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55 lines
1.9 KiB
Python
55 lines
1.9 KiB
Python
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"""equity_with_dates rend, sans deduplication quand il n'y a rien a dedupliquer,
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exactement ce que la deduplication rendait."""
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import numpy as np
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import pyarrow as pa
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from manifoldbt._convert import _ts_to_int64, arrow_to_numpy, equity_with_dates
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class _Resultat:
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def __init__(self, ts, equity):
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self.positions = pa.table({
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"timestamp": pa.array(np.asarray(ts, dtype=np.int64), pa.timestamp("ns", tz="UTC")),
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"equity": pa.array(np.asarray(equity, dtype=np.float64)),
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})
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def _par_deduplication(result):
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ts_ns = _ts_to_int64(result.positions.column("timestamp"))
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eq_raw = arrow_to_numpy(result.positions.column("equity"))
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_, idx = np.unique(ts_ns, return_index=True)
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idx.sort()
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return ts_ns[idx].view("datetime64[ns]"), eq_raw[idx].astype(np.float64)
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def _memes(a, b):
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assert a[0].dtype == b[0].dtype and a[1].dtype == b[1].dtype
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np.testing.assert_array_equal(a[0], b[0])
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np.testing.assert_array_equal(a[1], b[1])
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def test_un_symbole_rend_ce_que_la_deduplication_rendait():
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ts = np.arange(1_000, dtype=np.int64) * 60_000_000_000
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eq = 100.0 + np.cumsum(np.random.default_rng(1).normal(size=1_000))
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r = _Resultat(ts, eq)
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got = equity_with_dates(r)
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_memes(got, _par_deduplication(r))
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# Des copies qu'on peut modifier, comme avant.
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got[1][0] = -1.0
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assert r.positions.column("equity")[0].as_py() != -1.0
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def test_plusieurs_symboles_sont_toujours_dedupliques():
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ts = np.repeat(np.arange(200, dtype=np.int64), 3) * 1_000_000_000
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eq = np.repeat(np.linspace(100.0, 120.0, 200), 3)
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r = _Resultat(ts, eq)
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got = equity_with_dates(r)
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assert len(got[0]) == 200
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_memes(got, _par_deduplication(r))
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def test_les_bords():
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for ts, eq in [([], []), ([5], [1.0]), ([5, 5], [1.0, 1.0]), ([7, 3], [2.0, 1.0])]:
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r = _Resultat(ts, eq)
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_memes(equity_with_dates(r), _par_deduplication(r))
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