test_algorithm.py 文件源码

def setUp(self):
        self.env = TradingEnvironment()
        self.days = self.env.trading_days[:5]
        self.panel = pd.Panel({1: pd.DataFrame({
            'price': [1, 1, 2, 4, 8], 'volume': [1e9, 1e9, 1e9, 1e9, 0],
            'type': [DATASOURCE_TYPE.TRADE,
                     DATASOURCE_TYPE.TRADE,
                     DATASOURCE_TYPE.TRADE,
                     DATASOURCE_TYPE.TRADE,
                     DATASOURCE_TYPE.CLOSE_POSITION]},
            index=self.days)
        })
        self.no_close_panel = pd.Panel({1: pd.DataFrame({
            'price': [1, 1, 2, 4, 8], 'volume': [1e9, 1e9, 1e9, 1e9, 1e9],
            'type': [DATASOURCE_TYPE.TRADE,
                     DATASOURCE_TYPE.TRADE,
                     DATASOURCE_TYPE.TRADE,
                     DATASOURCE_TYPE.TRADE,
                     DATASOURCE_TYPE.TRADE]},
            index=self.days)
        })