wassname/catalyst
1
0
Fork 0
mirror of https://github.com/wassname/catalyst.git synced 2026-07-01 11:59:14 +08:00
Code Issues Packages Projects Releases Wiki Activity

Extended the algorithm protocol to include portfolio.

Browse Source
This commit is contained in:
fawce
2012-03-21 23:52:56 -04:00
parent e67322ac04
commit 3ccfb514fb
4 changed files with 56 additions and 31 deletions
Download Patch File Download Diff File Expand all files Collapse all files
zipline/finance/trading.py
+8
View File
@@ -115,6 +115,14 @@ class TradeSimulationClient(qmsg.Component):
def run_algorithm(self):
"""
As per the algorithm protocol:
- Set the current portfolio for the algorithm as per protocol.
- Construct frame based on backlog of events, send to algorithm.
"""
current_portfolio = self.perf.get_portfolio()
self.algorithm.set_portfolio(current_portfolio)
frame = self.get_frame()
if len(frame) > 0:
self.algorithm.handle_frame(frame)
zipline/lines.py
+13 -13
View File
@@ -177,20 +177,20 @@ class SimulatedTrading(object):
@staticmethod
def create_test_zipline(**config):
"""
:param config: A configuration object that is a dict with::
:param config: A configuration object that is a dict with:
- environment - a \
:py:class:`zipline.finance.trading.TradingEnvironment`
- allocator - a :py:class:`zipline.simulator.AddressAllocator`
- sid - an integer, which will be used as the security ID.
- order_count - the number of orders the test algo will place,
defaults to 100
- trade_count - the number of trades to simulate, defaults to 100
- simulator_class - optional parameter that provides an alternative
subclass of ComponentHost to hold the whole zipline. Defaults to
:py:class:`zipline.simulator.Simulator`
- algorithm - optional parameter providing an algorithm. defaults
to :py:class:`zipline.test.algorithms.TestAlgorithm`
- environment - a \
:py:class:`zipline.finance.trading.TradingEnvironment`
- allocator - a :py:class:`zipline.simulator.AddressAllocator`
- sid - an integer, which will be used as the security ID.
- order_count - the number of orders the test algo will place,
defaults to 100
- trade_count - the number of trades to simulate, defaults to 100
- simulator_class - optional parameter that provides an alternative
subclass of ComponentHost to hold the whole zipline. Defaults to
:py:class:`zipline.simulator.Simulator`
- algorithm - optional parameter providing an algorithm. defaults
to :py:class:`zipline.test.algorithms.TestAlgorithm`
"""
assert isinstance(config, dict)
zipline/test/algorithms.py
+34 -18
View File
@@ -7,30 +7,39 @@ For a class to be passed as a trading algorithm to the
it must follow an implementation protocol. Examples of this algorithm protocol
are provided below.
The algorithm must expose methods::
The algorithm must expose methods:
- get_sid_filter: method that takes no args, and returns a list
of valid sids. List must have a length between 1 and 10. If None is returned
the filter will block all events.
- handle_frame: method that accepts a :py:class:`pandas.Dataframe` of the
current state of the simulation universe. An example frame:
+-----------------+--------------+----------------+--------------------+
| | SID(133) | SID(134) | SID(135) |
+=================+==============+=====================================+
| price | $10.10 | $22.50 | $13.37 |
+-----------------+--------------+----------------+--------------------+
| volume | 10,000 | 5,000 | 50,000 |
+-----------------+--------------+----------------+--------------------+
| mvg_avg_30 | $9.97 | $22.61 | $13.37 |
+-----------------+--------------+----------------+--------------------+
| dt | 6/30/2012 | 6/30/2011 | 6/29/2012 |
+-----------------+--------------+----------------+--------------------+
current state of the simulation universe. An example frame::
+-----------------+--------------+----------------+--------------------+
| | SID(133) | SID(134) | SID(135) |
+=================+==============+=====================================+
| price | $10.10 | $22.50 | $13.37 |
+-----------------+--------------+----------------+--------------------+
| volume | 10,000 | 5,000 | 50,000 |
+-----------------+--------------+----------------+--------------------+
| mvg_avg_30 | $9.97 | $22.61 | $13.37 |
+-----------------+--------------+----------------+--------------------+
| dt | 6/30/2012 | 6/30/2011 | 6/29/2012 |
+-----------------+--------------+----------------+--------------------+
The algorithm must also expose settable properties:
- order: property which can be set equal to the order method of
trading_client. An algorithm can then place orders with a valid
SID and a number of shares::
self.order(SID(133), share_count)
- set_order: method that accepts a callable. Will be set as the value of the
order method of trading_client. An algorithm can then place orders with a
valid SID and a number of shares::
self.order(SID(133), share_count)
- set_performance: property which can be set equal to the
cumulative_trading_performance property of the trading_client. An
algorithm can then check position information with the
Portfolio object::
self.Portfolio[SID(133)]['cost_basis']
"""
@@ -51,10 +60,14 @@ class TestAlgorithm():
self.done = False
self.order = None
self.frame_count = 0
self.portfolio = None
def set_order(self, order_callable):
self.order = order_callable
def set_portfolio(self, portfolio):
self.portfolio = portfolio
def handle_frame(self, frame):
self.frame_count += 1
#place an order for 100 shares of sid:133
@@ -73,6 +86,9 @@ class NoopAlgorithm(object):
def set_order(self, order_callable):
pass
def set_portfolio(self, portfolio):
pass
def handle_frame(self, frame):
pass
zipline/test/test_finance.py
+1
View File
@@ -39,6 +39,7 @@ class FinanceTestCase(TestCase):
@timed(DEFAULT_TIMEOUT)
def test_orders(self):
# Simulation
# ----------
zipline = SimulatedTrading.create_test_zipline(**self.zipline_test_config)