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tests are passing for independent commission model

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This commit is contained in:
fawce
2012-09-28 22:58:37 -04:00
parent e6b3e8e7b1
commit 1caefbff43
12 changed files with 241 additions and 215 deletions
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tests/test_exception_handling.py
+9 -7
View File
@@ -2,6 +2,7 @@
from unittest2 import TestCase
from collections import defaultdict
import zipline.utils.simfactory as simfactory
from zipline.test_algorithms import ExceptionAlgorithm, DivByZeroAlgorithm, \
InitializeTimeoutAlgorithm, TooMuchProcessingAlgorithm
from zipline.finance.slippage import FixedSlippage
@@ -9,6 +10,7 @@ from zipline.lines import SimulatedTrading
from zipline.gens.transform import StatefulTransform
from zipline.utils.timeout import TimeoutException
from zipline.utils.test_utils import (
drain_zipline,
setup_logger,
@@ -37,7 +39,7 @@ class ExceptionTestCase(TestCase):
def test_datasource_exception(self):
self.zipline_test_config['trade_source'] = ExceptionSource()
zipline = SimulatedTrading.create_test_zipline(
zipline = simfactory.create_test_zipline(
**self.zipline_test_config
)
@@ -54,7 +56,7 @@ class ExceptionTestCase(TestCase):
exc_tnfm = StatefulTransform(ExceptionTransform)
self.zipline_test_config['transforms'] = [exc_tnfm]
zipline = SimulatedTrading.create_test_zipline(
zipline = simfactory.create_test_zipline(
**self.zipline_test_config
)
@@ -72,7 +74,7 @@ class ExceptionTestCase(TestCase):
self.zipline_test_config['sid']
)
zipline = SimulatedTrading.create_test_zipline(
zipline = simfactory.create_test_zipline(
**self.zipline_test_config
)
@@ -90,7 +92,7 @@ class ExceptionTestCase(TestCase):
self.zipline_test_config['sid']
)
zipline = SimulatedTrading.create_test_zipline(
zipline = simfactory.create_test_zipline(
**self.zipline_test_config
)
@@ -108,7 +110,7 @@ class ExceptionTestCase(TestCase):
self.zipline_test_config['sid']
)
zipline = SimulatedTrading.create_test_zipline(
zipline = simfactory.create_test_zipline(
**self.zipline_test_config
)
@@ -125,7 +127,7 @@ class ExceptionTestCase(TestCase):
self.zipline_test_config['sid']
)
zipline = SimulatedTrading.create_test_zipline(
zipline = simfactory.create_test_zipline(
**self.zipline_test_config
)
@@ -140,7 +142,7 @@ class ExceptionTestCase(TestCase):
TooMuchProcessingAlgorithm(
self.zipline_test_config['sid']
)
zipline = SimulatedTrading.create_test_zipline(
zipline = simfactory.create_test_zipline(
**self.zipline_test_config
)
tests/test_finance.py
+2 -1
View File
@@ -10,6 +10,7 @@ from collections import defaultdict
from nose.tools import timed
import zipline.utils.factory as factory
import zipline.utils.simfactory as simfactory
from zipline.finance.trading import TradingEnvironment
from zipline.lines import SimulatedTrading
@@ -111,7 +112,7 @@ class FinanceTestCase(TestCase):
#provide enough trades to ensure all orders are filled.
self.zipline_test_config['order_count'] = 100
self.zipline_test_config['trade_count'] = 200
zipline = SimulatedTrading.create_test_zipline(**self.zipline_test_config)
zipline = simfactory.create_test_zipline(**self.zipline_test_config)
assert_single_position(self, zipline)
# TODO: write tests for short sales
tests/test_transforms.py
+15
View File
@@ -307,6 +307,21 @@ class BatchTransformTestCase(TestCase):
self.assertTrue(np.all(test_history[3].values.flatten() == range(4, 10)))
self.assertTrue(np.all(test_history[4].values.flatten() == range(6, 14)))
np.testing.assert_array_equal(
range(4, 10),
test_history[2].values.flatten()
)
np.testing.assert_array_equal(
range(4, 10),
test_history[3].values.flatten()
)
np.testing.assert_array_equal(
range(6, 14),
test_history[4].values.flatten()
)
def test_passing_of_args(self):
algo = BatchTransformAlgorithm([0, 1], 1, kwarg='str')
self.assertEqual(algo.args, (1,))
zipline/algorithm.py
+4 -6
View File
@@ -5,7 +5,8 @@ from zipline.gens.tradegens import DataFrameSource
from zipline.utils.factory import create_trading_environment
from zipline.gens.transform import StatefulTransform
from zipline.lines import SimulatedTrading
from zipline.finance.slippage import FixedSlippage
from zipline.finance.slippage import FixedSlippage, simulate_method_factory
from zipline.finance.commission import PerShare
class TradingAlgorithm(object):
@@ -74,7 +75,7 @@ class TradingAlgorithm(object):
transforms,
self,
environment,
FixedSlippage()
simulate_method_factory(FixedSlippage(), PerShare(0.0))
)
def run(self, source, start=None, end=None):
@@ -179,8 +180,5 @@ class TradingAlgorithm(object):
def initialize(self, *args, **kwargs):
pass
def set_slippage_override(self, slippage_callable):
def set_simulate_override(self, slippage_callable):
pass
zipline/finance/commissions.py → zipline/finance/commission.py
+2 -2
View File
@@ -1,4 +1,4 @@
class PerShareCommission(object):
class PerShare(object):
def __init__(self, cost=0.03):
self.cost = cost
@@ -7,7 +7,7 @@ class PerShareCommission(object):
def calculate(self, transaction):
return self.cost, abs(transaction.amount * self.cost)
class PerTradeCommission(object):
class PerTrade(object):
def __init__(self, cost=5.0):
self.cost = cost
zipline/finance/slippage.py
+20 -17
View File
@@ -3,32 +3,39 @@ import math
import zipline.protocol as zp
from zipline.finance.commissions import PerShareCommission
def create_transaction(sid, amount, price, dt, commission):
def simulate_method_factory(slippage, commission):
def simulate(open_orders, events):
transaction = slippage.simulate(open_orders, events)
if transaction:
per_share, total_commission = commission.calculate(transaction)
transaction.price = transaction.price + per_share
transaction.commission = total_commission
return transaction
return simulate
def create_transaction(sid, amount, price, dt):
txn = {'sid' : sid,
'amount' : int(amount),
'dt' : dt,
'price' : price,
'amount' : int(amount),
'dt' : dt,
'price' : price,
}
transaction = zp.ndict(txn)
per_share, total_commission = commission.calculate(transaction)
transaction.price = transaction.price + per_share
transaction.commission = total_commission
return transaction
class VolumeShareSlippage(object):
def __init__(self,
volume_limit=.25,
price_impact=0.1,
commission=PerShareCommission()):
price_impact=0.1):
self.volume_limit = volume_limit
self.price_impact = price_impact
self.commission = commission
def simulate(self, event, open_orders):
@@ -90,19 +97,16 @@ class VolumeShareSlippage(object):
simulated_amount,
event.price + simulated_impact,
dt.replace(tzinfo = pytz.utc),
self.commission
)
class FixedSlippage(object):
def __init__(self, spread=0.0, commission=PerShareCommission()):
def __init__(self, spread=0.0):
"""
Use the fixed slippage model, which will just add/subtract a specified spread
spread/2 will be added on buys and subtracted on sells per share
commission will be charged per share
"""
self.spread = spread
self.commission = commission
def simulate(self, event, open_orders):
if event.sid in open_orders:
@@ -124,8 +128,7 @@ class FixedSlippage(object):
event.sid,
amount,
event.price + (self.spread/2.0 * direction),
event.dt,
self.commission
event.dt
)
open_orders[event.sid] = []
zipline/finance/trading.py
+13 -7
View File
@@ -5,18 +5,24 @@ import datetime
from collections import defaultdict
import zipline.protocol as zp
from zipline.finance.slippage import VolumeShareSlippage, FixedSlippage
from zipline.finance.slippage import (
VolumeShareSlippage,
simulate_method_factory
)
from zipline.finance.commission import PerShare
log = logbook.Logger('Transaction Simulator')
class TransactionSimulator(object):
def __init__(self, slippage=None):
if slippage:
assert isinstance(slippage, (VolumeShareSlippage, FixedSlippage))
self.slippage = slippage
def __init__(self, simulate=None):
if simulate:
self.simulate = simulate
else:
self.slippage = VolumeShareSlippage()
self.simulate = simulate_method_factory(
VolumeShareSlippage(),
PerShare()
)
self.open_orders = defaultdict(list)
@@ -37,7 +43,7 @@ class TransactionSimulator(object):
event.TRANSACTION = None
# We only fill transactions on trade events.
if event.type == zp.DATASOURCE_TYPE.TRADE:
event.TRANSACTION = self.slippage.simulate(event, self.open_orders)
event.TRANSACTION = self.simulate(event, self.open_orders)
return event
zipline/gens/tradesimulation.py
+47 -49
View File
@@ -214,66 +214,64 @@ class AlgorithmSimulator(object):
"""
Main generator work loop.
"""
# Capture any output of this generator to stdout and pipe it
# to a logbook interface. Also inject the current algo
# snapshot time to any log record generated.
#with self.processor.threadbound(), self.stdout_capture(Logger('Print'),''):
# Call user's initialize method with a timeout (only if
# initialize wasn't called already).
if not getattr(self.algo, 'initialized', False):
with Timeout(INIT_TIMEOUT, message="Call to initialize timed out"):
self.algo.initialize()
# Group together events with the same dt field. This depends on the
# events already being sorted.
for date, snapshot in groupby(stream_in, attrgetter('dt')):
# Set the simulation date to be the first event we see.
# This should only occur once, at the start of the test.
if self.simulation_dt == None:
self.simulation_dt = date
# inject the current algo
# snapshot time to any log record generated.
with self.processor.threadbound():
# Group together events with the same dt field. This depends on the
# events already being sorted.
for date, snapshot in groupby(stream_in, attrgetter('dt')):
# Set the simulation date to be the first event we see.
# This should only occur once, at the start of the test.
if self.simulation_dt == None:
self.simulation_dt = date
# Done message has the risk report, so we yield before exiting.
if date == 'DONE':
for event in snapshot:
yield event.perf_message
raise StopIteration()
# We're still in the warmup period. Use the event to
# update our universe, but don't yield any perf messages,
# and don't send a snapshot to handle_data.
elif date < self.algo_start:
for event in snapshot:
del event['perf_message']
self.update_universe(event)
# The algo has taken so long to process events that
# its simulated time is later than the event time.
# Update the universe and yield any perf messages
# encountered, but don't call handle_data.
elif date < self.simulation_dt:
for event in snapshot:
# Only yield if we have something interesting to say.
if event.perf_message != None:
# Done message has the risk report, so we yield before exiting.
if date == 'DONE':
for event in snapshot:
yield event.perf_message
# Delete the message before updating so we don't send it
# to the user.
del event['perf_message']
self.update_universe(event)
raise StopIteration()
# Regular snapshot. Update the universe and send a snapshot
# to handle data.
else:
for event in snapshot:
# Only yield if we have something interesting to say.
if event.perf_message != None:
yield event.perf_message
del event['perf_message']
# We're still in the warmup period. Use the event to
# update our universe, but don't yield any perf messages,
# and don't send a snapshot to handle_data.
elif date < self.algo_start:
for event in snapshot:
del event['perf_message']
self.update_universe(event)
self.update_universe(event)
# The algo has taken so long to process events that
# its simulated time is later than the event time.
# Update the universe and yield any perf messages
# encountered, but don't call handle_data.
elif date < self.simulation_dt:
for event in snapshot:
# Only yield if we have something interesting to say.
if event.perf_message != None:
yield event.perf_message
# Delete the message before updating so we don't send it
# to the user.
del event['perf_message']
self.update_universe(event)
# Send the current state of the universe to the user's algo.
self.simulate_snapshot(date)
# Regular snapshot. Update the universe and send a snapshot
# to handle data.
else:
for event in snapshot:
# Only yield if we have something interesting to say.
if event.perf_message != None:
yield event.perf_message
del event['perf_message']
self.update_universe(event)
# Send the current state of the universe to the user's algo.
self.simulate_snapshot(date)
def update_universe(self, event):
"""
zipline/lines.py
+2 -112
View File
@@ -61,13 +61,11 @@ before invoking simulate.
"""
from zipline.utils import factory
from zipline.gens.composites import (
date_sorted_sources,
sequential_transforms
)
from zipline.gens.tradesimulation import TradeSimulationClient as tsc
from zipline.finance.slippage import FixedSlippage
from logbook import Logger
@@ -81,7 +79,7 @@ class SimulatedTrading(object):
transforms,
algorithm,
environment,
slippage):
sim_method=None):
"""
@sources - an iterable of iterables
These iterables must yield ndicts that contain:
@@ -108,7 +106,7 @@ class SimulatedTrading(object):
# Formerly merged_transforms.
self.with_tnfms = sequential_transforms(self.date_sorted,
*self.transforms)
self.trading_client = tsc(algorithm, environment, slippage)
self.trading_client = tsc(algorithm, environment, sim_method)
self.gen = self.trading_client.simulate(self.with_tnfms)
def __iter__(self):
@@ -116,111 +114,3 @@ class SimulatedTrading(object):
def next(self):
return self.gen.next()
@staticmethod
def create_test_zipline(**config):
"""
:param config: A configuration object that is a dict with:
- environment - a \
:py:class:`zipline.finance.trading.TradingEnvironment`
- sid - an integer, which will be used as the security ID.
- order_count - the number of orders the test algo will place,
defaults to 100
- order_amount - the number of shares per order, defaults to 100
- trade_count - the number of trades to simulate, defaults to 101
to ensure all orders are processed.
- algorithm - optional parameter providing an algorithm. defaults
to :py:class:`zipline.test.algorithms.TestAlgorithm`
- trade_source - optional parameter to specify trades, if present.
If not present :py:class:`zipline.sources.SpecificEquityTrades`
is the source, with daily frequency in trades.
- slippage: optional parameter that configures the
:py:class:`zipline.gens.tradingsimulation.TransactionSimulator`. Expects
an object with a simulate mehod, such as
:py:class:`zipline.gens.tradingsimulation.FixedSlippage`.
:py:mod:`zipline.finance.trading`
- transforms: optional parameter that provides a list
of StatefulTransform objects.
"""
from zipline.test_algorithms import TestAlgorithm
assert isinstance(config, dict)
sid_list = config.get('sid_list')
if not sid_list:
sid = config.get('sid')
sid_list = [sid]
concurrent_trades = config.get('concurrent_trades', False)
#--------------------
# Trading Environment
#--------------------
if 'environment' in config:
trading_environment = config['environment']
else:
trading_environment = factory.create_trading_environment()
if 'order_count' in config:
order_count = config['order_count']
else:
order_count = 100
if 'order_amount' in config:
order_amount = config['order_amount']
else:
order_amount = 100
if 'trade_count' in config:
trade_count = config['trade_count']
else:
# to ensure all orders are filled, we provide one more
# trade than order
trade_count = 101
slippage = config.get('slippage', FixedSlippage())
#-------------------
# Trade Source
#-------------------
if 'trade_source' in config:
trade_source = config['trade_source']
else:
trade_source = factory.create_daily_trade_source(
sid_list,
trade_count,
trading_environment,
concurrent=concurrent_trades
)
#-------------------
# Transforms
#-------------------
transforms = config.get('transforms', [])
#-------------------
# Create the Algo
#-------------------
if 'algorithm' in config:
test_algo = config['algorithm']
else:
test_algo = TestAlgorithm(
sid,
order_amount,
order_count
)
#-------------------
# Simulation
#-------------------
sim = SimulatedTrading(
[trade_source],
transforms,
test_algo,
trading_environment,
slippage,
)
#-------------------
return sim
zipline/test_algorithms.py
+12 -14
View File
@@ -44,8 +44,8 @@ The algorithm must expose methods:
self.Portfolio[sid(133)]['cost_basis']
- set_slippage_override: method that accepts a callable. Will
be set as the value of the set_slippage_override method of
- set_simulate_override: method that accepts a callable. Will
be set as the value of the set_simulate_override method of
the trading_client. This allows an algorithm to change the
slippage model used to predict transactions based on orders
and trade events.
@@ -97,7 +97,7 @@ class TestAlgorithm():
def get_sid_filter(self):
return self.sid_filter
def set_slippage_override(self, slippage_callable):
def set_simulate_override(self, txn_sim_callable):
pass
@@ -138,7 +138,7 @@ class HeavyBuyAlgorithm():
def get_sid_filter(self):
return [self.sid]
def set_slippage_override(self, slippage_callable):
def set_simulate_override(self, txn_sim_callable):
pass
class NoopAlgorithm(object):
@@ -164,7 +164,7 @@ class NoopAlgorithm(object):
def get_sid_filter(self):
return []
def set_slippage_override(self, slippage_callable):
def set_simulate_override(self, txn_sim_callable):
pass
class ExceptionAlgorithm(object):
@@ -210,7 +210,7 @@ class ExceptionAlgorithm(object):
else:
return [self.sid]
def set_slippage_override(self, slippage_callable):
def set_simulate_override(self, txn_sim_callable):
pass
class DivByZeroAlgorithm():
@@ -240,7 +240,7 @@ class DivByZeroAlgorithm():
def get_sid_filter(self):
return [self.sid]
def set_slippage_override(self, slippage_callable):
def set_simulate_override(self, txn_sim_callable):
pass
class InitializeTimeoutAlgorithm():
@@ -269,7 +269,7 @@ class InitializeTimeoutAlgorithm():
def get_sid_filter(self):
return [self.sid]
def set_slippage_override(self, slippage_callable):
def set_simulate_override(self, txn_sim_callable):
pass
class TooMuchProcessingAlgorithm():
@@ -297,7 +297,7 @@ class TooMuchProcessingAlgorithm():
def get_sid_filter(self):
return [self.sid]
def set_slippage_override(self, slippage_callable):
def set_simulate_override(self, txn_sim_callable):
pass
class TimeoutAlgorithm():
@@ -327,7 +327,7 @@ class TimeoutAlgorithm():
def get_sid_filter(self):
return [self.sid]
def set_slippage_override(self, slippage_callable):
def set_simulate_override(self, txn_sim_callable):
pass
class TestPrintAlgorithm():
@@ -354,7 +354,7 @@ class TestPrintAlgorithm():
def get_sid_filter(self):
return [self.sid]
def set_slippage_override(self, slippage_callable):
def set_simulate_override(self, txn_sim_callable):
pass
class TestLoggingAlgorithm():
@@ -381,7 +381,7 @@ class TestLoggingAlgorithm():
def get_sid_filter(self):
return [self.sid]
def set_slippage_override(self, slippage_callable):
def set_simulate_override(self, txn_sim_callable):
pass
@@ -447,5 +447,3 @@ class BatchTransformAlgorithm(TradingAlgorithm):
self.history_return_price_class.append(self.return_price_class.handle_data(data))
self.history_return_price_decorator.append(self.return_price_decorator.handle_data(data))
self.history_return_args.append(self.return_args_batch.handle_data(data, *self.args, **self.kwargs))
zipline/utils/factory.py
+2
View File
@@ -244,3 +244,5 @@ def create_test_df_source():
df = pd.DataFrame(x, index=index, columns=[0, 1])
return DataFrameSource(df), df
zipline/utils/simfactory.py
+113
View File
@@ -0,0 +1,113 @@
import zipline.utils.factory as factory
from zipline.test_algorithms import TestAlgorithm
from zipline.lines import SimulatedTrading
from zipline.finance.slippage import FixedSlippage, simulate_method_factory
from zipline.finance.commission import PerShare
def create_test_zipline(**config):
"""
:param config: A configuration object that is a dict with:
- environment - a \
:py:class:`zipline.finance.trading.TradingEnvironment`
- sid - an integer, which will be used as the security ID.
- order_count - the number of orders the test algo will place,
defaults to 100
- order_amount - the number of shares per order, defaults to 100
- trade_count - the number of trades to simulate, defaults to 101
to ensure all orders are processed.
- algorithm - optional parameter providing an algorithm. defaults
to :py:class:`zipline.test.algorithms.TestAlgorithm`
- trade_source - optional parameter to specify trades, if present.
If not present :py:class:`zipline.sources.SpecificEquityTrades`
is the source, with daily frequency in trades.
- slippage: optional parameter that configures the
:py:class:`zipline.gens.tradingsimulation.TransactionSimulator`. Expects
an object with a simulate mehod, such as
:py:class:`zipline.gens.tradingsimulation.FixedSlippage`.
:py:mod:`zipline.finance.trading`
- transforms: optional parameter that provides a list
of StatefulTransform objects.
"""
assert isinstance(config, dict)
sid_list = config.get('sid_list')
if not sid_list:
sid = config.get('sid')
sid_list = [sid]
concurrent_trades = config.get('concurrent_trades', False)
#--------------------
# Trading Environment
#--------------------
if 'environment' in config:
trading_environment = config['environment']
else:
trading_environment = factory.create_trading_environment()
if 'order_count' in config:
order_count = config['order_count']
else:
order_count = 100
if 'order_amount' in config:
order_amount = config['order_amount']
else:
order_amount = 100
if 'trade_count' in config:
trade_count = config['trade_count']
else:
# to ensure all orders are filled, we provide one more
# trade than order
trade_count = 101
slippage = config.get('slippage', FixedSlippage())
commission = PerShare()
sim_method = simulate_method_factory(slippage, commission)
#-------------------
# Trade Source
#-------------------
if 'trade_source' in config:
trade_source = config['trade_source']
else:
trade_source = factory.create_daily_trade_source(
sid_list,
trade_count,
trading_environment,
concurrent=concurrent_trades
)
#-------------------
# Transforms
#-------------------
transforms = config.get('transforms', [])
#-------------------
# Create the Algo
#-------------------
if 'algorithm' in config:
test_algo = config['algorithm']
else:
test_algo = TestAlgorithm(
sid,
order_amount,
order_count
)
#-------------------
# Simulation
#-------------------
sim = SimulatedTrading(
[trade_source],
transforms,
test_algo,
trading_environment,
sim_method
)
#-------------------
return sim