Merge pull request #204 from cvxgrp/203-address-nans

input data
cvxgrp · Nov 20, 2023 · 8088713 · 8088713
2 parents 471d52b + acbe45b
commit 8088713
Show file tree

Hide file tree

Showing 3 changed files with 17 additions and 27 deletions.
diff --git a/cvx/simulator/builder.py b/cvx/simulator/builder.py
@@ -163,8 +163,9 @@ def builder(
     min_cap_fraction: float | None = None,
     max_trade_fraction: float | None = None,
     min_trade_fraction: float | None = None,
-    input_data: dict[str, Any] = field(default_factory=dict),
     **kwargs,
+    # input_data: dict[str, Any] = field(default_factory=dict),
+    # **kwargs,
 ) -> _Builder:
     """The builder function creates an instance of the _Builder class, which
     is used to construct a portfolio of assets. The function takes in a pandas
@@ -187,9 +188,12 @@ def builder(
         index=prices.index, columns=prices.columns, data=0.0, dtype=float
     )
 
+    # print(input_data)
+    # if input_data is None:
+
     builder = _Builder(
         stocks=stocks,
-        prices=prices.ffill(),
+        prices=prices,
         initial_cash=float(initial_cash),
         trading_cost_model=trading_cost_model,
         market_cap=market_cap,
@@ -198,8 +202,7 @@ def builder(
         min_cap_fraction=min_cap_fraction,
         max_trade_fraction=max_trade_fraction,
         min_trade_fraction=min_trade_fraction,
-        input_data=input_data,
-        parameter=dict(kwargs),
+        input_data=dict(kwargs),
     )
 
     if weights is not None:
@@ -209,6 +212,10 @@ def builder(
     return builder
 
 
+def empty():
+    return dict()
+
+
 @dataclass(frozen=True)
 class _Builder:
     prices: pd.DataFrame
@@ -222,7 +229,7 @@ class _Builder:
     min_cap_fraction: float | None = None
     max_trade_fraction: float | None = None
     min_trade_fraction: float | None = None
-    input_data: dict[str, Any] = field(default_factory=dict)
+    input_data: dict[str, Any] = field(default_factory=empty)
     parameter: dict[str, Any] = field(default_factory=dict)
 
     def __post_init__(self) -> None:
@@ -332,9 +339,10 @@ def __iter__(self) -> Generator[tuple[pd.DatetimeIndex, _State], None, None]:
         for t in self.index:
             # valuation of the current position
             self._state.prices = self.prices.loc[t]
-            self._state.input_data = {key: data.loc[t] for key, data in self.input_data.items()}
-
 
+            self._state.input_data = {
+                key: data.loc[t] for key, data in self.input_data.items()
+            }
 
             yield self.index[self.index <= t], self._state
 

diff --git a/tests/conftest.py b/tests/conftest.py
@@ -20,7 +20,7 @@ def prices(resource_dir):
     """prices fixture"""
     return pd.read_csv(
         resource_dir / "price.csv", index_col=0, parse_dates=True, header=0
-    )
+    ).ffill()
 
 
 @pytest.fixture()

diff --git a/tests/test_builder.py b/tests/test_builder.py
@@ -271,25 +271,7 @@ def test_cov(prices):
         assert np.all(np.isfinite(mat))
 
 
-def test_parameter(prices):
-    b = _builder(
-        prices=prices,
-        initial_cash=50000,
-        a=2,
-        b=3,
-        c="wurst",
-        d=[1, 2, 3],
-        e={"a": 1, "b": 2},
-    )
-    assert b.parameter["a"] == 2
-    assert b.parameter["b"] == 3
-    assert b.parameter["c"] == "wurst"
-    assert b.parameter["d"] == [1, 2, 3]
-    assert b.parameter["e"] == {"a": 1, "b": 2}
-
-
 def test_input_data(prices):
-    b = _builder(prices=prices, initial_cash=50000, a=2, input_data={"volume": prices.ffill()})
+    b = _builder(prices=prices, initial_cash=50000, volume=prices.ffill())
     for t, state in b:
-        assert b.parameter["a"] == 2
         pd.testing.assert_series_equal(state.prices, state.input_data["volume"])