CoCalc -- test_alpaca

GitHub Repository: AI4Finance-Foundation/FinRL
Path: blob/master/unit_tests/downloaders/test_alpaca_downloader.py
⁷²⁸ views
1
from __future__ import annotations
2

3
import pandas as pd
4
import pytest
5

6
from finrl.meta.data_processors.processor_alpaca import AlpacaProcessor
7

8

9
API_KEY = "???"
10
API_SECRET = "???"
11
API_BASE_URL = "https://paper-api.alpaca.markets"
12
data_url = "wss://data.alpaca.markets"
13

14

15
@pytest.fixture(scope="session")
16
def ticker_list():
17
    return ["AAPL", "GOOG"]
18

19

20
def test_intraDayBar_download(ticker_list):
21
    # Given
22
    start_date = "2021-07-29"
23
    end_date = "2021-07-30"
24
    time_interval = "1H"
25
    ticker_list = ["AAPL", "GOOG"]
26

27
    # When
28
    DP = AlpacaProcessor(
29
        API_KEY=API_KEY, API_SECRET=API_SECRET, API_BASE_URL=API_BASE_URL
30
    )
31
    data = DP.download_data(
32
        start_date=start_date,
33
        end_date=end_date,
34
        ticker_list=ticker_list,
35
        time_interval=time_interval,
36
    )
37
    actual_head_1 = data[data["tic"] == "GOOG"].head(1).reset_index(drop=True)
38
    # Then
39
    expected_shape = (12, 9)
40
    expected_head_1 = pd.DataFrame(
41
        [
42
            [
43
                "2021-07-29 14:00:00",
44
                2732.41,
45
                2740.0,
46
                2724.11,
47
                2734.7525,
48
                120896,
49
                8650,
50
                2731.626021,
51
                "GOOG",
52
            ]
53
        ],
54
        columns=[
55
            "timestamp",
56
            "open",
57
            "high",
58
            "low",
59
            "close",
60
            "volume",
61
            "trade_count",
62
            "vwap",
63
            "tic",
64
        ],
65
    )
66

67
    assert data.shape == expected_shape
68
    assert (actual_head_1 == expected_head_1).all(axis=None)
69

70

71
def test_dayBar_download(ticker_list):
72
    # Given
73
    start_date = "2021-07-29"
74
    end_date = "2021-07-30"
75
    time_interval = "1D"
76
    ticker_list = ["AAPL", "GOOG"]
77

78
    # When
79
    DP = AlpacaProcessor(
80
        API_KEY=API_KEY, API_SECRET=API_SECRET, API_BASE_URL=API_BASE_URL
81
    )
82
    data = DP.download_data(
83
        start_date=start_date,
84
        end_date=end_date,
85
        ticker_list=ticker_list,
86
        time_interval=time_interval,
87
    )
88

89
    # Then
90
    expected = pd.DataFrame(
91
        [
92
            [
93
                "2021-07-29 04:00:00",
94
                144.66,
95
                146.55,
96
                144.58,
97
                145.64,
98
                56571097,
99
                414821,
100
                145.806207,
101
                "AAPL",
102
            ],
103
            [
104
                "2021-07-30 04:00:00",
105
                144.49,
106
                146.33,
107
                144.11,
108
                145.86,
109
                70291908,
110
                464977,
111
                145.396798,
112
                "AAPL",
113
            ],
114
            [
115
                "2021-07-29 04:00:00",
116
                2722.76,
117
                2743.03,
118
                2722.76,
119
                2730.81,
120
                962833,
121
                56703,
122
                2732.943535,
123
                "GOOG",
124
            ],
125
            [
126
                "2021-07-30 04:00:00",
127
                2710.22,
128
                2715.4273,
129
                2696.284,
130
                2704.42,
131
                1192648,
132
                55739,
133
                2704.685882,
134
                "GOOG",
135
            ],
136
        ],
137
        columns=[
138
            "timestamp",
139
            "open",
140
            "high",
141
            "low",
142
            "close",
143
            "volume",
144
            "trade_count",
145
            "vwap",
146
            "tic",
147
        ],
148
    )
149

150
    assert (data == expected).all(axis=None)
151

152
Product

Resources

Company
