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Fix test_get_historical_prices; make polygon test deterministic #659

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Fix test_get_historical_prices; make polygon test deterministic #659

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43a833c
fix for bug in data.py for polygon data
brettelliot Nov 28, 2024
8835f18
Merge branch 'dev' into fix-polygon-get-historical-prices
brettelliot Dec 9, 2024
f05b327
Make test deterministic
brettelliot Dec 9, 2024
7525392
Added deterministic tests for thanksgiving dates.
brettelliot Dec 9, 2024
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5 changes: 5 additions & 0 deletions lumibot/entities/data.py
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Original file line number Diff line number Diff line change
Expand Up @@ -480,6 +480,11 @@ def _get_bars_dict(self, dt, length=1, timestep=None, timeshift=0):

# Get bars.
end_row = self.get_iter_count(dt) - timeshift
if self.df.index[end_row] != dt:
# If dt is not in the dataframe, get_iter_count will return the last bar before dt.
# Since the data is not complete, we need to get the last bar, which is the end_row.
# And since the selection at the end is exclusive of end_row, we need to add 1 to end_row here.
end_row += 1
start_row = end_row - length

if start_row < 0:
Expand Down
51 changes: 40 additions & 11 deletions tests/test_get_historical_prices.py
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Original file line number Diff line number Diff line change
Expand Up @@ -16,9 +16,7 @@
from lumibot.tools import get_trading_days

# Global parameters
# API Key for testing Polygon.io
from lumibot.credentials import POLYGON_API_KEY
from lumibot.credentials import TRADIER_CONFIG, ALPACA_CONFIG
from lumibot.credentials import TRADIER_CONFIG, ALPACA_CONFIG, POLYGON_CONFIG


logger = logging.getLogger(__name__)
Expand Down Expand Up @@ -134,13 +132,35 @@ def test_pandas_backtesting_data_source_get_historical_prices_daily_bars(self, p
self.check_date_of_last_bar_is_date_of_last_trading_date_before_backtest_start(bars, backtesting_start=backtesting_start)
self.check_dividends_and_adjusted_returns(bars)

@pytest.mark.skip(reason="This test exposes a possible bug in data.py that we have not investigated yet.")
@pytest.mark.skipif(POLYGON_API_KEY == '<your key here>', reason="This test requires a Polygon.io API key")
# First trading day after Thanksgiving test
backtesting_start = datetime(2019, 11, 2)
backtesting_end = datetime(2019, 12, 2)
data_source = PandasData(
datetime_start=backtesting_start,
datetime_end=backtesting_end,
pandas_data=pandas_data_fixture
)
bars = data_source.get_historical_prices(asset=self.asset, length=self.length, timestep=self.timestep)
check_bars(bars=bars, length=self.length)
self.check_date_of_last_bar_is_date_of_last_trading_date_before_backtest_start(bars, backtesting_start=backtesting_start)

@pytest.mark.skipif(not POLYGON_CONFIG["API_KEY"], reason="This test requires a Polygon.io API key")
@pytest.mark.skipif(not POLYGON_CONFIG["IS_PAID_SUBSCRIPTION"], reason="This test requires a paid Polygon.io API key")
def test_polygon_backtesting_data_source_get_historical_prices_daily_bars(self):
backtesting_end = datetime.now() - timedelta(days=1)
backtesting_start = backtesting_end - timedelta(days=self.length * 2 + 5)
backtesting_start = datetime(2019, 3, 25)
backtesting_end = datetime(2019, 4, 25)
data_source = PolygonDataBacktesting(
backtesting_start, backtesting_end, api_key=POLYGON_CONFIG["API_KEY"]
)
bars = data_source.get_historical_prices(asset=self.asset, length=self.length, timestep=self.timestep)
check_bars(bars=bars, length=self.length)
self.check_date_of_last_bar_is_date_of_last_trading_date_before_backtest_start(bars, backtesting_start=backtesting_start)

# First trading day after Thanksgiving test
backtesting_start = datetime(2019, 3, 25)
backtesting_end = datetime(2019, 4, 25)
data_source = PolygonDataBacktesting(
backtesting_start, backtesting_end, api_key=POLYGON_API_KEY
backtesting_start, backtesting_end, api_key=POLYGON_CONFIG["API_KEY"]
)
bars = data_source.get_historical_prices(asset=self.asset, length=self.length, timestep=self.timestep)
check_bars(bars=bars, length=self.length)
Expand All @@ -163,8 +183,19 @@ def test_yahoo_backtesting_data_source_get_historical_prices_daily_bars(self, pa
self.check_dividends_and_adjusted_returns(bars)
self.check_date_of_last_bar_is_date_of_last_trading_date_before_backtest_start(bars, backtesting_start=backtesting_start)

# First trading day after Thanksgiving test
backtesting_start = datetime(2019, 3, 25)
backtesting_end = datetime(2019, 4, 25)
data_source = YahooDataBacktesting(
datetime_start=backtesting_start,
datetime_end=backtesting_end,
pandas_data=pandas_data_fixture
)
bars = data_source.get_historical_prices(asset=self.asset, length=self.length, timestep=self.timestep)
check_bars(bars=bars, length=self.length)
self.check_date_of_last_bar_is_date_of_last_trading_date_before_backtest_start(bars, backtesting_start=backtesting_start)


# @pytest.mark.skip()
class TestDatasourceGetHistoricalPricesDailyData:
"""These tests check the daily Bars returned from get_historical_prices for live data sources."""

Expand Down Expand Up @@ -202,7 +233,6 @@ def check_date_of_last_bar_is_correct_for_live_data_sources(self, bars):
# if it's not a trading day, the last bar the bar should from the last trading day
assert bars.df.index[-1].date() == self.trading_days.index[-1].date()

# @pytest.mark.skip()
@pytest.mark.skipif(not ALPACA_CONFIG['API_KEY'], reason="This test requires an alpaca API key")
@pytest.mark.skipif(
ALPACA_CONFIG['API_KEY'] == '<your key here>',
Expand All @@ -225,7 +255,6 @@ def test_alpaca_data_source_get_historical_prices_daily_bars(self):
check_bars(bars=bars, length=1, check_timezone=False)
self.check_date_of_last_bar_is_correct_for_live_data_sources(bars)

# @pytest.mark.skip()
@pytest.mark.skipif(not TRADIER_CONFIG['ACCESS_TOKEN'], reason="No Tradier credentials provided.")
def test_tradier_data_source_get_historical_prices_daily_bars(self):
data_source = TradierData(
Expand Down
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