mirror of
https://github.com/manifoldbt/manifoldbt.git
synced 2026-11-02 07:56:11 +00:00
55 lines
1.9 KiB
Python
55 lines
1.9 KiB
Python
"""equity_with_dates rend, sans deduplication quand il n'y a rien a dedupliquer,
|
|
exactement ce que la deduplication rendait."""
|
|
import numpy as np
|
|
import pyarrow as pa
|
|
|
|
from manifoldbt._convert import _ts_to_int64, arrow_to_numpy, equity_with_dates
|
|
|
|
|
|
class _Resultat:
|
|
def __init__(self, ts, equity):
|
|
self.positions = pa.table({
|
|
"timestamp": pa.array(np.asarray(ts, dtype=np.int64), pa.timestamp("ns", tz="UTC")),
|
|
"equity": pa.array(np.asarray(equity, dtype=np.float64)),
|
|
})
|
|
|
|
|
|
def _par_deduplication(result):
|
|
ts_ns = _ts_to_int64(result.positions.column("timestamp"))
|
|
eq_raw = arrow_to_numpy(result.positions.column("equity"))
|
|
_, idx = np.unique(ts_ns, return_index=True)
|
|
idx.sort()
|
|
return ts_ns[idx].view("datetime64[ns]"), eq_raw[idx].astype(np.float64)
|
|
|
|
|
|
def _memes(a, b):
|
|
assert a[0].dtype == b[0].dtype and a[1].dtype == b[1].dtype
|
|
np.testing.assert_array_equal(a[0], b[0])
|
|
np.testing.assert_array_equal(a[1], b[1])
|
|
|
|
|
|
def test_un_symbole_rend_ce_que_la_deduplication_rendait():
|
|
ts = np.arange(1_000, dtype=np.int64) * 60_000_000_000
|
|
eq = 100.0 + np.cumsum(np.random.default_rng(1).normal(size=1_000))
|
|
r = _Resultat(ts, eq)
|
|
got = equity_with_dates(r)
|
|
_memes(got, _par_deduplication(r))
|
|
# Des copies qu'on peut modifier, comme avant.
|
|
got[1][0] = -1.0
|
|
assert r.positions.column("equity")[0].as_py() != -1.0
|
|
|
|
|
|
def test_plusieurs_symboles_sont_toujours_dedupliques():
|
|
ts = np.repeat(np.arange(200, dtype=np.int64), 3) * 1_000_000_000
|
|
eq = np.repeat(np.linspace(100.0, 120.0, 200), 3)
|
|
r = _Resultat(ts, eq)
|
|
got = equity_with_dates(r)
|
|
assert len(got[0]) == 200
|
|
_memes(got, _par_deduplication(r))
|
|
|
|
|
|
def test_les_bords():
|
|
for ts, eq in [([], []), ([5], [1.0]), ([5, 5], [1.0, 1.0]), ([7, 3], [2.0, 1.0])]:
|
|
r = _Resultat(ts, eq)
|
|
_memes(equity_with_dates(r), _par_deduplication(r))
|