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  • #1926
    hessinemaaoui
    Keymaster

    Hi,

    Algoquant-0.2.0 doesn’t pass it’s test suite.


    Standard Output


    10:04:01.957 [main] INFO  c.n.nmutils.csvzip.CsvZipFileWriter,269 – writing ./log/Yahoo/AAPL.csv.zip
    10:04:01.972 [main] INFO  c.n.a.d.h.y.YahooEODCsvZipFileWriter,76 – writing csv.zip file ./log/Yahoo
    10:04:02.002 [main] INFO  c.n.a.d.h.y.YahooEODCsvZipFileWriter,89 – finished writing




    Testcase: test_0020(com.numericalmethod.algoquant.data.cache.conversion.Cache2MatrixTest): FAILED
    null
    junit.framework.AssertionFailedError
    at com.numericalmethod.algoquant.data.cache.conversion.Cache2MatrixTest.test_0020(Cache2MatrixTest.java:103)

    This is due to the fact that AAPL gives dividend now so Adj Close  =/= Close . It seems that tests expects the close, but EODDataTransformer returns ADjClose.

    One enhancement I can think of is to track dividends/CA separately and re-adjust the closes ourselves in Algoquant, instead of relying on Yahoo’s adj close.
    It is important for users to easily know if the prices he’s requesting/feeding in his model are adjusted or not.

    Thanks,
    Q

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