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ENH: Send transactions and orders as standalone events.

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- Add transaction and order types
- Move TransactionSimulator from trading.py to tradesimulation.py
  (only used by other members of the tradesimulation module)
- Make Transaction an independent event, like dividend
- Add Blotter class.
- Flatten the transaction events to be independent of trade bar events
- Make orders into events that reach performance (need to add
handling)
- Issue IDs to orders and tracking each transaction's order id.
- Make volume share slippage fill orders independently, rather than
  aggregating them into a single transaction.
- Perf tracker holds orders, serializes them with transactions.
- Order state defined and maintained by order class.
- Minutely emission of orders based on last_modified date.
This commit is contained in:
Eddie Hebert
2013-04-14 18:59:57 -04:00
parent cfbbbe2f1c
commit 35f57ada3e
12 changed files with 531 additions and 338 deletions
Download Patch File Download Diff File Expand all files Collapse all files
tests/test_perf_tracking.py
+87 -51
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@@ -24,11 +24,13 @@ from operator import attrgetter
import zipline.utils.factory as factory
import zipline.finance.performance as perf
from zipline.finance.slippage import Transaction
from zipline.finance.slippage import Transaction, create_transaction
from zipline.gens.composites import date_sorted_sources
from zipline.finance.trading import SimulationParameters
from zipline.gens.tradesimulation import Order
import zipline.finance.trading as trading
from zipline.protocol import DATASOURCE_TYPE
from zipline.utils.factory import create_random_simulation_parameters
onesec = datetime.timedelta(seconds=1)
@@ -36,6 +38,10 @@ oneday = datetime.timedelta(days=1)
tradingday = datetime.timedelta(hours=6, minutes=30)
def create_txn(sid, price, amount, dt):
return create_transaction(sid, amount, price, dt, "fakeuid")
class TestDividendPerformance(unittest.TestCase):
def setUp(self):
@@ -78,8 +84,8 @@ class TestDividendPerformance(unittest.TestCase):
events[2].dt
)
txn = factory.create_txn(1, 10.0, 100, events[0].dt)
events[0].TRANSACTION = txn
txn = create_txn(1, 10.0, 100, events[0].dt)
events.insert(0, txn)
events.insert(1, dividend)
perf_tracker = perf.PerformanceTracker(self.sim_params)
transformed_events = list(perf_tracker.transform(
@@ -136,8 +142,8 @@ class TestDividendPerformance(unittest.TestCase):
)
events.insert(1, dividend)
txn = factory.create_txn(1, 10.0, 100, events[3].dt)
events[3].TRANSACTION = txn
txn = create_txn(1, 10.0, 100, events[3].dt)
events.insert(4, txn)
perf_tracker = perf.PerformanceTracker(self.sim_params)
transformed_events = list(perf_tracker.transform(
((event.dt, [event]) for event in events))
@@ -183,11 +189,11 @@ class TestDividendPerformance(unittest.TestCase):
events[3].dt
)
buy_txn = factory.create_txn(1, 10.0, 100, events[0].dt)
events[0].TRANSACTION = buy_txn
sell_txn = factory.create_txn(1, 10.0, -100, events[2].dt)
events[2].TRANSACTION = sell_txn
events.insert(1, dividend)
buy_txn = create_txn(1, 10.0, 100, events[0].dt)
events.insert(1, buy_txn)
sell_txn = create_txn(1, 10.0, -100, events[3].dt)
events.insert(4, sell_txn)
events.insert(0, dividend)
perf_tracker = perf.PerformanceTracker(self.sim_params)
transformed_events = list(perf_tracker.transform(
((event.dt, [event]) for event in events))
@@ -233,10 +239,10 @@ class TestDividendPerformance(unittest.TestCase):
events[5].dt
)
buy_txn = factory.create_txn(1, 10.0, 100, events[1].dt)
events[1].TRANSACTION = buy_txn
sell_txn = factory.create_txn(1, 10.0, -100, events[2].dt)
events[2].TRANSACTION = sell_txn
buy_txn = create_txn(1, 10.0, 100, events[1].dt)
events.insert(2, buy_txn)
sell_txn = create_txn(1, 10.0, -100, events[3].dt)
events.insert(4, sell_txn)
events.insert(1, dividend)
perf_tracker = perf.PerformanceTracker(self.sim_params)
transformed_events = list(perf_tracker.transform(
@@ -280,11 +286,11 @@ class TestDividendPerformance(unittest.TestCase):
10.00,
events[0].dt,
events[1].dt,
events[-1].dt + 10*oneday
events[-1].dt + 10 * oneday
)
buy_txn = factory.create_txn(1, 10.0, 100, events[1].dt)
events[1].TRANSACTION = buy_txn
buy_txn = create_txn(1, 10.0, 100, events[1].dt)
events.insert(2, buy_txn)
events.insert(1, dividend)
perf_tracker = perf.PerformanceTracker(self.sim_params)
transformed_events = list(perf_tracker.transform(
@@ -334,8 +340,8 @@ class TestDividendPerformance(unittest.TestCase):
events[2].dt
)
txn = factory.create_txn(1, 10.0, -100, self.dt+oneday)
events[0].TRANSACTION = txn
txn = create_txn(1, 10.0, -100, self.dt + oneday)
events.insert(1, txn)
events.insert(0, dividend)
perf_tracker = perf.PerformanceTracker(self.sim_params)
transformed_events = list(perf_tracker.transform(
@@ -431,7 +437,7 @@ class TestPositionPerformance(unittest.TestCase):
self.sim_params
)
txn = factory.create_txn(1, 10.0, 100, self.dt + onesec)
txn = create_txn(1, 10.0, 100, self.dt + onesec)
pp = perf.PerformancePeriod(1000.0)
pp.execute_transaction(txn)
@@ -502,7 +508,7 @@ single short-sale transaction"""
trades_1 = trades[:-2]
txn = factory.create_txn(1, 10.0, -100, self.dt + onesec)
txn = create_txn(1, 10.0, -100, self.dt + onesec)
pp = perf.PerformancePeriod(1000.0)
pp.execute_transaction(txn)
@@ -690,14 +696,14 @@ trade after cover"""
self.sim_params
)
short_txn = factory.create_txn(
short_txn = create_txn(
1,
10.0,
-100,
self.dt + onesec
)
cover_txn = factory.create_txn(1, 7.0, 100, self.dt + onesec * 6)
cover_txn = create_txn(1, 7.0, 100, self.dt + onesec * 6)
pp = perf.PerformancePeriod(1000.0)
pp.execute_transaction(short_txn)
@@ -805,7 +811,7 @@ shares in position"
400
)
saleTxn = factory.create_txn(
saleTxn = create_txn(
1,
10.0,
-100,
@@ -871,6 +877,11 @@ shares in position"
class TestPerformanceTracker(unittest.TestCase):
def setUp(self):
self.sim_params, self.dt, self.end_dt = \
create_random_simulation_parameters()
NumDaysToDelete = collections.namedtuple(
'NumDaysToDelete', ('start', 'middle', 'end'))
@@ -984,11 +995,15 @@ class TestPerformanceTracker(unittest.TestCase):
events = date_sorted_sources(trade_history, trade_history2)
events = [self.event_with_txn(event, trade_history[0].dt)
for event in events]
events = [event for event in
self.trades_with_txns(events, trade_history[0].dt)]
# Extract events with transactions to use for verification.
events_with_txns = [event for event in events if event.TRANSACTION]
txns = [event for event in
events if event.type == DATASOURCE_TYPE.TRANSACTION]
orders = [event for event in
events if event.type == DATASOURCE_TYPE.ORDER]
perf_messages = \
[msg for date, snapshot in
@@ -1002,10 +1017,11 @@ class TestPerformanceTracker(unittest.TestCase):
perf_messages.extend(end_perf_messages)
#we skip two trades, to test case of None transaction
self.assertEqual(perf_tracker.txn_count, len(events_with_txns))
self.assertEqual(perf_tracker.txn_count, len(txns))
self.assertEqual(perf_tracker.txn_count, len(orders))
cumulative_pos = perf_tracker.cumulative_performance.positions[sid]
expected_size = len(events_with_txns) / 2 * -25
expected_size = len(txns) / 2 * -25
self.assertEqual(cumulative_pos.amount, expected_size)
self.assertEqual(perf_tracker.last_close,
@@ -1014,22 +1030,30 @@ class TestPerformanceTracker(unittest.TestCase):
self.assertEqual(len(perf_messages),
sim_params.days_in_period)
def event_with_txn(self, event, no_txn_dt):
#create a transaction for all but
#first trade in each sid, to simulate None transaction
if event.dt != no_txn_dt:
txn = Transaction(**{
'sid': event.sid,
'amount': -25,
'dt': event.dt,
'price': 10.0,
'commission': 0.50
})
else:
txn = None
event['TRANSACTION'] = txn
def trades_with_txns(self, events, no_txn_dt):
for event in events:
return event
#create a transaction for all but
#first trade in each sid, to simulate None transaction
if event.dt != no_txn_dt:
order = Order(**{
'sid': event.sid,
'amount': -25,
'dt': event.dt
})
yield order
yield event
txn = Transaction(**{
'sid': event.sid,
'amount': -25,
'dt': event.dt,
'price': 10.0,
'commission': 0.50,
'order_id': order.id
})
yield txn
else:
yield event
@trading.use_environment(trading.TradingEnvironment())
def test_minute_tracker(self):
@@ -1047,13 +1071,17 @@ class TestPerformanceTracker(unittest.TestCase):
tracker = perf.PerformanceTracker(sim_params)
foo_event_1 = factory.create_trade('foo', 10.0, 20, start_dt)
order_event_1 = Order(**{
'sid': foo_event_1.sid,
'amount': -25,
'dt': foo_event_1.dt
})
bar_event_1 = factory.create_trade('bar', 100.0, 200, start_dt)
txn = Transaction(sid=foo_event_1.sid,
amount=-25,
dt=foo_event_1.dt,
price=10.0,
commission=0.50)
foo_event_1.TRANSACTION = txn
txn_event_1 = Transaction(sid=foo_event_1.sid,
amount=-25,
dt=foo_event_1.dt,
price=10.0,
commission=0.50)
foo_event_2 = factory.create_trade(
'foo', 11.0, 20, start_dt + datetime.timedelta(minutes=1))
@@ -1062,13 +1090,15 @@ class TestPerformanceTracker(unittest.TestCase):
events = [
foo_event_1,
order_event_1,
txn_event_1,
bar_event_1,
foo_event_2,
bar_event_2
]
import operator
messages = {date: snapshot[0].perf_messages[0] for date, snapshot in
messages = {date: snapshot[-1].perf_messages[0] for date, snapshot in
tracker.transform(
itertools.groupby(
events,
@@ -1085,6 +1115,12 @@ class TestPerformanceTracker(unittest.TestCase):
self.assertEquals(0, len(msg_2['intraday_perf']['transactions']),
"The second message should have no transactions.")
self.assertEquals(1, len(msg_1['intraday_perf']['orders']),
"The first message should contain one orders.")
# Check that orders aren't emitted for previous events.
self.assertEquals(0, len(msg_2['intraday_perf']['orders']),
"The second message should have no orders.")
# Ensure that period_close moves through time.
# Also, ensure that the period_closes are the expected dts.
self.assertEquals(foo_event_1.dt,