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python-zipline-0.5.10-1.mga4.noarch.rpm

#
# Copyright 2013 Quantopian, Inc.
#
# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
# You may obtain a copy of the License at
#
#     http://www.apache.org/licenses/LICENSE-2.0
#
# Unless required by applicable law or agreed to in writing, software
# distributed under the License is distributed on an "AS IS" BASIS,
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
# See the License for the specific language governing permissions and
# limitations under the License.

from unittest import TestCase
from zipline.utils.factory import (load_from_yahoo,
                                   load_bars_from_yahoo)
import pandas as pd
import pytz
import numpy as np


class TestFactory(TestCase):
    def test_load_from_yahoo(self):
        stocks = ['AAPL', 'GE']
        start = pd.datetime(1993, 1, 1, 0, 0, 0, 0, pytz.utc)
        end = pd.datetime(2002, 1, 1, 0, 0, 0, 0, pytz.utc)
        data = load_from_yahoo(stocks=stocks, start=start, end=end)

        assert data.index[0] == pd.Timestamp('1993-01-04 00:00:00+0000')
        assert data.index[-1] == pd.Timestamp('2001-12-31 00:00:00+0000')
        for stock in stocks:
            assert stock in data.columns

        np.testing.assert_raises(
            AssertionError, load_from_yahoo, stocks=stocks,
            start=end, end=start
        )

    def test_load_bars_from_yahoo(self):
        stocks = ['AAPL', 'GE']
        start = pd.datetime(1993, 1, 1, 0, 0, 0, 0, pytz.utc)
        end = pd.datetime(2002, 1, 1, 0, 0, 0, 0, pytz.utc)
        data = load_bars_from_yahoo(stocks=stocks, start=start, end=end)

        assert data.major_axis[0] == pd.Timestamp('1993-01-04 00:00:00+0000')
        assert data.major_axis[-1] == pd.Timestamp('2001-12-31 00:00:00+0000')
        for stock in stocks:
            assert stock in data.items

        for ohlc in ['open', 'high', 'low', 'close', 'volume', 'price']:
            assert ohlc in data.minor_axis

        np.testing.assert_raises(
            AssertionError, load_bars_from_yahoo, stocks=stocks,
            start=end, end=start
        )