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finish eventwindow ABS, and speedups for tradingcalendar

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This commit is contained in:
scottsanderson
2012-08-07 14:50:09 -04:00
parent ed206de84a
commit 1f0e760856
6 changed files with 152 additions and 49 deletions
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tests/test_transforms.py
+3 -3
View File
@@ -100,9 +100,9 @@ class FinanceTransformsTestCase(TestCase):
def test_moving_average(self):
mavg = StatefulTransform(
MovingAverage,
timedelta(days = 2),
['price', 'volume']
MovingAverage,
fields = ['price', 'volume'],
delta = timedelta(days = 2),
)
transformed = list(mavg.transform(self.source))
zipline/gens/mavg.py
+29 -7
View File
@@ -13,17 +13,39 @@ class MovingAverage(object):
maintain a sid's average volume as well as its average price.)
"""
def __init__(self, delta, fields):
self.delta = delta
def __init__(self, fields, market_aware, days = None, delta = None):
self.fields = fields
self.market_aware = market_aware
self.delta = delta
self.days = days
# Market-aware mode only works with full-day windows.
if self.market_aware:
assert self.days and not self.delta,\
"Market-aware mode only works with full-day windows."
# Non-market-aware mode requires a timedelta.
else:
assert self.delta and not self.days, \
"Non-market-aware mode requires a timedelta."
# No way to pass arguments to the defaultdict factory, so we
# need to define a method to generate the correct EventWindows.
self.sid_windows = defaultdict(self.create_window)
def create_window(self):
"""Factory method for self.sid_windows."""
return MovingAverageEventWindow(self.delta, self.fields)
"""
Factory method for self.sid_windows.
"""
return MovingAverageEventWindow(
self.fields,
self.market_aware,
self.days,
self.delta
)
def update(self, event):
"""
Update the event window for this event's sid. Return an ndict
@@ -45,11 +67,11 @@ class MovingAverageEventWindow(EventWindow):
MovingAverage transform.
"""
def __init__(self, delta, fields):
def __init__(self, fields, market_aware, days, delta):
# Call the superclass constructor to set up base EventWindow
# infrastructure.
EventWindow.__init__(self, delta)
EventWindow.__init__(self, market_aware, days, delta)
# We maintain a dictionary of totals for each of our tracked
# fields.
zipline/gens/tradesimulation.py
+1 -1
View File
@@ -74,7 +74,7 @@ class TradeSimulationClient(object):
# Pipe the events with transactions to perf. This will remove
# the txn field added by TransactionSimulator and replace it
# with a portfolio object to be passed to the user's
# algorithm. Also adds a PERF_MESSAGE field which is usually
# algorithm. Also adds a perf_message field which is usually
# none, but contains an update message once per day.
perf_tracker = StatefulTransform(
PerformanceTracker,
zipline/gens/transform.py
+50 -8
View File
@@ -2,9 +2,10 @@
Generator versions of transforms.
"""
import types
import pytz
from copy import deepcopy
from datetime import datetime
from datetime import datetime, timedelta
from collections import deque, defaultdict
from numbers import Number
from abc import ABCMeta, abstractmethod
@@ -149,6 +150,9 @@ class EventWindow:
window. Calls self.handle_remove(event) for each event removed
from the window. Subclass these methods along with init(*args,
**kwargs) to calculate metrics over the window.
The market_aware flag is used to toggle whether the eventwindow
calculates
See zipline/gens/mavg.py and zipline/gens/vwap.py for example
implementations of moving average and volume-weighted average
@@ -157,10 +161,31 @@ class EventWindow:
# Mark this as an abstract base class.
__metaclass__ = ABCMeta
def __init__(self, delta):
def __init__(self, market_aware, days = None, delta = None):
self.market_aware = market_aware
self.days = days
self.delta = delta
self.ticks = deque()
self.delta = delta
# Market-aware mode only works with full-day windows.
if self.market_aware:
assert self.days and not self.delta,\
"Market-aware mode only works with full-day windows."
# Non-market-aware mode requires a timedelta.
else:
assert self.delta and not self.days, \
"Non-market-aware mode requires a timedelta."
# Set the behavior for dropping events from the back of the
# event window.
if self.market_aware:
self.drop_condition = self.out_of_market_window
else:
self.drop_condition = self.out_of_timedelta
@abstractmethod
def handle_add(self, event):
raise NotImplementedError()
@@ -174,22 +199,36 @@ class EventWindow:
def update(self, event):
self.assert_well_formed(event)
# Add new event and increment totals.
self.ticks.append(event)
# Subclasses should override handle_add to define behavior for
# adding new ticks.
self.handle_add(event)
# Clear out expired event.
# Clear out any expired events. drop_condition changes depending
# on whether or not we are running in market_aware mode.
#
# newest oldest
# | |
# V V
while (self.ticks[-1].dt - self.ticks[0].dt) > self.delta:
# oldest newest
# | |
# V V
while self.drop_condition(self.ticks[0].dt, self.ticks[-1].dt):
# popleft removes and returns the oldest tick in self.ticks
popped = self.ticks.popleft()
# Subclasses should override handle_remove to define
# behavior for removing ticks.
self.handle_remove(popped)
def out_of_market_window(self, oldest, newest):
return trading_days_between(oldest, newest) >= self.days
def out_of_delta(self, oldest, newest):
return (newest - oldest) >= self.delta
# All event windows expect to receive events with datetime fields
# that arrive in sorted order.
def assert_well_formed(self, event):
@@ -200,3 +239,6 @@ class EventWindow:
# Something is wrong if new event is older than previous.
assert event.dt >= self.ticks[-1].dt, \
"Events arrived out of order in EventWindow: %s -> %s" % (event, self.ticks[0])
zipline/gens/vwap.py
+22 -6
View File
@@ -9,16 +9,33 @@ class VWAP(object):
"""
Class that maintains a dictionary from sids to VWAPEventWindows.
"""
def __init__(self, delta):
def __init__(self, market_aware, delta=None, days=None):
self.market_aware = market_aware
self.delta = delta
self.days = days
# Market-aware mode only works with full-day windows.
if self.market_aware:
assert self.days and not self.delta,\
"Market-aware mode only works with full-day windows."
# Non-market-aware mode requires a timedelta.
else:
assert self.delta and not self.days, \
"Non-market-aware mode requires a timedelta."
# No way to pass arguments to the defaultdict factory, so we
# need to define a method to generate the correct EventWindows.
self.sid_windows = defaultdict(self.create_window)
def create_window(self):
"""Factory method for self.sid_windows."""
return VWAPEventWindow(self.delta)
return VWAPEventWindow(
self.market_aware,
days = self.days,
delta = self.delta
)
def update(self, event):
"""
@@ -31,14 +48,13 @@ class VWAP(object):
window.update(event)
return window.get_vwap()
class VWAPEventWindow(EventWindow):
"""
Iteratively maintains a vwap for a single sid over a given
timedelta.
"""
def __init__(self, delta):
EventWindow.__init__(self, delta)
def __init__(self, market_aware, days=None, delta=None):
EventWindow.__init__(self, market_aware, days, delta)
self.flux = 0.0
self.totalvolume = 0.0
zipline/utils/tradingcalendar.py
+47 -24
View File
@@ -84,8 +84,7 @@ def earlier_in_day(d1, d2):
"""
Return true if d1 falls earlier in its own day than d2.
"""
d1 = d1.replace(year = d2.year, day = d2.day)
return d1 < d2
return d1.time() < d2.time()
WEEKDAYS = [rrule.MO, rrule.TU, rrule.WE, rrule.TH, rrule.FR]
@@ -97,7 +96,8 @@ market_opens_with_holidays = rrule.rrule(
byhour = 14,
byminute = 30,
cache = True,
dtstart=datetime(1970, 1, 1, tzinfo = pytz.utc),
dtstart=datetime(2000, 1, 1, tzinfo = pytz.utc),
until=datetime(2014 , 1, 1, tzinfo = pytz.utc)
)
# Recurrence rule that generates all market closes since Jan 1, 1970.
@@ -108,7 +108,8 @@ market_closes_with_holidays = rrule.rrule(
byhour = 21,
byminute = 0,
cache = True,
dtstart=datetime(1970, 1, 1, tzinfo = pytz.utc),
dtstart=datetime(2001, 1, 1, tzinfo = pytz.utc),
until=datetime(2014, 1, 1, tzinfo = pytz.utc)
)
# Recurrence rules for excluding the market open/close on new years.
@@ -118,7 +119,8 @@ new_years_opens = rrule.rrule(
byhour = 14,
byminute = 30,
cache = True,
dtstart = datetime(1970, 1,1,tzinfo = pytz.utc)
dtstart = datetime(2000, 1,1,tzinfo = pytz.utc),
until=datetime(2014, 1, 1, tzinfo = pytz.utc)
)
new_years_closes = rrule.rrule(
rrule.MONTHLY,
@@ -126,7 +128,8 @@ new_years_closes = rrule.rrule(
byhour = 21,
byminute = 0,
cache = True,
dtstart = datetime(1970, 1,1,tzinfo = pytz.utc)
dtstart = datetime(2000, 1,1,tzinfo = pytz.utc),
until=datetime(2014, 1, 1, tzinfo = pytz.utc)
)
# Recurrence rules for excluding MLK day. It is always the third
@@ -138,7 +141,8 @@ mlk_opens = rrule.rrule(
byhour = 14,
byminute = 30,
cache = True,
dtstart = datetime(1970, 1,1,tzinfo = pytz.utc)
dtstart = datetime(2000, 1,1,tzinfo = pytz.utc),
until=datetime(2014, 1, 1, tzinfo = pytz.utc)
)
mlk_closes = rrule.rrule(
rrule.MONTHLY,
@@ -147,7 +151,8 @@ mlk_closes = rrule.rrule(
byhour = 21,
byminute = 0,
cache = True,
dtstart = datetime(1970, 1,1,tzinfo = pytz.utc)
dtstart = datetime(2000, 1,1,tzinfo = pytz.utc),
until=datetime(2014, 1, 1, tzinfo = pytz.utc)
)
# Recurrence rules for generating the market open/close for
@@ -160,7 +165,8 @@ presidents_day_opens = rrule.rrule(
byhour = 14,
byminute = 30,
cache = True,
dtstart = datetime(1970, 1,1,tzinfo = pytz.utc)
dtstart = datetime(2000, 1,1,tzinfo = pytz.utc),
until=datetime(2014, 1, 1, tzinfo = pytz.utc)
)
presidents_day_closes = rrule.rrule(
rrule.MONTHLY,
@@ -169,7 +175,8 @@ presidents_day_closes = rrule.rrule(
byhour = 21,
byminute = 0,
cache = True,
dtstart = datetime(1970, 1,1,tzinfo = pytz.utc)
dtstart = datetime(2000, 1,1,tzinfo = pytz.utc),
until=datetime(2014, 1, 1, tzinfo = pytz.utc)
)
# Recurrence rules for generating the market open/close for good
@@ -181,7 +188,8 @@ good_friday_opens = rrule.rrule(
byhour = 14,
byminute = 30,
cache = True,
dtstart = datetime(1970, 1,1,tzinfo = pytz.utc)
dtstart = datetime(2000, 1,1,tzinfo = pytz.utc),
until=datetime(2014, 1, 1, tzinfo = pytz.utc)
)
good_friday_closes = rrule.rrule(
rrule.DAILY,
@@ -189,7 +197,8 @@ good_friday_closes = rrule.rrule(
byhour = 21,
byminute = 0,
cache = True,
dtstart = datetime(1970, 1,1,tzinfo = pytz.utc)
dtstart = datetime(2000, 1,1,tzinfo = pytz.utc),
until=datetime(2014, 1, 1, tzinfo = pytz.utc)
)
# Recurrence rules for generating the market open/close for memorial
@@ -201,7 +210,8 @@ memorial_day_opens = rrule.rrule(
byhour = 14,
byminute = 30,
cache = True,
dtstart = datetime(1970, 1,1,tzinfo = pytz.utc)
dtstart = datetime(2000, 1,1,tzinfo = pytz.utc),
until=datetime(2014, 1, 1, tzinfo = pytz.utc)
)
memorial_day_closes = rrule.rrule(
rrule.MONTHLY,
@@ -210,7 +220,8 @@ memorial_day_closes = rrule.rrule(
byhour = 21,
byminute = 0,
cache = True,
dtstart = datetime(1970, 1,1,tzinfo = pytz.utc)
dtstart = datetime(2000, 1,1,tzinfo = pytz.utc),
until=datetime(2014, 1, 1, tzinfo = pytz.utc)
)
# Recurrence rules for generating the market open/close for July 4th.
@@ -221,7 +232,8 @@ july_4th_opens = rrule.rrule(
byhour = 14,
byminute = 30,
cache = True,
dtstart = datetime(1970, 1,1,tzinfo = pytz.utc)
dtstart = datetime(2000, 1,1,tzinfo = pytz.utc),
until=datetime(2014, 1, 1, tzinfo = pytz.utc)
)
july_4th_closes = rrule.rrule(
rrule.MONTHLY,
@@ -230,7 +242,8 @@ july_4th_closes = rrule.rrule(
byhour = 21,
byminute = 0,
cache = True,
dtstart = datetime(1970, 1,1,tzinfo = pytz.utc)
dtstart = datetime(2000, 1,1,tzinfo = pytz.utc),
until=datetime(2014, 1, 1, tzinfo = pytz.utc)
)
# Recurrence rule for generating the market open/close for labor day.
@@ -242,7 +255,8 @@ labor_day_opens = rrule.rrule(
byhour = 14,
byminute = 30,
cache = True,
dtstart = datetime(1970, 1,1,tzinfo = pytz.utc)
dtstart = datetime(2000, 1,1,tzinfo = pytz.utc),
until=datetime(2014, 1, 1, tzinfo = pytz.utc)
)
labor_day_closes = rrule.rrule(
rrule.MONTHLY,
@@ -251,7 +265,8 @@ labor_day_closes = rrule.rrule(
byhour = 21,
byminute = 0,
cache = True,
dtstart = datetime(1970, 1,1,tzinfo = pytz.utc)
dtstart = datetime(2000, 1,1,tzinfo = pytz.utc),
until=datetime(2014, 1, 1, tzinfo = pytz.utc)
)
# Recurrence rule for generating the market open/close for
@@ -264,7 +279,8 @@ thanksgiving_opens = rrule.rrule(
byhour = 14,
byminute = 30,
cache = True,
dtstart = datetime(1970, 1,1,tzinfo = pytz.utc)
dtstart = datetime(2000, 1,1,tzinfo = pytz.utc),
until=datetime(2014, 1, 1, tzinfo = pytz.utc)
)
thanksgiving_closes = rrule.rrule(
rrule.MONTHLY,
@@ -273,7 +289,8 @@ thanksgiving_closes = rrule.rrule(
byhour = 21,
byminute = 0,
cache = True,
dtstart = datetime(1970, 1,1,tzinfo = pytz.utc)
dtstart = datetime(2000, 1,1,tzinfo = pytz.utc),
until=datetime(2014, 1, 1, tzinfo = pytz.utc)
)
# Recurrence relation for generating the market open/close for
@@ -286,7 +303,8 @@ christmas_opens = rrule.rrule(
byhour = 14,
byminute = 30,
cache = True,
dtstart = datetime(1970, 1,1,tzinfo = pytz.utc)
dtstart = datetime(2000, 1,1,tzinfo = pytz.utc),
until=datetime(2014, 1, 1, tzinfo = pytz.utc)
)
christmas_closes = rrule.rrule(
rrule.MONTHLY,
@@ -295,8 +313,10 @@ christmas_closes = rrule.rrule(
byhour = 21,
byminute = 0,
cache = True,
dtstart = datetime(1970, 1,1,tzinfo = pytz.utc)
dtstart = datetime(2000, 1,1,tzinfo = pytz.utc),
until=datetime(2014, 1, 1, tzinfo = pytz.utc)
)
# All NYSE observed holidays.
holiday_opens = [
new_years_opens,
@@ -322,12 +342,15 @@ holiday_closes = [
]
# Valid market opens are given by all market opens minus holidays.
opens = rrule.rruleset()
opens = rrule.rruleset(cache=True)
opens.rrule(market_opens_with_holidays)
for holiday_rule in holiday_opens:
opens.exrule(holiday_rule)
open_count = opens.count()
closes = rrule.rruleset()
closes = rrule.rruleset(cache=True)
closes.rrule(market_closes_with_holidays)
for holiday_rule in holiday_closes:
closes.exrule(holiday_rule)
close_count = closes.count()