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Extended the algorithm protocol to include portfolio.

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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
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zipline/test/algorithms.py
+34 -18
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@@ -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