
+      assert_equals $!.code, code
+    end
+  end
+
+  #指定されたプロセスのoutput一覧を得る
+  def read( process_id )
+    list = []
+    @mng.each( process_id ) {|row| list << row }
+    return list.sort_by {|i| i.agent_id }
+  end
+end

data/test/test_Output_registry.rb

@@ -22,32 +22,21 @@ class OutputregistryTest <  RUNIT::TestCase
   end
 
   def teardown
-    begin
-      @mng.stop
-      begin
-        @registry.permitter.close
-      ensure
-        @registry.server_logger.close
-      end
-    ensure
-      FileUtils.rm_rf "#{@dir}/agents"
-      FileUtils.rm_rf "#{@dir}/logs"
-      FileUtils.rm_rf "#{@dir}/process_logs"
-      FileUtils.rm_rf "#{@dir}/rate_datas"
-      FileUtils.rm_rf "#{@dir}/shared_lib"
-    end
+    Test.destry( @registry, @dir )
+    FileUtils.rm_rf "#{@dir}/agents"
+    FileUtils.rm_rf "#{@dir}/shared_lib"
   end
 
   # outputに2重にアスペクトが適用され、実行時エラーになっていた不具合の回収確認テスト。
-  def testCreate 
+  def testCreate
     out = @registry.output("rmt", "test_agent")
     out.time = Time.now
     out.get("foo").put( 1,2 )
     out.get("foo").put( 2,3 )
-    
+
     out2 = @registry.output("rmt", "test_agent")
     out2.time = Time.now
     out2.get("foo").put( 2,3 )
   end
-  
+
 end