Merge pull request #35 from SaguaroCapital/tyler-expand-test-coverage

Expand Test Coverage

ext/MarketDataExt.jl

@@ -32,7 +32,7 @@ function SaguaroTrader.download_market_data(
 end
 
 function SaguaroTrader.download_market_data(
-    securities::Vector{Symbol},
+    securities::AbstractVector{Symbol},
     data_dir::String="./temp/";
     start_dt::DateTime=DateTime(1990, 1, 1),
     end_dt::DateTime=DateTime(2040, 1, 1),

src/asset/universe.jl

@@ -20,7 +20,7 @@ Dynamic asset universe. Each asset has a start date
 
 Parameters
 ----------
-- `asset_dates::Vector{Dict{Symbol,DateTime}}`
+- `asset_dates::AbstractVector{Dict{Symbol,DateTime}}`
 """
 struct DynamicUniverse <: Universe
     asset_dates::Dict{Asset,DateTime}
@@ -46,7 +46,7 @@ Returns
 -------
 - `Vector{Asset}`
 """
-function _get_assets(uni::DynamicUniverse, dt)::Vector{Asset}
+function _get_assets(uni::DynamicUniverse, dt)::AbstractVector{Asset}
     return Vector{Asset}([
         asset for (asset, asset_date) in uni.asset_dates if asset_date < dt
     ])

src/data/daily_bar_csv.jl

@@ -31,7 +31,7 @@ function _load_csv_into_df(
 end
 
 function _load_csvs_into_dfs(
-    csv_files::Vector{String},
+    csv_files::AbstractVector{String},
     adjust_prices::Bool=false,
     market_open::Dates.CompoundPeriod=Hour(14) + Minute(30),
     market_close::Dates.CompoundPeriod=Hour(21) + Minute(59),
@@ -60,13 +60,13 @@ function _load_csvs_into_dfs(
     return dict_asset_dfs
 end
 
-function _detect_adj_column(columns::Vector{String}, identifier::String)
+function _detect_adj_column(columns::AbstractVector{String}, identifier::String)
     identifier = lowercase(identifier)
     for col in columns
         col_lowered = lowercase(col)
         if occursin("adj", col_lowered)
             if occursin(identifier, col_lowered)
-                return col
+                return Symbol(col)
             end
         end
     end
@@ -75,12 +75,16 @@ function _detect_adj_column(columns::Vector{String}, identifier::String)
     for col in columns
         col_lowered = lowercase(col)
         if identifier == col_lowered
-            return col
+            return Symbol(col)
         end
     end
     return error("Unable to detect '$identifier' column in columns: $columns")
 end
 
+_detect_adj_column(columns::AbstractVector{Symbol}, identifier::String) = _detect_adj_column(string.(columns), identifier)
+_detect_adj_column(columns::AbstractVector{String}, identifier::Symbol) = _detect_adj_column(columns, string(identifier))
+_detect_adj_column(columns::AbstractVector{Symbol}, identifier::Symbol) = _detect_adj_column(string.(columns), string(identifier))
+
 """
 Estimate Bid-Ask spreads from OHLCV data
 
@@ -188,7 +192,7 @@ struct CSVDailyBarSource <: DataSource
     csv_dir::String
     asset_type::DataType
     adjust_prices::Bool
-    assets::Vector{Asset}
+    assets::AbstractVector{Asset}
     dict_asset_dfs::Dict{Symbol,DataFrame}
     csv_symbols::Union{Nothing,Vector{Symbol}}
     market_open::Dates.CompoundPeriod
@@ -244,7 +248,7 @@ end
 
 function get_bid(ds::CSVDailyBarSource, dt::DateTime, asset::Symbol)::Float64
     df_bid_ask = ds.dict_asset_dfs[asset]
-    ix = searchsortedfirst(df_bid_ask.timestamp::Vector{DateTime}, dt)::Int64
+    ix = searchsortedfirst(df_bid_ask.timestamp::AbstractVector{DateTime}, dt)::Int64
     if (ix == 1) || (ix > size(df_bid_ask, 1))
         return NaN
     else
@@ -254,7 +258,7 @@ end
 
 function get_ask(ds::CSVDailyBarSource, dt::DateTime, asset::Symbol)::Float64
     df_bid_ask = ds.dict_asset_dfs[asset]
-    ix = searchsortedfirst(df_bid_ask.timestamp::Vector{DateTime}, dt)::Int64
+    ix = searchsortedfirst(df_bid_ask.timestamp::AbstractVector{DateTime}, dt)::Int64
     if (ix == 1) || (ix > size(df_bid_ask, 1))
         return NaN
     else
@@ -264,15 +268,15 @@ end
 
 function get_volume(ds::CSVDailyBarSource, dt::DateTime, asset::Symbol)::Float64
     df_bid_ask = ds.dict_asset_dfs[asset]
-    ix = searchsortedfirst(df_bid_ask.timestamp::Vector{DateTime}, dt)::Int64
+    ix = searchsortedfirst(df_bid_ask.timestamp::AbstractVector{DateTime}, dt)::Int64
     if (ix == 1) || (ix > size(df_bid_ask, 1))
         return NaN
     else
         return @inbounds df_bid_ask[ix, :Volume]::Float64
     end
 end
 
-function _get_timestamp_start(start_dt::DateTime, v::Vector{DateTime})::keytype(v)
+function _get_timestamp_start(start_dt::DateTime, v::AbstractVector{DateTime})::keytype(v)
     start_ix = findfirst(>=(start_dt), v)
     if start_ix === nothing
         return firstindex(v)
@@ -281,7 +285,7 @@ function _get_timestamp_start(start_dt::DateTime, v::Vector{DateTime})::keytype(
     end
 end
 
-function _get_timestamp_end(end_dt::DateTime, v::Vector{DateTime})::keytype(v)
+function _get_timestamp_end(end_dt::DateTime, v::AbstractVector{DateTime})::keytype(v)
     end_ix = findlast(<=(end_dt), v)
     if end_ix === nothing
         return firstindex(v)
@@ -291,7 +295,7 @@ function _get_timestamp_end(end_dt::DateTime, v::Vector{DateTime})::keytype(v)
 end
 
 function get_assets_historical_bids(
-    ds::CSVDailyBarSource, start_dt::DateTime, end_dt::DateTime, assets::Vector{Symbol}
+    ds::CSVDailyBarSource, start_dt::DateTime, end_dt::DateTime, assets::AbstractVector{Symbol}
 )
     # TODO: do we want historical close like qstrader uses?
     prices_df = DataFrame(; timestamp=Vector{DateTime}())
@@ -301,7 +305,7 @@ function get_assets_historical_bids(
             continue
         end
         df_bid_ask = ds.dict_asset_dfs[asset]
-        timestamp = df_bid_ask.timestamp::Vector{DateTime}
+        timestamp = df_bid_ask.timestamp::AbstractVector{DateTime}
         start_ix = _get_timestamp_start(start_dt, timestamp)
         end_ix = _get_timestamp_end(end_dt, timestamp)
         df_bid_ask_subset = df_bid_ask[start_ix:end_ix, [:timestamp, :Bid]]::DataFrame

src/data/data_handler.jl

@@ -100,7 +100,7 @@ function get_asset_latest_mid_price(dh::DataHandler, dt::DateTime, asset::Symbol
 end
 
 function get_assets_historical_range_close_price(
-    dh::DataHandler, start_dt::DateTime, end_dt::DateTime, assets::Vector{Symbol}
+    dh::DataHandler, start_dt::DateTime, end_dt::DateTime, assets::AbstractVector{Symbol}
 )
     df_prices = DataFrame(; timestamp=Vector{DateTime})
     for ds in dh.data_sources
@@ -212,7 +212,7 @@ get_assets_historical_range_close_price(
     dh::DataHandler,
     start_dt::DateTime,
     end_dt::DateTime,
-    assets::Vector{Symbol},
+    assets::AbstractVector{Symbol},
 )  
 ```
 
@@ -223,7 +223,7 @@ Parameters
 - `dh::DataHandler`
 - `start_dt::DateTime`
 - `end_dt::DateTime`
-- `asset::Vector{Symbol}`
+- `asset::AbstractVector{Symbol}`
 
 Returns
 -------

src/portfolio/portfolio.jl

@@ -15,7 +15,7 @@ Fields
 - `pos_handler::PositionHandler`
 - `portfolio_id::String`
 - `name::String`
-- `history::Vector{PortfolioEvent}`
+- `history::AbstractVector{PortfolioEvent}`
 """
 mutable struct Portfolio
     current_dt::DateTime
@@ -24,7 +24,7 @@ mutable struct Portfolio
     pos_handler::PositionHandler
     portfolio_id::String
     name::String
-    history::Vector{PortfolioEvent}
+    history::AbstractVector{PortfolioEvent}
     function Portfolio(
         start_dt::DateTime,
         starting_cash::Float64,

src/rebalance/buy_and_hold.jl

@@ -5,12 +5,12 @@ Only rebalance at the start date
 Fields
 ------
 - `start_dt::DateTime`
-- `rebalances::Vector{DateTime}`
+- `rebalances::AbstractVector{DateTime}`
 """
 struct BuyAndHoldRebalance <: Rebalance
     start_date::DateTime
     end_date::DateTime
-    rebalances::Vector{DateTime}
+    rebalances::AbstractVector{DateTime}
     function BuyAndHoldRebalance(start_dt::DateTime)
         return new(Date(start_dt), Date(start_dt), [start_dt])
     end

src/rebalance/daily.jl

@@ -7,13 +7,13 @@ Fields
 - `start_date::Date`
 - `end_date::Date`
 - `market_time::DateTime`
-- `rebalances::Vector{DateTime}`
+- `rebalances::AbstractVector{DateTime}`
 """
 struct DailyRebalance <: Rebalance
     start_date::Date
     end_date::Date
     market_time::Union{Hour,Minute,Dates.CompoundPeriod}
-    rebalances::Vector{DateTime}
+    rebalances::AbstractVector{DateTime}
     function DailyRebalance(
         start_date::Date,
         end_date::Date,

src/rebalance/monthly.jl

@@ -7,13 +7,13 @@ Fields
 - `start_date::Date`
 - `end_date::Date`
 - `market_time::DateTime`
-- `rebalances::Vector{DateTime}`
+- `rebalances::AbstractVector{DateTime}`
 """
 struct MonthlyRebalance <: Rebalance
     start_date::Date
     end_date::Date
     market_time::Union{Hour,Minute,Dates.CompoundPeriod}
-    rebalances::Vector{DateTime}
+    rebalances::AbstractVector{DateTime}
     function MonthlyRebalance(
         start_date::Date,
         end_date::Date,

src/rebalance/weekly.jl

@@ -7,13 +7,13 @@ Fields
 - `start_date::Date`
 - `end_date::Date`
 - `market_time::DateTime`
-- `rebalances::Vector{DateTime}`
+- `rebalances::AbstractVector{DateTime}`
 """
 struct WeeklyRebalance <: Rebalance
     start_date::Date
     end_date::Date
     market_time::Union{Hour,Minute,Dates.CompoundPeriod}
-    rebalances::Vector{DateTime}
+    rebalances::AbstractVector{DateTime}
     function WeeklyRebalance(
         start_date::Date,
         end_date::Date,

test/data.jl

@@ -24,6 +24,23 @@
     @test size(unique_events) == size(unique(unique_events))
 end
 
+@testset "_detect_adj_column" begin
+    columns = ["open", "high", "low", "close", "volume"]
+    println(SaguaroTrader._detect_adj_column(columns, "close"))
+    @test SaguaroTrader._detect_adj_column(columns, "close") == :close
+    @test SaguaroTrader._detect_adj_column(columns, "open") == :open
+
+    columns = ["open", "high", "low", "close", "volume", "adj_open", "adj_close"]
+    @test SaguaroTrader._detect_adj_column(columns, "close") == :adj_close
+    @test SaguaroTrader._detect_adj_column(columns, "open") == :adj_open
+
+
+    @test SaguaroTrader._detect_adj_column(columns, :close) == :adj_close
+    @test SaguaroTrader._detect_adj_column(Symbol.(columns), "close") == :adj_close
+    @test SaguaroTrader._detect_adj_column(Symbol.(columns), :close) == :adj_close
+
+end
+
 ########################################################################
 # DataHandler
 ########################################################################

test/order.jl

@@ -3,9 +3,13 @@
     ord1 = Order(DateTime(2022, 7, 1), 100.0, Equity(:AMD))
     ord2 = Order(DateTime(2022, 7, 1), 100.0, Equity(:AMD))
     ord3 = Order(DateTime(2022, 7, 1), -100.0, Equity(:AMD))
+    ord4 = Order(DateTime(2023, 7, 1), 100.0, Equity(:AMD))
+    ord5 = Order(DateTime(2023, 7, 1), 100.0, Equity(:NVDA))
 
     @test SaguaroTrader.equal_orders(ord1, ord2)
-    @test !SaguaroTrader.equal_orders(ord1, ord3)
+    @test !SaguaroTrader.equal_orders(ord1, ord3) # different quantity
+    @test !SaguaroTrader.equal_orders(ord1, ord4) # different date
+    @test !SaguaroTrader.equal_orders(ord1, ord5) # different asset
     @test ord1.direction == 1
     @test ord3.direction == -1
 end