wassname/catalyst
1
0
Fork 0
mirror of https://github.com/wassname/catalyst.git synced 2026-07-05 13:42:46 +08:00
Code Issues Packages Projects Releases Wiki Activity

added more documentation to the lines.py. refactoring relationship between zipline and algorithm.

Browse Source
This commit is contained in:
fawce
2012-03-19 11:40:48 -04:00
parent dcc471cc93
commit 2324c054e9
3 changed files with 117 additions and 51 deletions
Download Patch File Download Diff File Expand all files Collapse all files
zipline/finance/risk.py
-46
View File
@@ -374,49 +374,3 @@ class RiskReport():
if len(col) == 1:
return col[0]
return None
class TradingEnvironment(object):
def __init__(
self,
benchmark_returns,
treasury_curves,
period_start=None,
period_end=None,
capital_base=None,
frame_index=None
):
self.trading_days = []
self.trading_day_map = {}
self.treasury_curves = treasury_curves
self.benchmark_returns = benchmark_returns
self.frame_index = frame_index
self.period_start = period_start
self.period_end = period_end
self.capital_base = capital_base
for bm in benchmark_returns:
self.trading_days.append(bm.date)
self.trading_day_map[bm.date] = bm
def normalize_date(self, test_date):
return datetime.datetime(
year=test_date.year,
month=test_date.month,
day=test_date.day,
tzinfo=pytz.utc
)
def is_trading_day(self, test_date):
dt = self.normalize_date(test_date)
return self.trading_day_map.has_key(dt)
def get_benchmark_daily_return(self, test_date):
date = self.normalize_date(test_date)
if self.trading_day_map.has_key(date):
return self.trading_day_map[date].returns
else:
return 0.0
zipline/finance/trading.py
+52 -1
View File
@@ -303,6 +303,57 @@ class TransactionSimulator(qmsg.BaseTransform):
}
return zp.namedict(txn)
class TradingEnvironment(object):
def __init__(
self,
benchmark_returns,
treasury_curves,
period_start=None,
period_end=None,
capital_base=None
):
self.trading_days = []
self.trading_day_map = {}
self.treasury_curves = treasury_curves
self.benchmark_returns = benchmark_returns
self.frame_index = ['sid', 'volume', 'dt', 'price', 'changed']
self.period_start = period_start
self.period_end = period_end
self.capital_base = capital_base
for bm in benchmark_returns:
self.trading_days.append(bm.date)
self.trading_day_map[bm.date] = bm
def normalize_date(self, test_date):
return datetime.datetime(
year=test_date.year,
month=test_date.month,
day=test_date.day,
tzinfo=pytz.utc
)
def is_trading_day(self, test_date):
dt = self.normalize_date(test_date)
return self.trading_day_map.has_key(dt)
def get_benchmark_daily_return(self, test_date):
date = self.normalize_date(test_date)
if self.trading_day_map.has_key(date):
return self.trading_day_map[date].returns
else:
return 0.0
def add_to_frame(self, name):
"""
Add an entry to the frame index.
:param name: new index entry name. Used by TradingSimulationClient
to
"""
self.frame_index.append(name)
zipline/lines.py
+65 -4
View File
@@ -55,13 +55,74 @@ class SimulatedTrading(object):
a control monitor, which can kill the entire zipline in the event of
exceptions in one of the components or an external request to end the
simulation.
Here is a diagram of the SimulatedTrading zipline:
+----------------------+ +------------------------+
+-->| Orders DataSource | | (DataSource added |
| | Integrates algo | | via add_source) |
| | orders into history | | |
| +--------------------+-+ +-+----------------------+
| | |
| | |
| v v
| +---------+
| | Feed |
| +-+------++
| | |
| | |
| v v
| +----------------------+ +----------------------+
| | Transaction | | |
| | Transform simulates | | (Transforms added |
| | trades based on | | via add_transform) |
| | orders from algo. | | |
| +-------------------+--+ +-+--------------------+
| | |
| | |
| v v
| +------------+
| | Merge |
| +------+-----+
| |
| |
| V
| +--------------------------------+
| | |
| | TradingSimulationClient |
| orders | tracks performance and |
+---------------+ provides API to algorithm. |
| |
+---------------------+----------+
^ |
| orders | frames
| |
| v
+---------+-----------------------+
| |
| Algorithm added via |
| __init__. |
| |
| |
| |
+---------------------------------+
"""
def __init__(self, trading_environment, allocator):
def __init__(self, algorithm, trading_environment, allocator):
"""
:param algorithm: a class that follows the algorithm protocol. Must
have a handle_frame method that accepts a pandas.Dataframe of the
current state of the simulation universe. Must have an order property
which can be set equal to the order method of trading_client.
:param trading_environment: TradingEnvironment object.
"""
self.algorithm = algorithm
self.allocator = allocator
self.leased_sockets = []
self.trading_environment = trading_environment
self.sim_context = None
self.algorithm = algorithm
sockets = self.allocate_sockets(8)
addresses = {
@@ -81,9 +142,6 @@ class SimulatedTrading(object):
self.sim = Simulator(addresses)
self.trading_environment.frame_index = ['sid', 'volume', 'dt', \
'price', 'changed']
self.clients = {}
self.trading_client = TradeSimulationClient(self.trading_environment)
self.clients[self.trading_client.get_id] = self.trading_client
@@ -109,6 +167,9 @@ class SimulatedTrading(object):
self.sim.on_done = self.shutdown()
self.started = False
self.trading_client.add_event_callback(self.algorithm.handle_frame)
self.algorithm.set_order(self.trading_client.order)
def add_source(self, source):
assert isinstance(source, zmsg.DataSource)
self.check_started()