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This commit is contained in:
Stephen Diehl
2012-05-10 16:38:04 -04:00
parent 00de461da8
commit 133d9c03af
12 changed files with 49 additions and 42 deletions
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logging.cfg
+2 -2
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@@ -1,5 +1,5 @@
[loggers]
keys=root,simpleExample
keys=root
[handlers]
keys=consoleHandler,filesystemHandler
@@ -17,7 +17,7 @@ qualname=ZiplineLogger
# -------
[handler_filesystemHandler]
class=RotatingFileHandler
class=handlers.RotatingFileHandler
level=DEBUG
formatter=ziplineformat
args=("/var/log/zipline/zipline.log",10*1024*1024,5)
tests/test_finance.py
+7 -7
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@@ -8,21 +8,21 @@ from collections import defaultdict
from nose.tools import timed
import zipline.test.factory as factory
import zipline.util as qutil
import zipline.utils.factory as factory
from zipline.utils import logger
import zipline.finance.risk as risk
import zipline.protocol as zp
import zipline.finance.performance as perf
from zipline.test.algorithms import TestAlgorithm
from zipline.test_algorithms import TestAlgorithm
from zipline.sources import SpecificEquityTrades
from zipline.finance.trading import TransactionSimulator, \
TradeSimulationClient, TradingEnvironment
from zipline.simulator import AddressAllocator, Simulator
from zipline.monitor import Controller
from zipline.core.monitor import Controller
from zipline.lines import SimulatedTrading
from zipline.finance.performance import PerformanceTracker
from zipline.protocol_utils import namedict
from zipline.utils.protocol_utils import namedict
from zipline.finance.trading import SIMULATION_STYLE
DEFAULT_TIMEOUT = 15 # seconds
@@ -35,7 +35,7 @@ class FinanceTestCase(TestCase):
leased_sockets = defaultdict(list)
def setUp(self):
qutil.configure_logging()
#qutil.configure_logging()
self.zipline_test_config = {
'allocator':allocator,
'sid':133
@@ -511,4 +511,4 @@ class FinanceTestCase(TestCase):
self.assertEqual(0, len(order_list))
zipline/component.py
+6 -5
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@@ -10,6 +10,7 @@ import uuid
import time
import socket
import gevent
import logging
import traceback
import humanhash
@@ -22,11 +23,11 @@ import gevent_zeromq
from datetime import datetime
import zipline.util as qutil
from zipline.gpoll import _Poller as GeventPoller
from utils.gpoll import _Poller as GeventPoller
from zipline.protocol import CONTROL_PROTOCOL, COMPONENT_STATE, \
COMPONENT_FAILURE, BACKTEST_STATE, CONTROL_FRAME
LOGGER = logging.getLogger('ZiplineLogger')
class Component(object):
"""
@@ -314,7 +315,7 @@ class Component(object):
)
self.control_out.send(exception_frame)
qutil.LOGGER.exception("Unexpected error in run for {id}.".format(id=self.get_id))
LOGGER.exception("Unexpected error in run for {id}.".format(id=self.get_id))
def signal_done(self):
"""
@@ -341,7 +342,7 @@ class Component(object):
#notify internal work look that we're done
self.done = True # TODO: use state flag
qutil.LOGGER.info("[%s] DONE" % self.get_id)
LOGGER.info("[%s] DONE" % self.get_id)
# -----------
# Messaging
@@ -461,7 +462,7 @@ class Component(object):
DEPRECATED, left in for compatability for now.
"""
qutil.LOGGER.debug("Connecting sync client for {id}".format(id=self.get_id))
LOGGER.debug("Connecting sync client for {id}".format(id=self.get_id))
self.sync_socket = self.context.socket(self.zmq.REQ)
self.sync_socket.connect(self.addresses['sync_address'])
zipline/finance/performance.py
+9 -6
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@@ -110,6 +110,8 @@ Performance Period
"""
import logging
import datetime
import pytz
import msgpack
@@ -118,10 +120,11 @@ import math
import zmq
import zipline.util as qutil
import zipline.protocol as zp
import zipline.finance.risk as risk
LOGGER = logging.getLogger('ZiplineLogger')
class PerformanceTracker():
"""
Tracks the performance of the zipline as it is running in
@@ -280,8 +283,8 @@ class PerformanceTracker():
returns = self.todays_performance.returns
max_dd = -1 * self.trading_environment.max_drawdown
if returns < max_dd:
qutil.LOGGER.info(str(returns) + " broke through " + str(max_dd))
qutil.LOGGER.info("Exceeded max drawdown.")
LOGGER.info(str(returns) + " broke through " + str(max_dd))
LOGGER.info("Exceeded max drawdown.")
# mark the perf period with max loss flag,
# so it shows up in the update, but don't end the test
# here. Let the update go out before stopping
@@ -316,8 +319,8 @@ class PerformanceTracker():
"""
log_msg = "Simulated {n} trading days out of {m}."
qutil.LOGGER.info(log_msg.format(n=self.day_count, m=self.total_days))
qutil.LOGGER.info("first open: {d}".format(d=self.trading_environment.first_open))
LOGGER.info(log_msg.format(n=self.day_count, m=self.total_days))
LOGGER.info("first open: {d}".format(d=self.trading_environment.first_open))
# the stream will end on the last trading day, but will not trigger
# an end of day, so we trigger the final market close here.
@@ -332,7 +335,7 @@ class PerformanceTracker():
)
if self.result_stream:
qutil.LOGGER.info("about to stream the risk report...")
LOGGER.info("about to stream the risk report...")
risk_dict = self.risk_report.to_dict()
msg = zp.RISK_FRAME(risk_dict)
zipline/finance/risk.py
+1 -2
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@@ -42,7 +42,6 @@ import math
import pytz
import numpy as np
import numpy.linalg as la
import zipline.util as qutil
import zipline.protocol as zp
LOGGER = logging.getLogger('ZiplineLogger')
@@ -245,7 +244,7 @@ class RiskMetrics():
cur_return = math.log(1.0 + r) + cur_return
#this is a guard for a single day returning -100%
except ValueError:
qutil.LOGGER.warn("{cur} return, zeroing the returns".format(cur=cur_return))
LOGGER.warn("{cur} return, zeroing the returns".format(cur=cur_return))
cur_return = 0.0
compounded_returns.append(cur_return)
zipline/finance/trading.py
+7 -6
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@@ -1,3 +1,4 @@
import logging
import datetime
import pytz
import math
@@ -7,14 +8,12 @@ import time
from collections import Counter
# from gevent.select import select
from zmq.core.poll import select
import zipline.messaging as qmsg
import zipline.util as qutil
import zipline.protocol as zp
import zipline.finance.performance as perf
from zipline.protocol_utils import Enum, namedict
from zipline.utils.protocol_utils import Enum, namedict
# the simulation style enumerates the available transaction simulation
# strategies.
@@ -25,6 +24,8 @@ SIMULATION_STYLE = Enum(
'NOOP'
)
LOGGER = logging.getLogger('ZiplineLogger')
class TradeSimulationClient(qmsg.Component):
def __init__(self, trading_environment, sim_style):
@@ -94,7 +95,7 @@ class TradeSimulationClient(qmsg.Component):
self.finish_simulation()
def finish_simulation(self):
qutil.LOGGER.info("Client is DONE!")
LOGGER.info("Client is DONE!")
# signal the performance tracker that the simulation has
# ended. Perf will internally calculate the full risk report.
self.perf.handle_simulation_end()
@@ -219,7 +220,7 @@ class TransactionSimulator(object):
log = "requested to trade zero shares of {sid}".format(
sid=event.sid
)
qutil.LOGGER.debug(log)
LOGGER.debug(log)
return
if(not self.open_orders.has_key(event.sid)):
@@ -343,7 +344,7 @@ for orders:
event=str(event),
orders=str(orders)
)
qutil.LOGGER.warn(warning)
LOGGER.warn(warning)
return None
zipline/lines.py
+6 -4
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@@ -62,6 +62,7 @@ before invoking simulate.
import mock
import pytz
import logging
from datetime import datetime, timedelta
from collections import defaultdict
@@ -69,19 +70,19 @@ from collections import defaultdict
from nose.tools import timed
import zipline.utils.factory as factory
import zipline.util as qutil
import zipline.finance.risk as risk
import zipline.protocol as zp
import zipline.finance.performance as perf
import zipline.messaging as zmsg
from zipline.test.algorithms import TestAlgorithm
from zipline.test_algorithms import TestAlgorithm
from zipline.sources import SpecificEquityTrades
from zipline.finance.trading import TradeSimulationClient
from zipline.simulator import AddressAllocator, Simulator
from zipline.monitor import Controller
from zipline.core.monitor import Controller
from zipline.finance.trading import SIMULATION_STYLE
LOGGER = logging.getLogger('ZiplineLogger')
class SimulatedTrading(object):
"""
@@ -141,8 +142,9 @@ class SimulatedTrading(object):
self.con = Controller(
sockets[6],
sockets[7],
logging = qutil.LOGGER
logging = LOGGER
)
self.con.cancel_socket = self.allocator.lease(1)[0]
# TODO: Not freeform
self.con.manage(
zipline/messaging.py
+7 -5
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@@ -4,14 +4,16 @@ Commonly used messaging components.
import datetime
import logging
from collections import Counter
import zipline.util as qutil
from zipline.component import Component
import zipline.protocol as zp
from zipline.protocol import CONTROL_PROTOCOL, COMPONENT_TYPE, \
COMPONENT_STATE, CONTROL_FRAME, CONTROL_UNFRAME
LOGGER = logging.getLogger('ZiplineLogger')
class ComponentHost(Component):
"""
Components that can launch multiple sub-components, synchronize their
@@ -95,7 +97,7 @@ class ComponentHost(Component):
"""
Setup the sync socket and poller. ( Bind )
"""
qutil.LOGGER.debug("Connecting sync server.")
LOGGER.debug("Connecting sync server.")
self.sync_socket = self.context.socket(self.zmq.REP)
self.sync_socket.bind(self.addresses['sync_address'])
@@ -118,7 +120,7 @@ class ComponentHost(Component):
cur_time = datetime.datetime.utcnow()
if len(self.components) == 0:
qutil.LOGGER.info("Component register is empty.")
LOGGER.info("Component register is empty.")
return False
return True
@@ -140,7 +142,7 @@ class ComponentHost(Component):
self.signal_exception(exc)
if status == str(CONTROL_PROTOCOL.DONE): # TODO: other way around
#qutil.LOGGER.debug("{id} is DONE".format(id=sync_id))
LOGGER.debug("{id} is DONE".format(id=sync_id))
self.unregister_component(sync_id)
self.state_flag = COMPONENT_STATE.DONE
else:
@@ -243,7 +245,7 @@ class Feed(Component):
if len(self.data_buffer) == self.ds_finished_counter:
#drain any remaining messages in the buffer
qutil.LOGGER.debug("draining feed")
LOGGER.debug("draining feed")
self.drain()
self.signal_done()
else:
zipline/simulator.py
+1 -2
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@@ -5,9 +5,8 @@ Simulator hosts all the components necessary to execute a simluation. See :py:me
import threading
import mock
from collections import defaultdict
from zipline.monitor import Controller
from zipline.core.monitor import Controller
from zipline.messaging import ComponentHost
import zipline.util as qutil
class AddressAllocator(object):
tests/algorithms.py → zipline/test_algorithms.py
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zipline/utils/factory.py
+2 -2
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@@ -12,7 +12,7 @@ from zipline.sources import SpecificEquityTrades, RandomEquityTrades
from zipline.finance.trading import TradingEnvironment
def load_market_data():
fp_bm = open("./zipline/test/benchmark.msgpack", "rb")
fp_bm = open("./tests/benchmark.msgpack", "rb")
bm_list = msgpack.loads(fp_bm.read())
bm_returns = []
for packed_date, returns in bm_list:
@@ -27,7 +27,7 @@ def load_market_data():
daily_return = risk.DailyReturn(date=event_dt, returns=returns)
bm_returns.append(daily_return)
bm_returns = sorted(bm_returns, key=lambda(x): x.date)
fp_tr = open("./zipline/test/treasury_curves.msgpack", "rb")
fp_tr = open(".//tests/treasury_curves.msgpack", "rb")
tr_list = msgpack.loads(fp_tr.read())
tr_curves = {}
for packed_date, curve in tr_list:
zipline/utils/logging.py → zipline/utils/logger.py
+1 -1
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@@ -6,4 +6,4 @@ and other common operations.
import logging
import logging.config
logging.config.fileConfig('logging.conf')
logging.config.fileConfig('logging.cfg')