AssertionError in test_backtest_e2e.py

[b4d0n3]

Running the following Dockerfile produces $subject (easy reproducer :) ).

# BUILD:  docker build -t qstrader-focal .
# RUN:    docker run -it -v "$PWD":/qstrader-data qstrader-focal

FROM ubuntu:focal

RUN apt-get update && apt-get install -y git python3-pip
RUN git clone https://github.com/mhallsmoore/qstrader.git
RUN pip3 install -r qstrader/requirements/base.txt
RUN pip3 install -r qstrader/requirements/tests.txt
WORKDIR /qstrader
ENV PYTHONPATH /qstrader
RUN pytest

        pd.testing.assert_frame_equal(history_df, expected_df)                                                                                                                                                                              
>       assert portfolio_dict == expected_dict                                                                                                                                                                                              
E       AssertionError: assert {'EQ:ABC': {'...1644671, ...}} == {'EQ:ABC': {'...6446715, ...}}                                                                                                                                             
E         Omitting 1 identical items, use -vv to show                                                                                                                                                                                       
E         Differing items:                                                                                                                                                                                                                  
E         {'EQ:DEF': {'market_value': 376203.80367208034, 'quantity': 1431.0, 'realised_pnl': 613.3956570402876, 'total_pnl': 18661.22701644671, ...}} != {'EQ:DEF': {'market_value': 376203.80367208034, 'quantity': 1431.0, 'realised_pnl'
: 613.3956570402925, 'total_pnl': 18661.227016446715, ...}}                                                                                                                                                                                 
E         Use -v to get the full diff                                                                                                                                                                                                       

tests/integration/trading/test_backtest_e2e.py:66: AssertionError 

[mhallsmoore]

Hi @b4d0n3,

Firstly, thank you for building the Dockerfile. Very useful!

Having taken a brief look at the diff between the expected and actual output it seems there are some very small precision differences between the two realised_pnl values (and possibly the others too).

I will investigate the reason for this, but my initial hunch may be differences in the version of Python used by Ubuntu focal (20.04 LTS) and the version I used to generate the test fixture (which is Ubuntu 18.04 LTS).

Thanks once again!

Cheers,

-Mike.

[mhallsmoore]

Hi @b4d0n3,

I've just re-run the current master branch build (without code changes) in TravisCI and while it passes for Python 3.5 and 3.6, it fails for 3.7 and 3.8. This is likely the cause of the problem with the failure in focal.

Digging in a little more I can see that the version of Pandas differs between the two versions. For Python 3.6 we have:

Collecting pandas>=0.25.1
  Downloading pandas-1.1.5-cp36-cp36m-manylinux1_x86_64.whl (9.5 MB)

While for Python 3.7 we have:

Collecting pandas>=0.25.1
  Downloading pandas-1.2.0-cp37-cp37m-manylinux1_x86_64.whl (9.9 MB)

That is, for 3.6 version 1.1.5 of Pandas has been utilised while for 3.7 version 1.2.0 has been chosen. I imagine this is the source of the small discrepancies between the tests.

I will open a separate PR to fix this problem.

Cheers,

-Mike.

[b4d0n3]

@mhallsmoore I see, thanks for your efforts.

[mhallsmoore]

Hi @b4d0n3,

This has now been fixed and merged by: https://github.com/mhallsmoore/qstrader/pull/350

Cheers,

-Mike.