ENH: Send transactions and orders as standalone events.

- 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
+1 -1
View File
@@ -339,7 +339,7 @@ class TradingAlgorithm(object):
Set the method that will be called to create a
transaction from open orders and trade events.
"""
self.trading_client.ordering_client.transact = transact
self.trading_client.blotter.transact = transact
def set_slippage(self, slippage):
if not isinstance(slippage, (VolumeShareSlippage, FixedSlippage)):