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MAINT: Refactored target order methods

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Refactored the target order methods to separate their logic from the
other order methods.

This makes order_target the only target method that calls order()
directly.

order_target_value is passed to order_target instead of order_value.

order_target_percent is passed to order_target_value rather than
order_value.

This simplified the code and decouples the logic of target orders from
the other order methods. This allows the target order methods to be
developed independently from order_value and order_percent.
This commit is contained in:
David Edwards
2014-06-02 13:29:36 -07:00
committed by Thomas Wiecki
parent 450dded491
commit 243c0348f3
1 changed files with 18 additions and 27 deletions
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zipline/algorithm.py
+18 -27
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@@ -706,7 +706,8 @@ class TradingAlgorithm(object):
@api_method
def order_target_value(self, sid, target,
limit_price=None, stop_price=None, style=None):
limit_price=None, stop_price=None,
style=None, include_open_orders=False):
"""
Place an order to adjust a position to a target value. If
the position doesn't already exist, this is equivalent to placing a new
@@ -714,20 +715,18 @@ class TradingAlgorithm(object):
order for the difference between the target value and the
current value.
"""
if sid in self.portfolio.positions:
current_position = self.portfolio.positions[sid].amount
current_price = self.trading_client.current_data[sid].price
current_value = current_position * current_price
req_value = target - current_value
return self.order_value(sid, req_value,
limit_price=limit_price,
stop_price=stop_price,
style=style)
else:
return self.order_value(sid, target,
limit_price=limit_price,
stop_price=stop_price,
style=style)
last_price = self.trading_client.current_data[sid].price
if np.allclose(last_price, 0):
# Don't place an order
if self.logger:
zero_message = "Price of 0 for {psid}; can't infer value"
self.logger.debug(zero_message.format(psid=sid))
return
target_amount = target / last_price
return self.order_target(sid, target_amount,
limit_price=limit_price,
stop_price=stop_price,
style=style)
@api_method
def order_target_percent(self, sid, target,
@@ -741,19 +740,11 @@ class TradingAlgorithm(object):
Note that target must expressed as a decimal (0.50 means 50\%).
"""
if sid in self.portfolio.positions:
current_position = self.portfolio.positions[sid].amount
current_price = self.trading_client.current_data[sid].price
current_value = current_position * current_price
else:
current_value = 0
target_value = self.portfolio.portfolio_value * target
req_value = target_value - current_value
return self.order_value(sid, req_value,
limit_price=limit_price,
stop_price=stop_price,
style=style)
return self.order_target_value(sid, target_value,
limit_price=limit_price,
stop_price=stop_price,
style=style)
@api_method
def get_open_orders(self, sid=None):