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Merge pull request #56 from quantopian/fawce_alpha1

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Fawce alpha1
This commit is contained in:
jbredeche
2012-05-28 21:13:00 -07:00
parent 640076ee7b b8d0a8e4e0
commit 461f5645f6
7 changed files with 12 additions and 233 deletions
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tests/test_finance.py
-1
View File
@@ -438,7 +438,6 @@ class FinanceTestCase(TestCase):
{
'sid' : sid,
'amount' : order_amount * alternator**i,
'type' : zp.DATASOURCE_TYPE.ORDER,
'dt' : order_date
})
tests/test_perf_tracking.py
+1 -1
View File
@@ -552,7 +552,7 @@ shares in position"
})
else:
txn = None
event[zp.TRANSFORM_TYPE.TRANSACTION] = txn
event['TRANSACTION'] = txn
perf_tracker.process_event(event)
#we skip two trades, to test case of None transaction
tests/test_protocol.py
+5 -57
View File
@@ -1,5 +1,5 @@
"""
Test the FRAME/UNFRAME functions in the sequence expected from ziplines.
Test the FRAME/UNFRAME functions in the sequence expected from ziplines.
"""
import pytz
@@ -36,10 +36,10 @@ class ProtocolTestCase(TestCase):
one_day_td = timedelta(days=1)
trades = factory.create_trade_history(
sid,
price,
volume,
one_day_td,
sid,
price,
volume,
one_day_td,
self.trading_environment
)
@@ -75,55 +75,3 @@ class ProtocolTestCase(TestCase):
event.delete('helloworld')
self.assertEqual(zp.ndict(trade), event)
@timed(DEFAULT_TIMEOUT)
def test_order_protocol(self):
#client places an order
now = datetime.utcnow().replace(tzinfo=pytz.utc)
order = zp.ndict({
'dt':now,
'sid':133,
'amount':100
})
order_msg = zp.ORDER_FRAME(order)
#order datasource receives
order = zp.ORDER_UNFRAME(order_msg)
self.assertEqual(order.sid, 133)
self.assertEqual(order.amount, 100)
self.assertEqual(order.dt, now)
#order datasource datasource frames the order
order_event = zp.ndict({
"sid" : order.sid,
"amount" : order.amount,
"dt" : order.dt,
"source_id" : zp.FINANCE_COMPONENT.ORDER_SOURCE,
"type" : zp.DATASOURCE_TYPE.ORDER
})
order_ds_msg = zp.DATASOURCE_FRAME(order_event)
#transaction transform unframes
recovered_order = zp.DATASOURCE_UNFRAME(order_ds_msg)
self.assertEqual(now, recovered_order.dt)
#create a transaction from the order
txn = zp.ndict({
'sid' : recovered_order.sid,
'amount' : recovered_order.amount,
'dt' : recovered_order.dt,
'price' : 10.0,
'commission' : 0.50
})
#frame that transaction
txn_msg = zp.TRANSFORM_FRAME(zp.TRANSFORM_TYPE.TRANSACTION, txn)
#unframe
recovered_tx = zp.TRANSFORM_UNFRAME(txn_msg).TRANSACTION
self.assertEqual(recovered_tx.sid, 133)
self.assertEqual(recovered_tx.amount, 100)
zipline/components/tradesimulation.py
-3
View File
@@ -150,9 +150,6 @@ class TradeSimulationClient(Component):
self.perf.log_order(order)
self.txn_sim.add_open_order(order)
def signal_order_done(self):
self.order_socket.send(str(zp.ORDER_PROTOCOL.DONE))
def queue_event(self, event):
if self.event_queue == None:
self.event_queue = []
zipline/finance/trading.py
+5 -6
View File
@@ -168,12 +168,11 @@ for orders:
def create_transaction(self, sid, amount, price, dt, direction):
self.txn_count += 1
txn = {'sid' : sid,
'amount' : int(amount),
'dt' : dt,
'price' : price,
'commission' : self.commission * amount * direction,
'source_id' : zp.FINANCE_COMPONENT.TRANSACTION_SIM
txn = {'sid' : sid,
'amount' : int(amount),
'dt' : dt,
'price' : price,
'commission' : self.commission * amount * direction
}
return zp.ndict(txn)
zipline/protocol.py
-163
View File
@@ -246,12 +246,6 @@ def DATASOURCE_FRAME(event):
event.source_id,
TRADE_FRAME(event)
]))
elif(event.type == DATASOURCE_TYPE.ORDER):
return msgpack.dumps(tuple([
event.type,
event.source_id,
ORDER_SOURCE_FRAME(event)
]))
else:
raise INVALID_DATASOURCE_FRAME(str(event))
@@ -286,8 +280,6 @@ def DATASOURCE_UNFRAME(msg):
child_value = ndict({'dt':None})
elif(ds_type == DATASOURCE_TYPE.TRADE):
child_value = TRADE_UNFRAME(payload)
elif(ds_type == DATASOURCE_TYPE.ORDER):
child_value = ORDER_SOURCE_UNFRAME(payload)
else:
raise INVALID_DATASOURCE_FRAME(msg)
@@ -342,8 +334,6 @@ def TRANSFORM_FRAME(name, value):
assert isinstance(name, basestring)
if value == None:
return msgpack.dumps(tuple([name, TRANSFORM_TYPE.EMPTY]))
if(name == TRANSFORM_TYPE.TRANSACTION):
value = TRANSACTION_FRAME(value)
return msgpack.dumps(tuple([name, value]))
def TRANSFORM_UNFRAME(msg):
@@ -359,8 +349,6 @@ def TRANSFORM_UNFRAME(msg):
assert isinstance(name, basestring)
if(name == TRANSFORM_TYPE.PASSTHROUGH):
value = FEED_UNFRAME(value)
elif(name == TRANSFORM_TYPE.TRANSACTION):
value = TRANSACTION_UNFRAME(value)
return ndict({name : value})
except TypeError:
@@ -382,11 +370,6 @@ def MERGE_FRAME(event):
"""
assert isinstance(event, ndict)
PACK_DATE(event)
if(event.has_attr(TRANSFORM_TYPE.TRANSACTION)):
if(event.TRANSACTION == None):
event.TRANSACTION = TRANSFORM_TYPE.EMPTY
else:
event.TRANSACTION = TRANSACTION_FRAME(event.TRANSACTION)
payload = event.as_dict()
return msgpack.dumps(payload)
@@ -396,11 +379,6 @@ def MERGE_UNFRAME(msg):
#TODO: anything we can do to assert more about the content of the dict?
assert isinstance(payload, dict)
payload = ndict(payload)
if(payload.has_attr(TRANSFORM_TYPE.TRANSACTION)):
if(payload.TRANSACTION == TRANSFORM_TYPE.EMPTY):
payload.TRANSACTION = None
else:
payload.TRANSACTION = TRANSACTION_UNFRAME(payload.TRANSACTION)
UNPACK_DATE(payload)
return payload
except TypeError:
@@ -409,12 +387,6 @@ def MERGE_UNFRAME(msg):
raise INVALID_MERGE_FRAME(msg)
# -----------------------
# Finance Protocol
# -----------------------
INVALID_ORDER_FRAME = FrameExceptionFactory('ORDER')
INVALID_TRADE_FRAME = FrameExceptionFactory('TRADE')
# -----------------------
# Trades
# -----------------------
@@ -468,131 +440,6 @@ def TRADE_UNFRAME(msg):
except ValueError:
raise INVALID_TRADE_FRAME(msg)
# -----------------------
# Orders
# -----------------------
# - from client to order source
def ORDER_FRAME(order):
assert isinstance(order.sid, int)
assert isinstance(order.amount, int) #no partial shares...
PACK_DATE(order)
return msgpack.dumps(tuple([
order.sid,
order.amount,
order.dt
]))
def ORDER_UNFRAME(msg):
try:
sid, amount, dt = msgpack.loads(msg)
assert isinstance(sid, int)
assert isinstance(amount, int)
rval = ndict({
'sid':sid,
'amount':amount,
'dt':dt
})
UNPACK_DATE(rval)
return rval
except TypeError:
raise INVALID_ORDER_FRAME(msg)
except ValueError:
raise INVALID_ORDER_FRAME(msg)
# -----------------------
# TRANSACTIONS
# -----------------------
#
# - Should only be called from inside TRANSFORM_(UN)FRAME.
def TRANSACTION_FRAME(event):
assert isinstance(event, ndict)
assert isinstance(event.sid, int)
assert isinstance(event.price, numbers.Real)
assert isinstance(event.commission, numbers.Real)
assert isinstance(event.amount, int)
PACK_DATE(event)
return msgpack.dumps(tuple([
event.sid,
event.price,
event.amount,
event.commission,
event.dt
]))
def TRANSACTION_UNFRAME(msg):
try:
sid, price, amount, commission, dt = msgpack.loads(msg)
assert isinstance(sid, int)
assert isinstance(price, numbers.Real)
assert isinstance(commission, numbers.Real)
assert isinstance(amount, int)
rval = ndict({
'sid' : sid,
'price' : price,
'amount' : amount,
'commission' : commission,
'dt' : dt
})
UNPACK_DATE(rval)
return rval
except TypeError:
raise INVALID_TRADE_FRAME(msg)
except ValueError:
raise INVALID_TRADE_FRAME(msg)
# -----------------------
# ORDERS
# -----------------------
#
# - from order source to feed
# - should only be called from inside DATASOURCE_(UN)FRAME
def ORDER_SOURCE_FRAME(event):
assert isinstance(event.sid, int)
assert isinstance(event.amount, int) #no partial shares...
assert isinstance(event.source_id, basestring)
assert event.type == DATASOURCE_TYPE.ORDER
PACK_DATE(event)
return msgpack.dumps(tuple([
event.sid,
event.amount,
event.dt,
event.source_id,
event.type
]))
def ORDER_SOURCE_UNFRAME(msg):
try:
sid, amount, dt, source_id, source_type = msgpack.loads(msg)
event = ndict({
"sid" : sid,
"amount" : amount,
"dt" : dt,
"source_id" : source_id,
"type" : source_type
})
assert isinstance(sid, int)
assert isinstance(amount, int)
assert isinstance(source_id, basestring)
assert isinstance(source_type, int)
UNPACK_DATE(event)
return event
except TypeError:
raise INVALID_ORDER_FRAME(msg)
except ValueError:
raise INVALID_ORDER_FRAME(msg)
# -----------------------
# Performance and Risk
# -----------------------
@@ -648,7 +495,6 @@ def convert_transactions(transactions):
for txn in transactions:
txn['date'] = EPOCH(txn['dt'])
del(txn['dt'])
del(txn['source_id'])
results.append(txn)
return results
@@ -729,20 +575,13 @@ def tuple_to_date(date_tuple):
return dt
DATASOURCE_TYPE = Enum(
'ORDER',
'TRADE',
'EMPTY',
)
ORDER_PROTOCOL = Enum(
'DONE',
'BREAK',
)
#Transform type needs to be a ndict to facilitate merging.
TRANSFORM_TYPE = ndict({
'TRANSACTION' : 'TRANSACTION', #needed?
'PASSTHROUGH' : 'PASSTHROUGH',
'EMPTY' : ''
})
@@ -751,8 +590,6 @@ TRANSFORM_TYPE = ndict({
FINANCE_COMPONENT = namelookup({
'TRADING_CLIENT' : 'TRADING_CLIENT',
'PORTFOLIO_CLIENT' : 'PORTFOLIO_CLIENT',
'ORDER_SOURCE' : 'ORDER_SOURCE',
'TRANSACTION_SIM' : 'TRANSACTION_SIM'
})
zipline/utils/date_utils.py
+1 -2
View File
@@ -47,8 +47,7 @@ def EPOCH(utc_datetime):
return int(ms)
def UN_EPOCH(ms_since_epoch):
seconds_since_epoch = float(ms_since_epoch) / 1000.0
delta = timedelta(seconds = seconds_since_epoch)
delta = timedelta(milliseconds = ms_since_epoch)
dt = UNIX_EPOCH + delta
return dt