fixed github issue #109 on typo of logging invocation

cvxgrp · Sep 6, 2023 · 2c6ccbc · 2c6ccbc
1 parent 3ca3406
commit 2c6ccbc
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diff --git a/cvxportfolio/simulator.py b/cvxportfolio/simulator.py
@@ -533,7 +533,7 @@ def _simulate(self, t, t_next, h, policy, mask=None, **kwargs):
             current_volumes = current_and_past_volumes.iloc[-1]
             non_tradable_stocks = current_volumes[current_volumes <= 0].index
             if len(non_tradable_stocks):
-                logger.info(
+                logging.info(
                     f"At time {t} the simulator canceled trades on assets {non_tradable_stocks}"
                     " because their market volumes for the period are zero.")
             u[non_tradable_stocks] = 0.

diff --git a/cvxportfolio/tests/test_simulator.py b/cvxportfolio/tests/test_simulator.py
@@ -754,6 +754,22 @@ def test_hyperparameters_optimize(self):
             base_location=self.datadir)
 
         simulator.optimize_hyperparameters(policy, start_time='2023-01-01')
+
+    def test_cancel_trades(self):
+
+        sim = cvx.StockMarketSimulator(
+            ['AAPL', 'ZM'],
+            trading_frequency='monthly',
+            base_location=self.datadir)
+
+        sim.market_data.volumes['ZM'] = 0.
+
+        objective = cvx.ReturnsForecast() - 5 * cvx.FullCovariance()
+        policy = cvx.SinglePeriodOptimization(
+            objective, [cvx.LongOnly(), cvx.LeverageLimit(1)])
+
+        sim.backtest(policy, start_time='2023-01-01')
+
 
 
 if __name__ == '__main__':