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