Method test_order_future_targeted

tests/test_ordering.py:217–252

(self, order_method, amount)

        ('order_target_percent', 1),    # 100% on a $10000 capital base.
    ])
    def test_order_future_targeted(self, order_method, amount):
        # Every day, place an order for a target of $10000 worth of sid(2).
        # With no commissions or slippage, we should only place one order.
        algotext = """
import zipline.api as api

def initialize(context):
    api.set_slippage(us_futures=api.slippage.FixedSlippage(spread=0.0))
    api.set_commission(us_futures=api.commission.PerTrade(0.0))

    context.future = api.sid(2)

    api.schedule_function(
        func=do_order,
        date_rule=api.date_rules.every_day(),
        time_rule=api.time_rules.market_open(),
    )

def do_order(context, data):
    context.ordered = True
    api.{order_func}(context.future, {arg})
     """.format(order_func=order_method, arg=amount)

        result = self.run_algorithm(script=algotext)

        # We should get one order on the first day.
        assert_equal([len(ords) for ords in result.orders], [1, 0, 0, 0])
        order = result.orders.iloc[0][0]
        assert_equal(order['amount'], 500)
        assert_equal(order['sid'], self.FUTURE)

        # Our position at the end of each day should be worth $10,000.
        for positions in result.positions.values:
            assert_equal(len(positions), 1)
            assert_equal(positions[0]['amount'], 500.0)
            assert_equal(positions[0]['sid'], self.FUTURE)

    @parameterized.expand([
        (api.order, 5000),