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Fix data collector

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zhupr
2020-09-26 23:36:43 +08:00
parent 29f0814d83
commit c825c99c2c
4 changed files with 69 additions and 10 deletions
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20
tests/dataset_tests/test_dataset.py
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@@ -16,15 +16,25 @@ class TestDataset(unittest.TestCase):
close_p = D.features(D.instruments('csi300'), ['$close'])
size = close_p.groupby('datetime').size()
cnt = close_p.groupby('datetime').count()
size_desc = size.describe(percentiles=np.arange(0.1, 0.9, 0.1))
cnt_desc = cnt.describe(percentiles=np.arange(0.1, 0.9, 0.1))
print(size.describe(percentiles=np.arange(0.1, 0.9, 0.1)))
print(cnt.describe(percentiles=np.arange(0.1, 0.9, 0.1)))
# TODO: assert
print(size_desc)
print(cnt_desc)
self.assertLessEqual(size_desc.loc["max"][0], 305, "Excessive number of CSI300 constituent stocks")
self.assertLessEqual(size_desc.loc["80%"][0], 290, "Insufficient number of CSI300 constituent stocks")
self.assertLessEqual(cnt_desc.loc["max"][0], 305, "Excessive number of CSI300 constituent stocks")
self.assertEqual(cnt_desc.loc["80%"][0], 300, "Insufficient number of CSI300 constituent stocks")
def testClose(self):
close_p = D.features(D.instruments('csi300'), ['Ref($close, 1)/$close - 1'])
print(close_p.describe(percentiles=np.arange(0.1, 0.9, 0.1)))
# TODO: assert
close_desc = close_p.describe(percentiles=np.arange(0.1, 0.9, 0.1))
print(close_desc)
self.assertLessEqual(abs(close_desc.loc["80%"][0]), 0.1, "Close value is abnormal")
self.assertLessEqual(abs(close_desc.loc["max"][0]), 0.2, "Close value is abnormal")
self.assertGreaterEqual(abs(close_desc.loc["min"][0]), -0.2, "Close value is abnormal")
if __name__ == '__main__':