lumibot 4.0.23__py3-none-any.whl → 4.1.0__py3-none-any.whl

tests/test_yahoo_data.py

@@ -0,0 +1,125 @@
+import logging
+import pytest
+import math
+from datetime import datetime, timedelta, time
+import pytz
+
+import pandas as pd
+
+from lumibot.data_sources import YahooData
+from lumibot.tools import print_full_pandas_dataframes, set_pandas_float_display_precision
+from lumibot.entities import Asset
+from lumibot.tools import get_trading_days
+from tests.fixtures import BaseDataSourceTester
+
+logger = logging.getLogger(__name__)
+print_full_pandas_dataframes()
+set_pandas_float_display_precision()
+
+
+# @pytest.mark.skip()
+class TestYahooData(BaseDataSourceTester):
+
+    def _create_data_source(self):
+        return YahooData()
+
+    @pytest.mark.xfail(reason="yahoo sucks")
+    def test_get_historical_prices_daily_bars_over_long_weekend(self):
+        tzinfo = pytz.timezone('America/New_York')
+        datetime_start = tzinfo.localize(datetime(2019, 1, 2))
+        datetime_end = tzinfo.localize(datetime(2019, 12, 31))
+        asset = Asset("SPY")
+        timestep = "day"
+
+        length = 10
+        data_source = YahooData(datetime_start, datetime_end)
+
+        # First trading day after MLK day
+        now = tzinfo.localize(datetime(2019, 1, 22)).replace(hour=9, minute=30)
+        data_source._datetime = now
+        bars = data_source.get_historical_prices(asset=asset, length=length, timestep=timestep)
+        self.check_length(bars=bars, length=length)
+        self.check_columns(bars=bars)
+        self.check_index(bars=bars)
+        # TODO: YahooData doesn't return the incomplete daily bar for the day like most live data sources.
+        # self.check_daily_bars(
+        #     bars=bars,
+        #     now=now,
+        #     data_source_tz=data_source.tzinfo,
+        #     time_check=time(0, 0),
+        # )
+
+    @pytest.mark.xfail(reason="yahoo sucks")
+    def test_get_historical_prices_daily_bars_for_backtesting_broker(self):
+        # Simulate what the backtesting broker does for yahoo
+        tzinfo = pytz.timezone('America/New_York')
+        datetime_start = tzinfo.localize(datetime(2019, 1, 2))
+        datetime_end = tzinfo.localize(datetime(2019, 12, 31))
+        asset = Asset("SPY")
+        timestep = "day"
+        length = 1
+        timeshift = timedelta(
+            days=-1
+        )
+
+        data_source = YahooData(datetime_start, datetime_end)
+        now = tzinfo.localize(datetime(2019, 4, 1, 9, 30))
+        data_source._datetime = now
+
+        bars = data_source.get_historical_prices(asset=asset, length=length, timestep=timestep, timeshift=timeshift)
+        self.check_length(bars=bars, length=length)
+        self.check_columns(bars=bars)
+        self.check_index(bars=bars)
+        # TODO: yahoo data is indexed at 4pm, so even this, which correctly gets the current bar,
+        # fails the check that the bar is before now and not from the future.
+        # self.check_daily_bars(
+        #     bars=bars,
+        #     now=now,
+        #     data_source_tz=data_source.tzinfo,
+        #     time_check=time(0, 0),
+        # )
+
+    def test_format_index_symbol(self):
+        """Test that index symbols are properly formatted for Yahoo Finance"""
+        data_source = YahooData()
+
+        # Test SPX -> ^SPX
+        symbols = data_source._format_index_symbol("SPX")
+        assert "^SPX" in symbols
+        assert "SPX" in symbols
+
+        # Test ^SPX -> ^SPX (already formatted)
+        symbols = data_source._format_index_symbol("^SPX")
+        assert "^SPX" in symbols
+        assert "SPX" in symbols
+
+        # Test other common indexes
+        symbols = data_source._format_index_symbol("DJI")
+        assert "^DJI" in symbols
+        assert "DJI" in symbols
+
+    @pytest.mark.xfail(reason="Depends on external Yahoo Finance API")
+    def test_get_historical_prices_index_asset(self):
+        """Test getting historical prices for index assets"""
+        tzinfo = pytz.timezone('America/New_York')
+        datetime_start = tzinfo.localize(datetime(2019, 1, 2))
+        datetime_end = tzinfo.localize(datetime(2019, 12, 31))
+
+        # Test with SPX index
+        asset = Asset("SPX", asset_type="index")
+        timestep = "day"
+        length = 10
+
+        data_source = YahooData(datetime_start, datetime_end)
+
+        # Set the datetime to a valid trading day
+        now = tzinfo.localize(datetime(2019, 1, 22)).replace(hour=9, minute=30)
+        data_source._datetime = now
+
+        bars = data_source.get_historical_prices(asset=asset, length=length, timestep=timestep)
+
+        # Basic validation
+        self.check_length(bars=bars, length=length)
+        self.check_columns(bars=bars)
+        self.check_index(bars=bars)
+